EQUITY MUTUAL FUND PERFORMANCE ANALYSIS USING SHARPE AND TREYNOR INDICES 2012-2013

ABSTRACT


INTRODUCTION
Investment is one of the investment activities carried out by the community in order to obtain returns in the future (Rosyida & Mawardi, 2015).Investments are made using two components of assets, namely real assets and financial assets.Real assets include gold, property, and land, while financial assets include money market instruments, stocks, bonds, and mutual funds.Investments in financial assets are made in the money market and capital markets (Masruroh, 2014).
The money market or also called the foreign exchange market consists of Bank Indonesia certificates, money market securities, and certificates of deposit (Widyatsari, 2014).Capital markets according to Indonesian Law No. 8 of 1995 on capital markets are "activities related to public offering and securities trading, public companies relating to published securities, as well as institutions and professions related to securities".Thus the capital market is a meeting place for sellers and buyers who make transactions regarding long-term financial instruments (Faozan, 2013).
One of the components of the capital market is mutual funds (Hendrajaya, Wahyudi, & Sufian, 2014).Mutual funds according to Law No. 8 of 1995 Article 1 paragraph 27 which is meant by mutual funds is "a container used to collect funds from the financier community to be further invested in the securities portfolio by investment managers".Based on this, it is clear that investors entrust the money to the investment manager as the manager of the fund to be invested well in the capital market.An investment manager is a party whose business activities manage a portfolio of securities for customers or manage a collective investment portfolio for a group of customers, except insurance companies, pension funds, and banks that conduct their own business activities based on applicable laws and regulations (Prananingtyas, Mahmudah, & Widiati, 2017).Fund managers offer a wide range of mutual funds (Farid, 2015).Based on the category of instruments, mutual funds in Indonesia are divided into four, namely money market mutual funds, fixed income mutual funds, mixed mutual funds, and stock mutual funds (Santosa & Sjam, 2012).
Mutual funds were introduced in Indonesia on September 7, 1995.Although still relatively new, this instrument is growing rapidly.Based on BAPEPAM data at the end of December 2004, there were 246 mutual funds.In 1996, there were only 25 mutual funds established.In line with the growth in the number of mutual funds, the total managed funds (NAV) of mutual funds also increased significantly from only Rp. 2.78 trillion in 1996 to Rp. 104 trillion at the end of 2004 or grew by 3,639.64%.
Mutual funds do offer returns so many people are interested in investing in mutual funds.But mutual funds are not chosen carelessly, because some consideration is needed in choosing mutual funds (Setiantp, 2016).In Indonesia, mutual fund buying and selling has entered the online system.Bareksa.com is one of the integrated online mutual fund marketplaces in Indonesia under the auspices of PT Bareksa Investment Portal.There are six things that must be considered before buying mutual funds according to Edyanto Kisman on the website of the Capital Market Supervisory Agency which is now the Financial Services Authority (OJK), namely the credibility of the Investment Manager, the amount of funds managed by the Investment Manager, investment team profile, and performance of mutual fund products in 3 years up to 5 years, mutual fund prospectus, and flexibility of placement, withdrawal, ease of information, and fees charged to investors.Mutual funds are not only seen from the expected rate of return but also from the level of risk of the mutual fund.To measure the comparison between risk and return http://eduvest.greenvest.co.id levels, three types of indices are used, namely the Sharpe index, Treynor index, and Jensen index (Tuerah, 2013).These three indices are also known as Risk Adjusted Performance, these three indices have included return and risk factors in their calculations.
The Sharpe Index is a measure of portfolio performance developed (Darmayanti, Suryantini, Rahyuda, & Dewi, 2018).Measurements with the Sharpe index are based on the so-called "Risk Premium" risk premium.Risk Premium is the difference (difference) between the average performance produced by mutual funds and the average performance of risk-free assets.The Treynor Index is a measure of portfolio performance developed (Nurlaeli & Artati, 2020).Treynor measurements are basically no different from Sharpe's measurements, only that acting as a divisor is beta (β) which is a systematic risk or market risk.The Jensen index is similar to the Treynor index, Jensen uses the beta factor (β) in measuring the investment performance of a portfolio based on the development of the Capital Asset Pricing Model (CAPM).Jensen Index assesses performance above market performance in accordance with the risks it has.
According to the Editorial Financial Planner Team Vivanews.com,each type of mutual fund invests differently.Money market mutual funds whose portfolios are invested in money market instruments such as SBI.80% of fixed income mutual funds are invested in fixed income investment products, especially bonds, the remaining 20% is invested in money market instruments (SBI, SUN) or bank products such as savings and deposits.Mixed mutual funds with roughly the same investment allocation, which is 50%:50%.Stock mutual funds are mostly or nearly 80% in the form of shares, and the rest is put into fixed income instruments.Each type of mutual fund also has a different performance judging from the net asset value of each type of mutual fund (Nandari, 2017).
In previous research, (Prasetyo & Safitri, 2014) calculations of the performance of stock mutual funds with market performance (JCI) using sharpe and treynor methods resulted in the performance of Panin Dana Maksima of -0.62306 which outperformed market performance (JCI) in sharpe method.whichonly gets a performance result of -0.94806, in the Treynor method also seen the performance of Panin Dana Maksima of -0.03468.
According to some research that used, Treynor and Jensen index in calculating the performance of stock mutual funds, of the 17 stock mutual funds there are two stock mutual funds that have a return above average, namely Phinisi mutual funds and Schroder (Darmayanti et al., 2018).
Research by (Ardi, 2015) shows that the highest performance of stock mutual funds calculated using Sharpe index was Manulife in 2006 and the lowest was Arjuna in 2006.Meanwhile the highest performance calculated using the Treynor index was Arjuna in 2005 and 2004.Previous research mentioned before, in order to update the research, the authors used the research year from January 2012 to December 2013 and the authors also took special measures to determine the Investment Manager.Only eleven Investment Managers were included.In which they are those with the largest AUM.The author only calculates the performance of stock mutual funds because they are mutual funds with the highest returns and risk.Given the benefits that can be taken from information regarding mutual fund returns, then the author is interested in doing this research.The research aims to analyze the performance of stock mutual funds using Sharpe and Treynor indices from 2012 to 2013.

