Fair Value Adjusted Pricing of Mutual Funds Using Treasury Futures

2018 ◽  
Vol 09 (01n02) ◽  
pp. 1850006
Author(s):  
Jiequn Guo
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Timing ◽  
Fair Value ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
Holding Period ◽  
Transaction Fees ◽  
Value Pricing ◽  
Treasury Futures

The U.S. Investment Company Act of 1940 requires mutual fund boards to determine fair value of their portfolios. With mutual fund investments on foreign securities, there is a potential market timing issue when markets evolve between foreign and domestic market close. However, there is little research to date relating to fair value pricing procedures for foreign fixed-income securities. In this paper, we discuss the market timing problems and present a statistical approach utilizing treasury futures to fair value pricing of foreign fixed income securities. Timely valuation adjustment of foreign fixed income securities is the best approach to fend off arbitrageurs than raising transaction fees or setting minimum holding period for mutual funds.

scholarly journals Pengaruh Risiko Sistematis, Market Timing, dan Ukuran Dana Terhadap Kinerja Reksa Dana Pendapatan Tetap Syariah di Indonesia (Periode 2014-2018)

2020 ◽  
Vol 6 (12) ◽  
pp. 2409
Author(s):  
Febrita Kusumastiti ◽  
Muhammad Nafik Hadi Ryandono
Keyword(s):  
Mutual Funds ◽  
Significant Influence ◽  
Mutual Fund ◽  
Market Timing ◽  
Systematic Risk ◽  
Coefficient Of Determination ◽  
Fixed Income ◽  
Fund Size ◽  
The Relationship ◽  
Regression Tests

The purpose of this study is to determine the effect of the systematic of risk, market timing, and fund size toward sharia fixed income mutual funds in Indonesia period 2014-2018 partially and simultaneously. This research uses a quantitative approach and uses multiple linear regression tests to determine the relationship between exogenous variables and endogenous variable. The result of this research shows that systematic risk and fund size are partially have significant influence to the sharia fixed income mutual funds performance. Meanwhile, market timing is partially have insignificant influence to the sharia fixed income mutual funds performance. While simultaneously, systematic risk, market timing and fund size have significant influence to the sharia fixed income mutual funds performance with the coefficient of determination is 31,9% while the remaining 68,1% is influenced by other variables not included in this research.Keywords: Sharia Mutual Fund Performance, Systematic Risk, Market Timing, Fund Size

scholarly journals MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS

2021 ◽  
Vol 6 (1) ◽  
pp. 118-135
Author(s):  
Pick-Soon Ling ◽  
Ruzita Abdul-Rahim
Keyword(s):  
Mutual Funds ◽  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Stock Selection ◽  
Investment Style ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Stock Picking

Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers.   Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017.   Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy.   Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies.   Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection.   Cite as: Ling, P-S., & Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds.  Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

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.

A note on fair value pricing of mutual funds

2001 ◽  
Vol 25 (2) ◽  
pp. 339-354 ◽  
Author(s):  
Rahul Bhargava ◽  
David A Dubofsky
Keyword(s):  
Mutual Funds ◽  
Fair Value ◽  
Value Pricing

scholarly journals KINERJA MANAJER INVESTASI REKSADANA SAHAM SYARIAH DI INDONESIA

2019 ◽  
Vol 4 (1) ◽  
pp. 1
Author(s):  
ANITA ANITA
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Timing ◽  
Market Performance ◽  
Sampling Technique ◽  
Significant Positive Effect ◽  
Stock Selection ◽  
Purposive Sampling ◽  
Merton Model ◽  
Positive Effect

The purpose of this study is to test the ability of investment managers in Islamic mutual funds in their ability to conduct stock selection and market timing. The model developed in this study uses the Henriksson-Merton model. With purposive sampling technique obtained a sample of 31 mutual funds. After testing the results obtained, the performance of Islamic stock mutual funds in Indonesia underperformed compared to the ISSI market performance. The stock selection results contribute negatively to α = 5%, while the ability of market timing has a significant positive effect on mutual fund returns.

Mutual fund alpha and daily market-timing ability

2019 ◽  
Vol 36 (4) ◽  
pp. 662-681
Author(s):  
Qiang Bu
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Design Methodology ◽  
Market Timing ◽  
Content Type ◽  
Market Return ◽  
Timing Ability

Purpose This study aims to examine whether mutual funds can earn daily alpha and time daily market return. Design/methodology/approach Based on the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model, the author tests the daily market-timing ability of actual mutual funds and bootstrapped mutual funds. Findings The author finds that daily alpha and daily market-timing ability can come from pure luck. In addition, the relation between fund alpha and market-timing ability is at best minimal. Originality/value Using bootstrapped funds as the benchmark, this study shows that daily fund market is overall efficient.

