Equity fund performance using persistence analysis

Sufi Jikrillah

Abstract


The research was carried out to determine and analyze the performance persistence of annual and biennial equity fund in  2016 - 2018 using the Sharpe and Sortino method. The population consists of 101 equity funds.   in 2016  65 samples calculated  by Sharpe method and 54 samples calculated  by Sortino method, in 2017 74 samples calculated by Sharpe  method  and 62 samples calculated  by  Sortino method , and  in 2018  86 samples calculated by Sharp method  and 74 samples calculated  by  Sortino method.  Persistence testing using Malkiel’s (Z-test), Brown’s Goetzmann’s odds ratio (OR), and Kahn’s Rudd’s X2 test. The results showed that there is persistence equity fund performance  in 2016-2017 . But there is no persistence equity fund performance  in 2017 - 2018 and 2016-2018 . This is due to changes in the performance of stock that affect the performance of equity fund.


Keywords


Persistence; malkiel’s (z-test); brown’s goetzmann’s odds ratio (or); kahn’s rudd’s x test

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