Thai Equity Mutual Fund Net Asset Value Return Prediction Using Internal Factors

2021 ◽  
Author(s):  
Nuttrachai Promptsook ◽  
Kitsana Waiyamai
Keyword(s):  
Mutual Fund ◽  
Internal Factors ◽  
Asset Value ◽  
Net Asset Value ◽  
Equity Mutual Fund

scholarly journals Fund Age, BI Rate, Exchange Rate, Dan Jakarta Islamic Index Pada Net Asset Value Di Islamic Equity Mutual Fund Indonesia

2019 ◽  
Vol 10 (1) ◽  
pp. 01
Author(s):  
Darmawan Darmawan
Keyword(s):  
Exchange Rate ◽  
Mutual Fund ◽  
Internal Variables ◽  
Macroeconomic Factors ◽  
Panel Data Regression ◽  
Statistical Effect ◽  
Data Regression ◽  
Asset Value ◽  
Net Asset Value ◽  
Equity Mutual Fund

<div><p class="1eAbstract-text">Net Asset Value (NAV) of islamic equity mutual fund is a benchmark to determine the development of islamic equity mutual fund. There are many factors that is influence NAV of Islamic equity mutual fund such as macroeconomic factors as well as internal variables of the mutual fund. The purpose of this study are to find out the effect of fund age, BI rate, exchange rate, and Jakarta Islamic Index (JII) on NAV of Islamic equity of mutual fund. The method analysis used Panel Data Regression Analysis. The results showed that simultaneously fund age, BI rate, exchange rate, and JII have a effect to NAV of islamic equity mutual fund. Partially, fund age, BI rate, and JII have positif  effect to NAV of islamic equity mutual fund and exchange rate has insignificant statistical effect to NAV of islamic equity mutual fund.</p></div>

Pengaruh Inflasi, BI-7 Day Reverse Repo Rate, Kurs, Jumlah Uang Beredar dan Indeks Harga Saham Gabungan terhadap Nilai Aktiva Bersih Reksa Dana Saham

Owner ◽  
2021 ◽  
Vol 5 (2) ◽  
pp. 358-367
Author(s):  
Jhon Lismart Benget. P.
Keyword(s):  
Exchange Rate ◽  
Mutual Funds ◽  
Money Supply ◽  
Mutual Fund ◽  
Stock Price ◽  
Price Index ◽  
Asset Value ◽  
Net Asset Value ◽  
Repo Rate ◽  
Stock Price Index

The purpose of this study is to examine the effect of inflation, BI-7 day reverses repo rate, exchange rate, the money supply, and composite stock price index on the net asset value of stock mutual funds. The population of this study is the stock mutual fund which was listed on the financial services authority in 2017-2020. The results of this study indicate that simultaneously inflation, BI-7 day reverse repo rate, exchange rate, the money supply, and composite stock price index affect the net asset value of the stock mutual fund. Partially, this study show BI-7 day reverse repo rate has a positive and significant effect on the net asset value of a stock mutual fund. The exchange rate has a positive and significant effect on the net asset value of stock mutual funds. The composite stock price index has a positive and significant effect on the net asset value of stock mutual funds. The money supply has a negative and significant effect on the net asset value of a stock mutual fund while inflation has no significant effect on the net asset value of a stock mutual fund.

scholarly journals A Factorial Analysis of Information Ratio and Its Causal Effect on Yearly Return of Net Asset Value – A Study of Indian Equity Diversified Mutual Fund Schemes

2018 ◽  
Vol 7 (4.36) ◽  
pp. 707 ◽  
Author(s):  
Suman Chakraborty ◽  
Satish Kumar ◽  
Lumen Shawn Lobo
Keyword(s):  
Interest Rates ◽  
Mutual Fund ◽  
Causal Effect ◽  
Secondary Data ◽  
Information Ratio ◽  
Wide Range ◽  
Asset Value ◽  
Net Asset Value ◽  
Equity Funds ◽  
Sector Funds