scholarly journals Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia

2020 ◽  
Vol 11 (2) ◽  
pp. 77
Author(s):  
Rina Rachmawati ◽  
Sugeng Wahyudi ◽  
Irene Rini Demi Pangestuti ◽  
Najmudin .
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Linear Models ◽  
Market Timing ◽  
Investment Strategy ◽  
Investment Fund ◽  
Fund Management ◽  
Fund Managers ◽  
Equity Funds ◽  
Positive Effect

This study examines the effect of investment fund managers' characteristics in the form of tenure, and mutual fund characteristics with proxy turnover portfolios, market timing and stock selectivity on the performance of stock mutual funds. The research sample is 27 stock mutual funds in Indonesia that were active from 2013 to 2017. On the analysis of the relationships between the characteristics of investment managers and mutual funds characteristics on the performance of stock mutual funds, a series of OLS regressions were run. The panel data regression was included based on using the Eviews. All of the above were aimed at achieving portfolio optimization and realizing the maximization of the interests for fund management companies and investors. The main findings are as follows. Tenure does not affect the performance of stock mutual funds during the years 2013 to 2017, but if divided into 2 quadrants of tenure, namely tenure over 19 years and tenure under 19 years of work, the result is that tenure over 19 years has a positive effect on the performance of stock mutual funds, but tenure brought 19 years has no effect on the performance of equity funds, whereas mutual funds characteristics, which are proxied by portfolio turnover, market timing and stock selectivity, have a significant positive effect on the performance of equity funds in Indonesia. The primary limitation in the scope is the sample, because stock mutual funds that publish consistently Financial statements between 2013 and 2017 are few in number. These findings have important implications for fund management companies as input material that the investment strategy of the investment management team affects the performance of equity funds compared to the characteristics of investment managers with proxies for years of service. This paper proposes a new perspective to evaluate the relationship between the fund manager and mutual funds characteristicsanddivide 2 groups of working years, and calculate them with non-linear models.

scholarly journals PERBANDINGAN KINERJA REKSADANA SYARIAH DAN REKSADANA NON-SYARIAH DI INDONESIA BERDASARKAN RETURN, RESIKO, DAN KOEFISIEN VARIASI

2019 ◽  
Vol 5 (2) ◽  
pp. 122
Author(s):  
Shafira Sa’adah Syauqiyah ◽  
Muhammad Nafik H. R
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Coefficient Of Variation ◽  
Performance Comparison ◽  
T Test ◽  
Quantitative Approach ◽  
Fixed Income ◽  
Test Analysis ◽  
Significant Difference ◽  
Equity Mutual Fund

This research aims to find out the performance comparison between sharia mutual funds and non-sharia mutual funds in Indonesia during 2013-2015 by using return, risk, and coefficient of variation in the three types of mutual funds; equity mutual fund, mixed mutual fund, and fixed income mutual fund. The approach used is quantitative approach by using independent samples t-test or mann whitney in the test analysis with 5% significant level. The result of this study indicate that there is no significant difference between return, risk, and coefficient of variation of sharia mutual funds and non-sharia mutual funds in Indonesia in three types of mutual funds.

International diversification for portfolios of European fixed-income mutual funds

2017 ◽  
Vol 43 (2) ◽  
pp. 242-262 ◽  
Author(s):  
Paolo Zagaglia
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Utility Maximization ◽  
International Diversification ◽  
Time Varying ◽  
Fixed Income ◽  
Content Type ◽  
Conditional Moments ◽  
Country Level ◽  
Out Of Sample

Purpose The purpose of this paper is to study the scope for country diversification in international portfolios of mutual funds for the “core” EMU countries. The author uses a sample of daily returns for country indices of French, German and Italian funds to investigate the quest for international diversification. The author focuses on fixed-income mutual funds during the period of the financial market turmoil since 2007. Design/methodology/approach The author compute optimal portfolio allocations from both unconstrained and constrained mean-variance frameworks that take as input the out-of-sample forecasts for the conditional mean, volatility and correlation of country-level indices for funds returns. The author also applies a portfolio allocation model based on utility maximization with learning about the time-varying conditional moments. The author compares the out-of-sample forecasting performance of 12 multivariate volatility models. Findings The author finds that there is a “core” EMU country also for the mutual fund industry: optimal portfolios allocate the largest portfolio weight to German funds, with Italian funds assigned a lower weight in comparison to French funds. This result is remarkably robust across competing forecasting models and optimal allocation strategies. It is also consistent with the findings from a utility-maximization model that incorporates learning about time-varying conditional moments. Originality/value This is the first study on optimal country-level diversification for a mutual fund investor focused on European countries in the fixed-income space for the turmoil period. The author uses a large array of econometric models that captures the salient features of a period characterized by large changes in volatility and correlation, and compare the performance of different optimal asset allocation models.

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