Performance Evaluation of Equity Mutual Funds in Indonesia

Irene Rini Demi Pangestuti, Sugeng Wahyudi, Robiyanto Robiyanto


Mutual funds considered an investment alternative for investors. One type of mutual fund that attracts many investors was the equity mutual funds. Equity mutual fund a type of mutual funds that most part of the investment consists of stocks in the capital market so the risk rate was higher than the other types of mutual funds. For its different characteristic, the measurement for equity funds performance did not be same with other types of mutual funds. As a stock portfolio, equity mutual funds can measure with portfolio measurement methods such as Sharpe Index, Treynor Ratio, Jensen Index, Adjusted Sharpe Index, Adjusted Jensen Index, and Sortino Ratio. This study was conducted by using all of those performance measurements as most research in Indonesia was conducted by using limited performance measurements (focusing on Sharpe Index, Treynor Ratio, and Jensen Index). This study aims to evaluate the performance of 42 equity mutual funds available in Indonesia by employing Sharpe Index, Treynor Ratio, Jensen Index, Adjusted Sharpe Index (ASI), Adjusted Jensen Index (AJI), and Sortino Ratio because most previous researches in Indonesian setting disregards ASI and AJI. In general, it was concluded that the SAM Indonesian Equity was the best-performing equity fund during the study period. It was further found that most equity mutual fund studied have been well diversified.



Adjusted Jensen Index (AJI); Adjusted Sharpe Index (ASI); Equity Mutual Funds; Jensen Alpha; Sharpe Index; Sortino Ratio; Treynor Ratio

Full Text:



Arisonda, E. (2013). Analisis perbandingan kinerja portofolio saham dengan metode Sharpe, Treynor, dan Jensen (Studi kasus indeks LQ 45 di Bursa Efek Indonesia periode 2008–2012). Jurnal Dinamika Manajemen, 1(4).

Bednarek, Z., Patel, P., & Ramezani, C. (2014). Sharpe ratio over investment horizon. Working Paper.

Beer, F. M., Estes, J. P., & Deshayes, C. (2011). The performance of faith and ethical investment products: An empirical investigation of the last decade. Journal of the Academy of Business and Economics, 30, 101-124.

Cvitanic, J., Lazrak, A., & Wang, T. (2007). Implications of sharpe ratio as a performance measure in multi-period settings. Working Paper.

Ferruz, L., Gómez-Bezares, F., & Vargas, M. (2010). Portfolio theory, CAPM, and performance measures. Handbook of Quantitative Finance and Risk Management, 267-281.

Jensen, M. C. (1967). The performance of mutual funds in the period 1945–1964. Journal of Finance, 23(2), 389-416.

Jobson, J. D., & Korkie, B. M. (1981). Performance hypothesis testing with the Sharpe and Treynor measures. Journal of Finance, 36(4), 889-908. doi: 10.1111/j.1540-6261.1981.tb04891.x

Kidd, D. (2011a). Measures of risk-adjusted return: let’s not forget Treynor and Jensen. Investment Performance Measurement Feature Articles, (1).

Kidd, D. (2011b). The sharpe ratio and the information ratio. Investment Performance Measurement Feature Articles, 1, 1-4. doi:

Kidd, D. (2012). Risk-adjusted performance measures: a case study. Investment Risk and Performance, 1, 1-4.

Low, S.-W., & Chin, Y.-B. (2013). Refinements to the sharpe ratio-evidence from malaysian equity funds. Global Economic Review, 42(1), 72-97. doi:

Markowitz, H. M. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91. doi:

Markowitz, H. M. (1959). Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons, Inc.

Meredith, B., David, G., & James, V. (2000). The efficient market hypothesis: A survey. Working Paper Economic Research Department Reserve Bank of Australia.

Pav, S. E. (2016). Notes on the sharpe ratio. Working Paper.

Pratomo, E. P. (2001). Reksa dana: solusi perencanaan investasi di era modern. Jakarta: Gramedia Pustaka Utama.

Qomariah, N., Sari, M. I., & Budiarti, D. A. (2016). Perbandingan kinerja reksadana syariah dan reksadana konvensional (pada reksadana saham dan reksadana pendapatan tetap yang terdaftar di BEI periode 2010-2014). Jurnal Keuangan dan Perbankan, 20(3), 417-427.

Robiyanto, R. (2017). Performance evaluation and risk aversion rate for several stock indices in indonesia stock exchange. Jurnal Manajemen dan Kewirausahaan, 19(1), 60-64. doi: 10.9744/jmk.19.1.60-64

Robiyanto, R., Wahyudi, S., & Pangestuti, I.R.D. (2017). The Volatility–variability hypotheses testing and hedging effectiveness of precious metals for the indonesian and malaysian capital markets. Gadjah Mada International Journal of Business, 19(2), 167-192. doi:

Rollinger, T. N., & Hoffman, S. T. (2013). Sortino: a ‘sharper’ratio. Chicago: Red Rock Capital.

Scholz, H., & Wilkens, M. (2006). Investor-specific performance measurement - a justification of sharpe ratio and treynor ratio. Working Paper.

Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39(1), 119-138. doi:

Simanjuntak, T. M. (2012). Analisis kinerja reksa dana saham menggunakan metode Sharpe, Treynor, dan Jensen. Master Thesis. Universitas Gadjah Mada Yogyakarta.

Simforianus, S., & Hutagaol, Y. (2008). Analisis kinerja reksa dana saham dengan metode raw return, Sharpe, Treynor, Jensen, dan Sortino. Journal of Applied Finance and Accounting, 1(1), 193-226.

Sortino, F. A., & Price, L. N. (1994). Performance measurement in a downside risk framework. Journal of Investing, 3(3), 59-64. doi: 10.3905/joi.3.3.59

Swinkels, L., & Rzezniczak, P. (2009). Performance evaluation of polish mutual fund managers. International Journal of Emerging Markets, 4(1), 26-42. doi: 10.1108/17468800910931652

Treynor, J. L. (1965). How to rate management of investment funds. Harvard Business Review, 43(1), 63-75.

Zulkafli, A. H., Ahmad, Z., & M., E. E. (2017). The performance of socially responsible investments in Indonesia: A study of the Sri Kehati Index (SKI). Gadjah Mada International Journal of Business, 19(1), 59-76.



  • There are currently no refbacks.

Jurnal Keuangan dan Perbankan (Journal of Finance and Banking)

Diploma Program of Banking and Finance, Faculty of Economics and Business, University of Merdeka Malang

Published by University of Merdeka Malang

Mailing Address:
2nd floor Finance and Banking Building, Jl. Terusan Raya Dieng No. 57 Malang, East Java, Indonesia
Phone: +62 813-3180-1534

This work is licensed under a Creative
Commons Attribution-ShareAlike 4.0