Equity fund performance using persistence analysis

Sufi Jikrillah


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.


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

Full Text:



Brigham, Eugene F dan Houston, Joel F. 2010. Dasar-dasar Manajemen Keuangan. Salemba Empat. Jakarta.

Darmadji, Tjiptono dan Hendy M. Fakhruddin. 2011. Pasar Modal di Indonesia.Salemba Empat. Jakarta.

Eduardus Tandelilin. 2010. Portofolio dan Investasi: Teori dan Aplikasi. BPFE Yogyakarta.

Ferruz, Luis. José Luis Sarto dan María Vargas. 2003. Analysis of performance persistence in Spanish short-term fixed interest investment funds (1994-2002). European Review of Economics and Finance. /

Jan, Yin Ching dan Mao – Wei Hung. 2004. Short-Run and Long-run Persistence in Mutual Funds. The Journal of Investing. .

Lee, Cheng Few. Alice C Lee dan John Lee. 2010. Handbook of Quantitative Finance and Risk Management. Springer. New York.

Sourd, Veronique Le. 2007. Performance Measurement for Traditional Investment Literature Survey. EDHC Risk and Asset Management Research Centre. /

Sugiyono. 2012. Metode Penelitian Bisnis. Alfabeta. Bandung.

Waelan. 2009. Persistensi Kinerja Reksa Dana di Bursa Efek Indonesia.

Jurnal Akuntansi dan Auditing Indonesia. Volume 13 No. 2. Desember


  • There are currently no refbacks.

Copyright (c) 2020 PROCEEDING MICEB (Mulawarman International Conference On Economics and Business)

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

 Creative Commons Licence

Proceeding MICEB  ISSN print: 1907-3011  ISSN online: 2528-1127 is licensed under a  Creative Commons Attribution NonCommercial 4.0 International License.