RESEARCH METHOD
This research is descriptive quantitative.Descriptive research seeks to obtain a complete and accurate description of a situation, while quantitative research is a scientific

Septini Kumalaputri
Equity Mutual Fund Performance Analysis Using Sharpe And Treynor Indices 2012-2013 912 approach to managerial and economic decision making.This approach begins with data, processing, and manipulating raw data into useful information (Kuncoro, 2007) The variables used in this study are mutual fund returns, benchmark returns, risk free, Sharpe method and Treynor method.The data collection method used is documentation, because it relates to the type of data which is secondary data.The sampling technique used in this research is quantitative by calculating the available data.

A. Description of Research Object
This section describes the analysis of research data on the comparison of the performance of equity mutual funds with market performance through the Sharpe and Treynor indices.The object of this research is a mutual fund in the form of a Collective Investment Contract (CIC) which is an open-ended mutual fund in equity mutual funds that have met the criteria started in this research.After the criteria were determined as research requirements, 31 equity mutual funds were obtained.The mutual funds that are the object of this research are registered with Bapepam in the period January 2012-December 2013 and routinely inform the NAV per unit on the Bapepam website.
1. Variable Data Description This section describes the descriptive data of the object under study.The descriptive data presented in this study includes research variable data, namely the performance of equity mutual funds and market performance using the Sharpe and Treynor indices.

