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Mutual performance assessment model: Comparative analysis

Author

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  • Bazfa Azzah Zhorifah
  • Dwipraptono Agus Harjito

Abstract

This study aims to determine the comparison of mutual funds performance between stock mutual funds, fixed income mutual funds and mixed mutual funds in 2015-2017 using the Jensen, Sharpe, Treynor and Black models. Using purposive sampling method, this study used a sample of 30 mutual funds consisting of 10 equity funds, 10 fixed income mutual funds, and 10 mixed mutual funds during 2015-2017. The data analysis used to test the hypothesis was the One Way ANOVA test and the Kruskal-Wallis test. The results showed that there was no difference in performance between stock mutual funds, fixed income mutual funds, and mixed mutual funds in 2015-2017 which were analyzed using the Jensen, Sharpe, and Treynor models, there was a difference in performance between stock mutual funds, fixed income mutual funds, and mixed mutual funds in 2015. -2017 were analyzed using the Treynor and Black models.

Suggested Citation

  • Bazfa Azzah Zhorifah & Dwipraptono Agus Harjito, 2021. "Mutual performance assessment model: Comparative analysis," Asian Management and Business Review, Master of Management, Department of Management, Faculty of Business and Economics Universitas Islam Indonesia, vol. 1(1), pages 27-34.
  • Handle: RePEc:uii:jrambr:v:1:y:2021:i:1:p:27-34:id:18320
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