Mutual Fund Performance Analysis Using Information Ratio, STJ Ratio and Value at Risk
DOI:
https://doi.org/10.62951/ijamc.v2i1.66Keywords:
Mutual Fund, Performance, Ratio, Value at RiskAbstract
Measuring performance solely by relying on returns is probably not enough, it is important to consider both returns and risks. Some measurement methods that consider both of these factors are the Sharpe Ratio index, Treynor Ratio, Jensen Alpha, and Information Ratio. Risk analysis using Value at Risk Monte Carlo simulation is also important to determine the potential for extreme risks. The purpose of this study is to provide a good understanding of the performance and risk of mutual fund investments. Based on the performance results, Schroder is the most superior mutual fund, with the highest Information Ratio, Sharpe Ratio, and Jensen Ratio, indicating that they are able to generate good returns considering the risks taken. However, Schroder also has the highest VaR, meaning it has the potential for large losses in the worst market conditions. On the other hand, MNC is at the bottom in almost all performance methods, indicating poor performance with low returns and lower risks.
References
Arnianti, Alimuddin, and Nurleni. 2021. “Performance Analysis of Sharia Mutual Funds in the Indonesian Capital Market Using the Information Ratio Method.” Journal of Contemporary Business and Accounting 14(2):104–13.
Diana, Tria Mei, and Syamsul Hilal. 2023. “Risk Analysis Modeling on Sharia Stocks: An Approach with Daily Learning at Risk (DEAR).” 2(2):313–20.
Hamid, Ahmad Karim Abdul, and Iwan Fahri Cahyadi. 2018. “Performance Analysis of Sharia Mutual Funds in the Indonesian Capital Market Using the Sharpe Method.” Journal of the Academy of Accounting 1(1). doi: 10.22219/jaa.v1i1.6953.
Jannah, Nabila Nur, Komang Dharmawan, and Luh Putu Ida Harini. 2022. “The Use of Monte Carlo Simulation in Estimating the Value at Risk (VaR) of Portfolios Formed from Multinational Stock Price Indexes.” E-Journal of Mathematics 11(3):199. doi: 10.24843/mtk.2022.v11.i03.p381.
Lahi, Ronaldus, Asri Atti, Maria Agustina Kleden, and Robertus Dole Guntur. 2023. “Calculation of Value at Risk (VaR) of Single Asset Using Monte Carlo Simulation Method Approach (Case Study: PT. Indofood Cbp Sukses Makmur Tbk and PT. Astra International Tbk).” Journal of Scientific Horizons 2(2):3297–3310.
Priyantono, Vian Rizeki Alif, Di Asih I. Maruddani, and Iut Tri Utami. 2023. “Optimal Portfolio Analysis Using Single Index Model and Value at Risk Measurement with Monte Carlo Simulation (Case Study: Exchange Traded Fund on the Indonesia Stock Exchange for the Period January 2021 – June 2022).” Gaussian Journal 12(2):158–65. doi: 10.14710/j.gauss.12.2.158-165.
Putri, Titania Apriliani, Sari Octavera, and Febri Rahadi. 2022. “Analysis of Stock Mutual Fund Performance Using Sharpe, Treynor, and Jensen Alpha Methods.” 24.
Rebiman, and Ika Putera Waspada. 2022. “Analysis of Stock Mutual Fund Performance Using Sharpe, Jensen and Treynor Methods on the Indonesia Stock Exchange.” Journal of Economic Education and Economic Studies VI: 2549–2284.
Downloads
Published
Issue
Section
License
Copyright (c) 2024 International Journal of Applied Mathematics and Computing
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
