This research is conducted to calculate and analyze the performance of mutual fund in Indonesia in several types that has a significant development during 2006-2011 (equity mutual fund, asset allocation fund, and debt mutual fund). To measure the performance methods that used in this research are Treynor Ratio, Sharpe Ratio, Information Ratio, Jensen Index, and Sortino Ratio.
Research type of this research is descriptive quantitative research method where it is addressed research objectives through empirical assessment that involve numerical measurement and analysis approach. To define the sample, this research is using convenience sampling and takes 123 samples which is 30 from equity, 41 from asset allocation, and 52 from debt.
The result shows that both mutual funds have a good performance according to several methods that used in periods, except in 2008. This condition happens because of the economic crisis that happens at the time that affected the Net Asset Value (NAV).
Keywords: Investment, Mutual Fund, Treynor Ratio, Sharpe Ratio, Information Ratio, Jensen Index, and Sortino Ratio