Description of Equity Mutual Fund Performance
This study aims to test whether equity mutual funds are able to provide better performance than market performance.The performance of the stock mutual funds used in this study uses the Sharpe and Treynor indices.The period of this research is January 2012 to December 2013 and uses end-of-month mutual fund data.There are 31 mutual funds used in this study, consisting of 11 investment manager companies that have high AUM.
3. Market Performance Description Market performance in this study is measured using a benchmark, namely the JCI (Joint Stock Price Index), while for risk-free returns using SBI interest rate data (Bank Indonesia Certificate).The following is the JCI and SBI interest rates per month.In table 1, it can be seen that the average return from equity mutual funds is 0.00538266 per month, while the stock market return (JCI) is 0.00740988 per month.So it can be said that the average return of stock mutual funds is smaller than the average market return.This study took 31 mutual funds during the period January 2012 to December 2013.The standard deviation for equity mutual funds was 0.050144646, while the market standard deviation (JCI) was 0.045388289.While the risk free value obtained an average of 0.05466285 with a standard deviation of 0.012360521.

B. Data Analysis
The data analysis in this study aims to determine the comparison of the performance of equity mutual funds with market performance (JCI) using the Sharpe and Treynor indexes, to answer the hypotheses proposed, among others: a) Comparative analysis of stock mutual fund performance with market performance (JCI) using the Sharpe and Treynor indexes b) Normality test using Kolmogorov Smirnov test (K-S).c) Hypothesis testing.Calculation of individual mutual fund performance is done using the Sharpe and Treynor method.The calculation of the performance of this mutual fund uses mutual fund data for the period January 2012 to December 2013.The mutual fund that has the highest return above the market return using the Sharpe index is Trim Kapital Plus of -0.694493 and the lowest is RD Danareksa Mawar Focus 10 of -1.188473.Meanwhile, the mutual funds that have the highest return using the Treynor index are Trim Kapital Plus -0.032540 and the lowest is RD Danareksa Mawar Focus 10 of -0.055977, but all of the mutual funds in the sample perform below market returns when calculated using the index.Sharpe and Treynor.The ranking of each index is as follows:

Equity Mutual Fund Performance Analysis with Market Performance
Table 3  A portfolio that has a high Sharpe value will illustrate that the portfolio has good performance, meaning that the higher the Sharpe value, the better the performance.The market performance is 0.007410, meaning that Trim Kapital is said to be underperforming because the Sharpe index value is lower than the market performance.As with the Sharpe index, a high value of the Treynor index means that it has good performance while on the other hand, low performance indicates poor performance.Based on the table above, the highest performance of mutual funds based on the Treynor index is Trim Kapital Plus with a Treynor value of -0.032540 while the market performance is 0.007410, meaning that Trim Kapital is said to be underperforming because the Treynor index value is lower than the market performance.

Normality Test
The normality test is intended to show that the sample data comes from a normally distributed population.Based on tables 9 and 10 above, it can be seen that Asymp.Sig.(2-tailed) of the two mutual fund performance measurements, both Sharpe and Treynor methods, are greater than 0.05.So that it can be concluded that the data are normally distributed.After the data is known to be normally distributed, the next step is to test the hypothesis with an independent sample t-test.

Hypothesis Testing
This test aims to prove whether there is a significant difference between stock performance and market performance using the Sharpe index.The test results are as follows: Table 7 Sharpe Index Independent Sample Test with Market Return Source: Primary data processed The test results between the performance of equity mutual funds and market performance based on the Sharpe index show that the value of sig.(2-tailed) worth 0.000, which means sig < 0.05, this indicates that Ha1 is accepted or Ho1 is rejected, which indicates that there is a difference between stock mutual fund returns and market returns.When viewed from the average performance, it can be seen that the average performance of equity mutual funds is smaller than the market performance..000000000Source: Primary data processed From the test between the performance of equity mutual funds and market performance based on the Treynor index, it shows that the value of sig.(2-tailed) worth 0.000, which means sig < 0.05, this indicates that Ha2 is accepted or Ho2 is rejected.This means that there is a difference between stock mutual fund returns and market returns.Based on the Treynor index, it was found that the JCI's performance was much higher than the average performance of equity mutual funds.

