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Abstract

The purpose of this study is to determine the difference in returns on the JCI or stock mutual funds returns and to find out how well the performance of the four stock mutual funds is in the conclusion that there is a difference or not in the consistency of the performance of stock mutual funds. In this study, the Mutual Fund Performance Evaluation Method used includes the Sharpe Ratio, Treynor Ratio, Jensen Alpha, and M-Square. The population in this study is equity mutual funds registered with the Financial Services Authority (OJK) for the 2016-2018 period. The results of the study based on the Wilcoxon signed rank test showed that there was a significant difference between stock mutual fund returns and JCI returns. Meanwhile, based on the Kruskal-Wallis test, it shows that there are differences in the consistency of the calculation of the Sharpe Ratio, Treynor Ratio, Jensen Alpha, and M-Square methods.