Indonesian Mutual Fund Performance

25 Pages Posted: 22 Jul 2021 Last revised: 3 Dec 2023

See all articles by Marta Vidal

Marta Vidal

Universidad Europea de Madrid; Universidad Complutense de Madrid (UCM)

Javier Vidal-García

Complutense University of Madrid; Harvard University

Date Written: November 18, 2023

Abstract

In this article, we examine mutual fund performance in Indonesia using daily data over a period of 22 years. The performance of Indonesian equity funds is evaluated employing a survivorship bias free sample using both conditional and unconditional models, for this purpose we use the Carhart four-factor model. Indonesia is the fourth most populous country in the world with 273 million inhabitants in 2021 and it is expected that in 10 years it will enter the top 4 of the largest economies by GDP (by then it will be 300 million Indonesians. We find that Indonesian funds prefer small and value (high book-to-market) stocks, we show that all investment styles portfolios significantly outperform the market delivering positive alphas after we account for usual risk factors in stock returns. We can conclude that Indonesian funds yield a positive risk-adjusted performance to their potential wealth-maximizing investors in contrast to the predominant US evidence. All investment style portfolios are able to capture new information on time to compensate their fees and add value for the investor.

Keywords: Mutual Fund; Performance Persistence; Indonesia; Factor Models

JEL Classification: G11, G12

Suggested Citation

Vidal, Marta and Vidal-García, Javier and Vidal-García, Javier, Indonesian Mutual Fund Performance (November 18, 2023). Available at SSRN: https://ssrn.com/abstract=3890486 or http://dx.doi.org/10.2139/ssrn.3890486

Marta Vidal

Universidad Europea de Madrid ( email )

Villaviciosa de Odón
Madrid, 28670
Spain

Universidad Complutense de Madrid (UCM) ( email )

Somosaguas Campus
Madrid, 28223
Spain

Javier Vidal-García (Contact Author)

Complutense University of Madrid ( email )

School of Business Administration
Somosaguas Campus
Madrid, Madrid 28223
Spain

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
223
Abstract Views
699
Rank
248,431
PlumX Metrics