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Protected Mutual Fund, Net Asset Value (NAV), Indonesia Stock Price Composite Index (IHSG), Certificate of Bank Indonesia (SBI).


  1. Bayu Bandono
  2. Noer Azam A
  3. Nunung Nuryartono
  4. Adler H. Manurung




      A protected
      mutual fund is a type of mutual fund that provides protection for the initial
      investment value of trust unit holders through the mechanisme of porttfolio
      management. Protected mutual funds expected relatively safer than other types
      of mutual funds. This study refers to previous studies, such as Markowitz
      (1952), Sharpe (1964), Mossin (1966), Lintner (1966), Treynor (1966), Jensen
      (1968) and Chen, Roll and Ross (1986). The objectives of this study are to measure
      the performance of protected mutual funds in Indonesia compared to the
      benchmark. Data to answer objectives of the research is secondary data which is
      monthly time series data of Net asset Value (NAV), Indonesia Stock Price
      Composite Index (IHHSG), and Certificate of Bank Indonesia (SBI). The method of
      analysis used in this study is hhe adjusted Return that introduced by Sharpe,
      Treynor and Jensen. Based on the analysis can be seen that protected mtual
      funds in Indonesia is able to beat its bencmark of Certificate of Bank
      Indonesia (SBI), even overcome Indonesia Stock Price Composite Index (IHSG).



      Vol 01, Nomor 01, Tahun 2013


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