Septini Kumalaputri
Equity Mutual Fund Performance Analysis Using Sharpe And Treynor Indices 2012-2013 920 investment managers have not been optimal in managing their portfolios.

Interpretation of Results
The results of this study indicate that there is a significant difference between the performance of stock mutual funds and market performance using the Sharpe index.This is based on the test results which show that the Sharpe index shows a sig value.(2-tailed) worth 0.000, which means sig < 0.05.The test between the performance of equity mutual funds and market performance based on the Treynor index shows that the value of sig.(2tailed) worth 0.000, which means sig < 0.05 which means that there is a significant difference between mutual and stock performance and market performance using the Treynor index.
The reason for this equation of results can occur because the results of the Sharpe and Treynor indices both produce returns that are lower than their market performance.Sharpe index whose divisor uses total risk (standard deviation), such as business risk, liquidity risk, interest rate risk, market risk, purchasing power risk and currency risk.Meanwhile the Treynor index uses systematic risk as its divisor (beta), such as market risk, purchasing power risk and currency risk.Although the comparisons are different, the results of the stock mutual funds tested are below the market performance, using both the Sharpe and Treynor indexes.This shows that investment managers have not optimally managed their portfolios.

Comparative Analysis of Equity Mutual Fund Performance with Market Performance (JCI) using Sharpe Index
To find out the difference in the performance of equity mutual funds with the JCI using the Sharpe index, the hypotheses that have been prepared are: Ho1 = There is no significant difference between stock mutual fund returns and market returns.Ha1 = There is a significant difference between stock mutual fund returns and market returns.Decision-making: Ho1 is accepted if sig t > 0.05 means that there is no difference between stock mutual fund returns and market returns.Ho1 is rejected if sig t < 0.05, meaning that there is a significant difference between stock mutual fund returns and market returns.
The result of the calculation using SPSS 16 is the sig value (2-tailed) worth 0.000, which means that sig < 0.05.So it can be concluded that there is a difference in the performance of stock mutual funds with market performance using the Sharpe method.Similar to the results of calculations with the Treynor index which shows that the performance of the JCI and equity mutual funds is different, the Sharpe index shows that the performance of the JCI and share mutual funds is different.This study supports the research of Ambarwati (2007) which states that there is a significant difference between the performance of equity mutual funds and market performance using the Sharpe method, However this research does not support the research of Jeffry and Ervita (2014) and Junanda (2004) which results that there is no significant difference.There is a significant relationship between stock mutual fund performance and market performance using the Sharpe method.

Figure 1 :
Figure 1: Changes in Market Return and Risk Free January 2012-December 2013 Source: processed data . This research aims to determine the performance of stock mutual funds owned by 11 Investment Manager Companies with the highest AUM, namely PT.Schroders Investment Management Indonesia, PT.BNP Paribas Investment Partners, PT.Mandiri Investment Management, PT.Bahana TCW Investment Management, PT.Manulife Asset Management Indonesia, PT.Panin Asset Management, PT.Batavia Prosperindo Asset Management, PT.Danareksa Investment Management, PT.Sinarmas Asset Management, PT.First State Investment Indonesia, and PT.Trimegah Asset Management with JCI as its benchmark.
Equity Mutual Fund Performance Analysis Using Sharpe And Treynor Indices 2012-2013 914

Septini Kumalaputri Equity Mutual Fund Performance Analysis Using Sharpe And Treynor Indices 2012- 2013 912
During the research period, from January 2012 to December 2013, market returns fluctuated.Meanwhile, risk free tended to increase in May 2012, then fell quite a bit in February 2013, and increased slightly in the middle of 2013.Based on Figures2 and 3, when expressed in descriptive statistics, the descriptive statistical values are obtained as follows.Table1Descriptive Statistics of Equity, Market, and Risk Free Mutual Fund Return

Table 2
Differences in Equity Mutual Fund Performance Calculation with Market

Table 8
Independent Sample Test of Treynor Index with Market Return This condition indicates that