THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO AND SNAIL TRAIL

Apsari, Raden Rara Alberta Maharani Pramudita (2013) THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO AND SNAIL TRAIL. S1 thesis, UAJY.

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Abstract

The objective of this research is to explain the performance of equity funds by using three methods, which are risk adjusted return (RAR), risk ratio (RR), and snail trail method. The second objective is to compare equity funds performance towards market performance. The samples of this research are equity funds actively listed in BAPEPAM for period January 2008 until December 2012. The data is taken from each company’s monthly net assets value (NAV) for period January 2008 until December 2012. Mutual fund with zero NAV in the end of calculation and with foreign currency of NAV is not used as sample. The performance analysis of equity funds is calculated by using Risk Adjusted Return with Sharpe Ratio method, Risk Ratio, and Snail Trail. The benchmark is JCI or Jakarta Composite Index for period January 2008 – December 2012. From the three methods used, most of the equity funds are adjusted well and ready to face the risk. In fact, there are still some equity funds with underperform performance compare to the benchmark in both risk and return. The calculation of risk adjusted return, risk ratio, and snail trail are connected with the result which stated that equity funds shows a high return and high risk as well.

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