Will the winner still be the winner? A study of equity mutual fund performance in Indonesia

Abstract

In this study, we explore the consistency of Indonesian Rupiah (IDR) – denominated equity mutual funds offered in Indonesia from 2007 to 2017 from various holding periods, namely one year, three years, and five years. Two questions are addressed. Will the winning mutual funds be the winner in the following period? Is the performance of a longer period more persistent than that of the shorter period? Using the nominal return from these eleven years, we find that the equity mutual funds in Indonesia earn no stable performance. The winner will not always be the winner in the following observed period. In addition, no evidence is found that long-term performance would result in a better persistence than that of the shorter time frame.