THE DETERMINANTS AND TECHNICAL EFFICIENCY ANALYSIS OF EQUITY MUTUAL FUNDS IN INDONESIA

Abstract

This research aimed to empirically examine the determinants and technical efficiency analysis of equity mutual funds traded in Indonesia in the time horizon of 2012 to 2016. This research uses time series and annual data of macroeconomic variables and equity mutual funds in Indonesia. The study is processed and analyzed quantitatively by using panel data regression and Data Envelopment Analysis (DEA). The research reveals that the exchange rate, inflation rate, BI rate, fund size, and fund age significantly affect Treynor ratio as much as 81.46%. In terms of variables, exchange rate, inflation rate, and BI rate have negative and significant effect towards Treynor ratio, while fund size and fund age have positive and significant effect towards Treynor ratio. In addition, the result of data envelopment analysis (DEA) which is used to measure technical efficiency indicates that BNP Paribas Solaris is the most efficient equity mutual fund with average efficiency score of 100% along five years of observation. The least efficient fund resulted throughout the study is Mandiri Investa Cerdas Bangsa with 4% average efficiency score. Lastly, the overall average technical efficiency score of all samples examined is 50.70%.