ABSTRACT
The research employed risk-adjusted measurement to analyze the performance of 42 exchange-traded funds (ETF) in Indonesia from 2016 to 2020 using the Sharpe ratio as the proxy. The research also explored the influence of the stock selection skill and market timing ability on ETFs’ performance using data panel regression. The results showed that 21.43% of the ETFs outperformed the average market return, whereas the passive ETFs had better performance than the active ones. The regression analysis showed that only market timing ability had a positive and significant influence on ETFs’ performance. The market timing ability was significant to the ETF with the underlying thematic index and factor index.
