Equity Fund Performance Using Persistence Analysis
Sufi Jikrillah
Fakultas Ekonomi dan Bisnis Universitas Lambung Mangkurat
Abstract
The research was carried out to determine and analyze the performance persistence of annual and biennial equity fund in 2016 - 2018 using the Sharpe and Sortino method. The population consists 101 equity funds. in 2016 65 samples calculated by Sharpe method and 54 samples calculated by Sortino method, in 2017 74 samples calculated by Sharpe method and 62 samples calculated by Sortino method , and in 2018 86 samples calculated by Sharp method and 74 samples calculated by Sortino method. Persistence testing using Malkiel-s (Z-test), Brown-s Goetzmann-s odds ratio (OR), and Kahn-s Rudd-s X2 test The results showed that there is persistence equity fund performance in 2016-2017 . But there is no persistence equity fund performance in 2017 - 2018 and 2016-2018 . This is due to changes in the performance of stock that affect the performance of equity fund
Keywords: persistence , conventional fixed income mutual funds , Sharpe , Sortino , Malkiel-s (Z-test), Brown-s Goetzmann-s odds ratio (OR), Kahn-s Rudd-s X test
Topic: Management