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Style Analysis: Asset Allocation & Performance Evaluation of Indonesian Equity Funds, April 2004 – March 2009
Indonesian Capital Market Review
View Archive Info| Field | Value | |
| Title |
Style Analysis: Asset Allocation & Performance Evaluation of Indonesian Equity Funds, April 2004 – March 2009
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| Creator |
Boniarga Mangiring; Investment Banking Analyst, Mandiri Sekuritas,
Zaafri Ananto Husodo; Graduate School of Management, Faculty of Economics, University of Indonesia |
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| Subject |
Capital Market
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| Description |
This paper explores investment styles and risk exposures of mutual funds in Indonesia using Sharpe's return-based style analysis, a quadratic optimization of an asset class factor model, proposed by William F. Sharpe in 1992. The research observes nine sectoral asset class indexes and ifteen survivor Indonesian equity funds within April 2004 - March 2009. The results suggest that the infrastructure sector has the biggest exposure on average. This study also measures the relative performance of the funds with respect to their style benchmarks. The results indicate that the nine funds have been able to beat their style benchmarks on average. From all funds, Fortis Ekuitas is the best fund based on its average monthly selection return. activate javascript
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| Publisher |
Management Research Center, Department of Management, Faculty of Economics and Business, U
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| Contributor |
—
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| Date |
2014-08-26
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| Type |
Peer-reviewed Article
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| Format |
application/mbox
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| Identifier |
http://journal.ui.ac.id/index.php/icmr/article/view/3664
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| Source |
Indonesian Capital Market Review; Vol 2, No 2 (2010): July 2010
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| Language |
en
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