Performance Evaluation of Mutual Funds in Indonesia
12 Pages Posted: 28 Sep 2010
Date Written: September 27, 2010
This paper is an empirical assessment of the performance of mutual fund managers in terms of “market timing” and “selectivity”, within the framework suggested by Treynor and Mazuy (1966) and Henriksson and Merton (1981). The relevant data set is a balanced panel of fifty five mutual funds, over a seventeen-month period beginning on February 2008 until June 2009. The result find that only four mutual fund have a good performance in market timing and four mutual fund have a good performance in stock selection. Both methods have a good indicator to reflect mutual funds performance.
Keywords: market timing, stock selection, mutual funds
JEL Classification: G11, G20
Suggested Citation: Suggested Citation
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By Ian Ramsay