INDONESIAN MANAGED FUNDS PERFORMANCE EVALUATION AFTER GLOBAL ECONOMIC RECOVERY BY USING DATA ENVELOPMENT ANALYSIS WITH NEW RISK MEASURES (2011 – MID 2015)

Albion, Ansgarius (2015) INDONESIAN MANAGED FUNDS PERFORMANCE EVALUATION AFTER GLOBAL ECONOMIC RECOVERY BY USING DATA ENVELOPMENT ANALYSIS WITH NEW RISK MEASURES (2011 – MID 2015). S1 thesis, UAJY.

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Abstract

Mutual funds are the most favorable retail financial investments in Indonesia even though Indonesian financial instruments have not been penetrated well, especially among domestic investors. Therefore, unlocking potentials of managed funds, which are one of the most attractive funds in developed countries for their characteristics, are essential. The data envelopment analysis (DEA) has been long conducted to evaluate the mutual funds performance and along with the use of value-at-risk (VaR) and conditional value-at-risk (CVaR) in addition to the current traditional performance measures, DEA with these new risk measures accommodate the inevitable pervasive skewness and kurtosis while fairly evaluating the funds performance. By confirming Indonesian managed funds into the model and creating detailed analysis, applying VaR and CVaR along with traditional performance measure is useful and able to result better overall performance evaluation by highlighting 8 Indonesian’s outperformed managed funds and their slacks of variables’ efficiency.

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