Int. J. Monetary Economics and Finance, Vol. 11, No. 3, 2018 243 Copyright © 2018 Inderscience Enterprises Ltd. Asset allocation strategy to create superior portfolio from equity mutual funds Sylviana Maya Damayanti*, Isrochmani Murtaqi, Rudy Bekti and Anggoro Budi Nugroho School of Business and Management, Institut Teknologi Bandung, Bandung, 40132, Indonesia Email: sylvianamaya@sbm-itb.ac.id Email: nani@sbm-itb.ac.id Email: rudyb@sbm-itb.ac.id Email: anggoro@sbm-itb.ac.id *Corresponding author Abstract: There are many factors that cause an investor’s success or failure in investing. One of the most decisive factors is the strategy to allocate investment assets. Therefore, investors need to allocate his or her assets such that an optimal return is achieved. This study discusses three strategies of asset allocation, namely buy and hold, instalment plan, and rebalancing. Three rebalancing processes are applied; quarterly, semi-annually and annually. Thirty active equity mutual funds from 2008 to 2014 have been used as research sample to calculate the superior portfolio. This study uses the Sharpe ratio to calculate portfolio return. The research result shows that strategic asset allocation with rebalancing strategy is considered the best strategy to be applied by investors. This finding can be used by investors as reference to invest in equity mutual funds to enhance returns. Keywords: asset allocation; portfolio; equity mutual fund. Reference to this paper should be made as follows: Damayanti, S.M., Murtaqi, I., Bekti, R. and Nugroho, A.B. (2018) ‘Asset allocation strategy to create superior portfolio from equity mutual funds’, Int. J. Monetary Economics and Finance, Vol. 11, No. 3, pp.243–250. Biographical notes: Sylviana Maya Damayanti is a Lecturer Staff at the School of Business and Management, Institut Teknologi Bandung (SBM-ITB) and joined as the faculty member of the sub-interest groups of Business Risks and Finance. Her research interests in the areas of personal financial planning, corporate finance, financial management, investment management and capital markets has produced a variety of publication in the form of scientific papers, popular articles and a book entitled: “Personal Financial Planning – The Essence of Knowledge in Financial Planning Goals to Achieve a Prosperous Life”. Isrochmani Murtaqi received her Master in Accounting from the University of Oregon, USA in 2003, completing undergraduate education in the same field at the University of Indonesia in 1984. Her research interests in the field of