Pustaka Ilmiah Universitas Padjadjaran

Abstrak

ANALISIS KARAKTERISTIK, KINERJA DAN PERSISTENSI REKSA DANA SAHAM DI INDONESIA – ANALYSIS OF CHARACTERISTICS, PERFORMANCE AND PERSISTENCY OF EQUITY MUTUAL FUNDS IN INDONESIA

The performance of actively managed mutual fund is largely dependent upon the investment decision of the fund managers amongst the other factors. This study examines the determinants of equity mutual fund performance in one of the emerging markets (Indonesia), with an emphasis on the factor of ability of investment manager. This study offers new insights into the Indonesian mutual fund industry.

The results regarding the determinants examined (characteristics: total risk, systematic risk, fund age, size, ,stock selection, market timing and expenses ratio) show significant relation between total risk, fund age, stock selection, market timing, and fund performance. While no significant relation found between systematic risk, fund size, and the equity fund performance.

For the common investor who wanted to invest in Mutual Funds in an emerging market like Indonesia’s market during the period 1/ 1/ 2008 – 31/ 3/ 2011, the selection criteria that could had provided the best results in selecting the fund were: fund with low total risk, old fund, no timing ability for manager, stock selection ability, and low expenses ratio. In contrast, size of the fund and its systematic risk appeared to be statistically irrelevant in this study. This study also finds that there is no persistency of equity fund performance in Indonesia.

The result of characteristics, persistency and equity fund performance in an emerging market clearly warrant future studies.