ANALYSIS OF EQUITY MUTUAL FUNDS PERFORMANCE DRIVERS IN INDONESIA

Abstract

This research aimed to analyze equity mutual funds performance drivers in Indonesia. The performance of equity funds is measured with Sharpe ratio. This research examines five variables consist of macroeconomics variables, fund characteristics and fund manager factor as the determinants of mutual fund performance. The variables are examined by using descriptive statistical analysis, classical assumption test, multiple linear regression and hypothesis testing. The data observed in this study is panel data that is selected based on purposive sampling method. This study is adopting quantitative research method and has 135 units data observation from 27 samples equity mutual funds and five years period from 2014-2018 annually. The findings shows that inflation rate and market timing ability has partial positive and significant impact on funds performance while percentage change in exchange rate negatively affect funds performance. However, fund size and fund age were found have no significant relationship with fund performance. Based on adjusted R-squared value, the research reveals that all independent variables simultaneously affecting equity mutual fund performance as much as 80.85%. The result indicates that investors and fund managers should focus on macroeconomic condition as they significantly influence fund performance. Fund managers of investment companies should develop strategies and their ability to improve their funds performance.