The Analysis of Performance and Determinant Factors of Exchange-Traded Fund in Indonesia Exchange
Romi Septa Muharram- Imo Gandakusuma

Universitas Indonesia

Abstract

The research used risk-adjusted measurement to analyse the performance of 42 Exchange-traded funds (ETF) in Indonesia within a five years period from 2016 until 2020 using Sharpe ratio as the proxy. The study also explores the influences of the stock selection ability and market timing ability on ETFs performances using data panel regression analysis. The results show that 21,43% of the ETF outperformed the market return on average, where the passive ETF had better performances than the active ETF. The regression analysis shows that only market timing ability had a positive and significant influence on ETFs performance. The market timing ability was superior in the ETF with thematic index underlying and factor index underlying.

Keywords: ETF, sharpe ratio, stock selection ability, market timing ability, investment manager

Topic: Corporate Finance