Abstract
The aim of this article is to analyse equity mutual fund's daily performance-persistence. In addition, this research-work also provides current and previous literature on equity mutual fund analysis. This study attempts to calculate the daily performance of equity mutual fund from 2011 until 2015 using the risk-adjusted performance measures, such as Sharpe ratio, Treynor ratio and Jensen Alpha ratio. The Spearman's rho correlation is used as the parameter to evaluate the relationship between product performances on a yearly and semiannually period. The quantitative results revealed that out of the 56 equity funds studied, Indonesia equity funds are not persistent on the yearly period. Besides, it is considered as partial persistence on semiannually period but with no pattern. Therefore, it can be seen that there is no persistence occurred in Indonesia equity funds. However, negative persistence is found in Thailand equity funds for both yearly and semiannually period.
| Original language | English |
|---|---|
| Pages (from-to) | 516-534 |
| Number of pages | 19 |
| Journal | International Journal of Innovation, Creativity and Change |
| Issue number | 6 |
| Publication status | Published - 2020 |
| Externally published | Yes |
Keywords
- Equity fund
- Mutual fund
- Performance
- Persistence
- Risk-adjusted
- Spearman's rho