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Performance Evaluation Of Mutual Funds In Indonesia

  • Murhadi, Werner-Ria
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    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.

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    File URL: http://mpra.ub.uni-muenchen.de/25498/1/MPRA_paper_25498.pdf
    File Function: original version
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    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 25498.

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    Date of creation: 09 Mar 2010
    Date of revision: 09 Mar 2010
    Publication status: Published in ProceedingsThe 3rd National Conference on Management Research 3rd.March(2010): pp. 1-12
    Handle: RePEc:pra:mprapa:25498
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    1. Mark Grinblatt & Sheridan Titman, . "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Rodney L. White Center for Financial Research Working Papers 23-88, Wharton School Rodney L. White Center for Financial Research.
    2. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
    3. 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.
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