| Summary: | The purpose of this study was to analyze and compare several mutual
funds issued by the two government companies engaged in capital market, namely
PT. Danareksa Investment Management and PT. Mandiri Investment
Management during a period of crisis in Euro-Zone. The selected mutual funds
are divided among the three kinds of mutual funds are equity funds, mixed funds,
and fixed income funds for comparative analysis based on risk adjusted return.
In this study, the authors calculate the performance of each mutual fund
issued by PT. Danareksa Investment Management and PT. Mandiri Investment
Management (Danareksa Mawar, Danareksa Anggrek, Danareksa Gebyar
Indonesia II, Mandiri Investa Atraktif, Mandiri Investa Aktif, Mandiri Investa
Dana Utama) during the period of crisis in Euro-Zone (year 2011 until the year
2012) by using the risk-adjusted performance through the Sharpe ratio, Treynor
ratio, and the ratio of Differential Return. Since this method calculates between
return and risk, the authors need a data of a return from selected mutual fund
products since the beginning of September 2011 until the end of July 2012 from
net asset value of mutual funds data.
The results of this study will show that during the crisis period, an
indication of high returns from a mutual fund may not necessarily result in
positive returns after the risk free rate. In addition, a mutual fund may not
necessarily have a low risk as reflected in the value of the return variability and
volatility of the supermarket. As well as the return of mutual funds still can not
beat the performance observed marketnya (index) during bearish. The results of
this comparative analysis also shows mutual fund products which are superior
when compared to similar products, in addition, this study shows the performance
of mutual funds between PT. Danareksa Investment Management and PT.
Mandiri Investment Management cumulatively to determine the investment
management company whose performance is better during the Euro-Zone crisis.
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