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Performance Evaluation Of Mutual Funds In Indonesia

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  • Murhadi, Werner-Ria

Abstract

This paper is an empirical assessment of the performance of mutual fund managers in terms of “market timing” and “selectivity”, within the framework suggested by Treynor and Mazuy (1966) and Henriksson and Merton (1981). The relevant data set is a balanced panel of fifty five mutual funds, over a seventeen-month period beginning on February 2008 until June 2009. The result find that only four mutual fund have a good performance in market timing and four mutual fund have a good performance in stock selection. Both methods have a good indicator to reflect mutual funds performance.

Suggested Citation

  • Murhadi, Werner-Ria, 2010. "Performance Evaluation Of Mutual Funds In Indonesia," MPRA Paper 25498, University Library of Munich, Germany, revised 09 Mar 2010.
    • Handle: RePEc:pra:mprapa:25498
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    References listed on IDEAS

    as
    1. L. F. G. De Cazaux, 1965. "On The Budget," Journal of Accounting Research, Wiley Blackwell, vol. 3(2), pages 264-265.
    2. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119-119.
    3. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
    4. David R. Gallagher, 2001. "Attribution of investment performance: an analysis of Australian pooled superannuation funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 41(1‐2), pages 41-62, July.
    5. Irwin Friend & Douglas Vickers, 1965. "Portfolio Selection And Investment Performance," Journal of Finance, American Finance Association, vol. 20(3), pages 391-415, September.
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    More about this item

    Keywords

    market timing; stock selection; mutual funds;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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