Evaluation of performance of mutual fund schemes has gained a wide range of attention from both investors and academicians. The study aims at assessing the returns from equity mutual fund schemes in India by applying risk adjusted performance evaluation techniques. The study is based on secondary data collected for ten years for selected open ended equity diversified mutual funds. A comparative assessment of performance of public sector sponsored equity funds and non-government sponsored  sector funds bring forth with an interesting inference. The present study also constitutes a modest attempt to assess the information ratio and its causal effect on the average yearly return of Net Asset Value (NAV). Based on the previous research findings, this paper puts an honest effort to identify twelve independent variables which affects significantly the performance of NAV. The evaluation relies on the Sharpe, Trenor and Jensen’s technique, which have been applied in conjunction with parametric and non-parametric statistical tools using. The result shows significant relationship exists between the NAV return and fund’s risk, information ratio, macro-economic variables such as inflation, interest rates, market index performance, foreign flow of funds and foreign exchange on the basis of regression analysis. 

Indonesian Mutual Funds Classification Using Clustering Method

2015 ◽  
Vol 21 (4) ◽  
pp. 826-829
Author(s):  
Ir. Dewi Tamara ◽  
Shintia Revina
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Money Market ◽  
Fixed Income ◽  
Clustering Method ◽  
New Classification ◽  
Asset Value ◽  
Net Asset Value ◽  
Alternative Investment

Mutual funds have existed since 1990 as an alternative investment in Indonesia. The objective of this research is to examine the existing classification of mutual funds database. The data of mutual funds is taken from Bloomberg through Portal Reksadana 2013 which covered 690 mutual funds. The existing classification consists of mutual funds fixed income (reksadana pendapatan tetap), equity (reksadana saham), money market (reksadana pasar uang) and structured (reksadana campuran). The existing financial attributes consists of the net asset value, percentage annualized return the last 6 months, 1 year, 3 years, 5 years and year-to-date. This paper uses K-means clustering to propose new classification of Indonesian mutual funds. The result reveals that mutual funds in equity and fixed income belong to its group. However, mutual funds money market is belong to mutual fund fixed income and mutual funds structures are identified to mutual funds equity. Furthermore, we find that in average 43% of Indonesian mutual funds are misclassified in accordance with their attributes. Finally, it is suggested to re-group the mutual funds into smaller classification, which has lower rates of misclassified mutual funds and possibility to achieve better performances in terms of its percentage annualized return.

scholarly journals PENGARUH INFLASI, NILAI TUKAR RUPIAH, BI RATE TERHADAP NILAI AKTIVA BERSIH REKSA DANA TERPROTEKSI SYARIAH PERIODE 2014-2018 DI INDONESIA

2020 ◽  
Vol 6 (9) ◽  
pp. 1830
Author(s):  
Mohammad Ilyas ◽  
Atina Shofawati
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Interest Rate ◽  
Mutual Fund ◽  
Independent Variables ◽  
Currency Exchange ◽  
Currency Exchange Rate ◽  
Analysis Technique ◽  
Asset Value ◽  
Net Asset Value

The Research aims to determine the influence of inflation, currency exchange rate, interest rate that affect net asset value of protected Islamic mutual fund from 2014-2018 in Indonesia partially and simultaneously. The research also uses quantitative approach and multiple regression analysis technique. The sample used for this research is obtained from monthly statistic data of Bank Indonesia, Otoritas Jasa Keuangan, and Pusat data kontan which had been published online from January 2014 to Desember 2018, so there are 60 samples taken for this reserch. The variabels of this research include inflation (X1), currency exchange rate (X2), interest rate (X3), and net asset value of protected Islamic mutual fund (Y). The result of this research shows that partially, the inflation affect Net Asset Value of Protected Islamic Mutual Fund from 2014-2018 in Indonesia insignificantly, currency exchange rate affect Net Asset Value of Protected Islamic Mutual Fund from 2014-2018 in Indonesia significantly, and interest rate affect Net Asset Value of Protected Islamic Mutual Fund from 2014-2018 in Indonesia significantly. Simultaneously, all independent variables affect Net Asset Value of Protected Islamic Mutual Fund from 2014-2018 in Indonesia significantly.Keywords: Macroeconomic, Inflation, InterestRate, Currency Exchange Rate, Net Asset Value, Protected Islamic Mutual Fund

