Testing of Performance Consistency And Performance Determinants Of Mutual Funds: A Study On Fixed Income Mutual Funds in Indonesia (2017 – 2021)
This study evaluates the performance of fixed-income mutual funds in Indonesia in 2015-2017 using 123 research samples. Mutual fund performance evaluation is done through three measurement models: Sharpe, Treynor, and Jensen's Alpha. Mutual fund performance is compared to market performance (Indonesia Composite Bond Index/ICBI) to assess whether the performance is better (outperforming), the same as the market, or worse (underperforming). The test results show that the three measurement models consistently assess mutual fund performance. Furthermore, this study examines the determinants of mutual fund performance in the form of funds under management, past performance, the flow of funds, and the age of mutual funds. From a population of 398 fixed-income mutual funds, 123 active fixed-income mutual funds were selected during the 2017-2021 period using a purposive sampling technique in order to obtain 614 observational data. The test results show that past performance, the flow of funds, and the age of mutual funds have a positive effect on mutual fund performance, while managed funds have a negative effect on mutual fund performance.