An Evaluation of mutual funds' performance using Jensen's measure :: A Study on Jakarta Stock Exchange
EKASARI, Hermin, Dr. Marwan Asri SW., MBA
2001 | Tesis | Magister Manajemen-
I’his evuluut ion oj’ lhe perjii,rmunce oj’ mu/uul fidnds hus ftvo reseurch objectives. The first is lo unulyze the perjiwmunce (f’ muluul junds compured to the murket index, represented by [he I,C)JS index, using ,/ensen’s meusure lo identi& positive-signgicant d$fhrentiul returns. lhe second ohjeclive is to determine, bused on dlfferenliul relurns on mulid ,fiJnds, the unalylicul competence of investmenl munugers ut u certuin level of’ murkel qfliciency, purticulurly during u period of mone fury crisis. Ib guther us much dulu us poxsihle, u descriplive nrefhod of dulu collection is employed. ,/ensen ’s nzeusurc? is used l o unu1-y~[ he perfimiwnce o j mutual funds. The dulu is then processed und presented wifh un unu1y.si.s lo provide u cleurer picsf we. Uiis melhocl MUY choscn in order f o provide I( systematic, factual and ucciirule explmution cf’lhe uvuiluhle dulu or inji)rmulion. The dutu sumple jiw muluul .funds is restricted equify funds jilr which weekly nel usset value (â€A v) dutu wus uvuiluhle fiw the ohservution period li’ehrutrry I997 to J i m 2000. Of the 21 equity ,fitnds unulyzetl, 10 were ji)urid lo give posilivedrfferenlial returns. Severul conclusions ure reuched hmed on fhe.jindings of ‘evulutr~ioonf ’lhe perjbrmunce of’ equily ,f iinds using unulysis of’ risk-udjusled pe~fi,m~uriceI.~ ’irs1, the I0 equity furids were tesled using u puired sumple t-lesl, und were jiiund lo have no posilive-sign!’fictrnf di&wtiul relurn uf u sign$cunce level of 5%. However at u level of’ signijicunce of’ 1 O%, one eyuily fund was j0und lo have posisilive-significunt dij‘finnliul returns (Hiru l>unu Suhum). ,Second, in evuluuting the performance ($mutual funds, investment munugers pluy un imporlunl role in manuging their equity .fund portfolios to get the besl return at certuin risk. How well the equity funds perjbrm cun be seen from the dijferentiul relurn lhey reup and how the investment munugers muke use of their skills und compelence lo analyze relevant injormation. Bira Danu Saham, whose funds showed u positive differential return even during the time of’ monetury crisis in 1997, uchieved the best equity funds performunce
Kata Kunci : Lembaga Pembiayaan, BEJ
