Window Dressing Analysis on Mutual Funds of Investment Management Companies in Indonesia in 2017–2020

Yuli Agustina () and Jonathan Tamba
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Yuli Agustina: State University of Malang
Jonathan Tamba: State University of Malang

A chapter in Proceedings of the BISTIC Business Innovation Sustainability and Technology International Conference (BISTIC 2022), 2023, pp 284-292 from Springer

Abstract: Abstract This research uses descriptive quantitative methods. The variables in this study are the Net Asset Value (NAV) of equity mutual funds, JCI and bank Indonesia interest rates. The purpose of this study is to analyzea window dressing phenomenon of mutual fund products of investment management companies in Indonesia in 2017–2020. The object of this study focuses on investment management companies that practice window dressing of their mutual fund products. The population used in this study is all conventional equity mutual funds that have a license from the Financial Services Authority (OJK) and have been registered and have complete portfolio data. The sample used was 39 stock mutual fund products from 66 observations. With the Sharpe method, the results of the study obtained that the performance of equity mutual funds in 2017 there were 33 stock mutual funds performing positively and 12 stock mutual funds performing negatively. In 2018 there were 29 stock mutual funds performing positively and 16 stock mutual funds performing negatively. In 2019, there were 21 mutual funds performing positively and 24 equity mutual funds performing negatively. In 2020 there were 22 stock mutual funds performing positively and 23 stock mutual funds performing negatively, after comparison, there were five stock mutual fund products that had the potential to do window dressing, namely Prima Equity Mutual Funds, Batavia Optimal Stock Funds, Progressive Equity Lautandhana Mutual Funds, Mandiri Investa UGM Endowment Plus, Syailendra Equity Opportunity Fund. Of the five equity mutual funds, the most consistent stock mutual funds that have always been ranked in the top 10 for three consecutive years are Syailendra Equity Opportunity Fund and Batavia Optimal Stock Fund. The five equity mutual funds respectively during 2017, 2018, 2019 and 2020 had positive performance based on the Sharpe method.

Keywords: Sharpe method; Performance; Stock mutual funds; Window dressing (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-178-4_29

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DOI: 10.2991/978-94-6463-178-4_29

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