scholarly journals Exchange-traded funds as an alternative investment option

2019 ◽  
pp. 7-37
Author(s):  
António Afonso ◽  
Pedro Cardoso
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Exchange Traded Funds ◽  
Price Efficiency ◽  
Index Funds ◽  
Equity Mutual Funds ◽  
Asset Value ◽  
Net Asset Value ◽  
Tracking Ability ◽  
Investment Option

We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017, we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that the studied ETF does not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the examined ETF is priced at a low average discount with evidence of deviations persistence of at least two days. The investment schemes with the highest ability to track the PSI 20 Index were PSI20 (ETF), BBVA PPA Índice PSI20, and the equity mutual fund BPI Portugal.

scholarly journals PENGARUH SERTIFIKAT BANK INDONESIA SYARIAH (SBIS), INDEKS HARGA SAHAM GABUNGAN (IHSG), DAN NILAI TUKAR RUPIAH TERHADAP NILAI AKTIVA BERSIH (NAB) DANAREKSA SYARIAH BERIMBANG

2015 ◽  
Vol 1 (2) ◽  
pp. 100
Author(s):  
Muhammad Rizki Aulia
Keyword(s):  
Exchange Rate ◽  
Mutual Fund ◽  
Stock Price ◽  
Price Index ◽  
Negative Influence ◽  
Asset Value ◽  
Net Asset Value ◽  
Value Net ◽  
Stock Price Index ◽  
Positive Effect

<p>The purpose of this study is to determine the factors that influence the growth of the Net Asset Value (NAV) of a mutual fund sharia, namely Sharia Bank Indonesia Certificates (SBIS), Composite Stock Price Index (CSPI) and Exchange Rate (USD). All of the factor are assumed have significant impact on the net asset value (NAV). Danareksa Syariah Berimbang of PT. Danareksa Management. The research method is done by multiple regression. The results showed there is negative influence significant between Sharia Bank Indonesia Certificates (SBIS) and exchange rate, there is positive effect between the stock price index (CSPI), and the Asset Value net (NAB) Danareksa Syariah Berimbang</p>

scholarly journals Growth and Value Effect on Jakarta Islamic Index: Analysis towards Performance of Sharia Equity Mutual Fund

2019 ◽  
Vol 11 (1) ◽  
Author(s):  
Sylva Alif Rusmita ◽  
Marhanum Che Mohd Salleh
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Secondary Data ◽  
Additional Insight ◽  
Risk And Return ◽  
Fund Managers ◽  
Index Analysis ◽  
Asset Value ◽  
Net Asset Value ◽  
Value Effect

This study provides evidence that value and stocks’ growth able to explain Net Asset Value of Shariah Mutual Fund. It is important for investment managers and investors to estimate future profit or loss that may happen on their mutual funds prior they venture into the investment platform. This study therefore is conducted to prove that factors including value and growth may affect the future profit of Shariah Mutual Funds. Based on quantitative analysis with secondary data from companies indexed in the Jakarta Islamic Index and Sharia Mutual Fund from year 2013 to 2017, it is found that both growth and value of stock have equally affected the profit of Sharia Mutual Funds. In addition, growth of stock has a larger R-Square than its value which means that the investors or fund managers would need to observe the stock growth more often than its value in order to predict future profitability of Shariah funds.  It is expected that the results of this study can provide additional insight to investment managers when choosing a portfolio for investors. For investors, this information is useful to predict the risk and return that they will receive from the investment.

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