The Best Performance Measurement of Mutual Fund with Sharpe, Treynor and Jensen Methods in Indonesia Stock Exchange

Abstract

This study aims to determine the performance of equity funds when market conditions are in a bullish condition by using the Sharpe, Treynor, and Jensen methods to determine the performance of equity funds when market conditions are bearish using the Sharpe, Treynor, and Jensen methods, to determine which stock mutual fund performance. Only that shows the scale of outperform or underperform against benchmark performance when market conditions are in a bullish condition and knows the performance of any equity funds that show they outperform or underperform benchmark performance scale when market conditions are bearish. The research was conducted on ten mutual funds circulating on the Indonesian stock exchange. The sampling technique used the purposive sampling method-data analysis using mutual funds performance based on the Sharpe, Treynor, and Jensen methods.
Based on data analysis, it is known that in a bullish condition using the Sharpe method, the average value of mutual funds performance is -0.0146 for the Treynor method of -0.0009 and the Jensen method of -0.1087. This value using the Sharpe, Treynor, and Jensen methods are negative, meaning that the mutual fund performance is observed to have poor performance. In a bearish condition with the Sharpe method, the average value of mutual funds performance was -0.1984 for the Treynor method of -0.1369 and the Jensen method of -0.1369. This value using the Sharpe, Treynor, and Jensen methods are negative, meaning that the mutual fund performance is observed to have poor performance. The market profit rate based on the composite stock price index value is 0.0005. Meanwhile, the average rate of mutual fund returns from mutual funds 1 to mutual funds 10 is worth more than the market profit. The highest value is the 1st mutual fund, which is 0.0086. This value illustrates that the observed equity fund performance is classified as an outperform mutual fund because it exceeds the benchmark performance. The average market profit based on the composite stock price index value is -0.0016. Meanwhile, the average return rate for mutual funds from mutual funds 1 to mutual funds 10 is worth more than the profit is smaller than that in the market. The smallest value is in the 8th mutual fund, which is -0.2015. This value illustrates that the observed equity fund performance is classified as an underperforming mutual fund because it is smaller than the benchmark performance.