Evaluation of Equity Mutual Funds Portfolio Performance in Indonesia Using Sharpe, Treynor and Jensen Methods

Abstract

Besides investing in stocks, bonds, or gold, investors can also opt to invest in mutual funds. Mutual funds can be an alternative investment solution for beginner or risk-averse investor that doesn't have much knowledge in analyzing portfolio performance or know how to make a proper portfolio. There are four types of mutual funds, equity mutual funds, fixed income mutual funds, money market mutual funds, and balanced mutual funds. Equity mutual funds themselves are a type of mutual funds that invest at least 80% in stocks; therefore, the risk is quite higher than other types of mutual funds. The purpose of this study is to evaluate the performance of equity mutual funds available in Indonesia by using the Sharpe Index, Treynor Ratio, and Jensen Index from 2018 to 2020. The writer chooses to use the population of 7 equity mutual funds and Composite Stock Price Index of Indonesia data for the market return. Out of 7 chosen equity mutual funds, it can be concluded that Sucorinvest Equity was the best-performing equity fund during the study period.