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.

scholarly journals The Effect of SBI Interest Rates, Rupiah Exchange Rates, and Inflation on Net Asset Value of Equity Mutual Funds in 2015-2018

Academia Open ◽  
2021 ◽  
Vol 4 ◽  
Author(s):  
Fatimatus Sholihah ◽  
Wiwit Hariyanto
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Secondary Data ◽  
Independent Variables ◽  
Equity Mutual Funds ◽  
Asset Value ◽  
Net Asset Value ◽  
Equity Funds

This study aims to determine the effect of SBI interest rates, Rupiah Exchange Rates, and inflation on the net asset value of equity funds in Indonesia for the 2015-2018 period.                This study uses a quantitative approach with analysis tests using multiple linear regression tests, where there are three independent variables and one dependent variable. The type of data in this study uses secondary data, in the form of data taken from the official website of Bank Indonesia. The research sample  was determined by purposive sampling method with sample criteria so that it obttained 9 samples of mutual fund products over four years from 2015-2018 so as many as 36 samples of Mutual Fund Products.         Based on the results of analysis technique that have been done, the results of 3 independent variables show that the exchange rate of the rupiah and inflation have no effect the net asset value of mutual fund shares, while the value of SBI interest rates effect the net asset value of stock mutual funds.

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 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 Determinan Makro Ekonomi Yang Mempengaruhi Nilai Aktiva Bersih Reksadana Syariah

2021 ◽  
Vol 4 (2) ◽  
pp. 146
Author(s):  
Khoirunnisa Azzahra ◽  
Baiq Fitri Arianti
Keyword(s):  
Exchange Rate ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Linear Regression Analysis ◽  
Sampling Technique ◽  
Total Sample ◽  
Macroeconomic Factors ◽  
Asset Value ◽  
Net Asset Value ◽  
Net Assets

The purpose of this study was to determine and analyze macroeconomic factors such as inflation, exchange rates and Indonesian Sharia bank certificates on Net Asset Value. Sources of data obtained from OJK and BI with 5 years of observation, The sampling technique used in this study is non-probability sampling, that is by using saturated sampling with a total sample of 60 data. The method used in this research is descriptive statistical analysis, classical assumption test, multiple linear regression analysis and hypothesis testing. By using the Statistical Package for the Social Science (SPSS) version 22.0 For Windows. The results of this study indicate that inflation has no effect on the value of net assets, while the exchange rate and SBIS partially affect the value of net assets. Simultaneously inflation, exchange rate and SBIS affect the net asset value. Net asset value (NAV) is important in mutual funds, because net asset value is one of the benchmarks in unifying mutual fund performance, the net asset value of equity/unit development mutual funds has increased, and vice versa decreased the value of initial mutual fund net assets/unit participation has decreased.

scholarly journals Current Status of Mutual Fund Schemes in Nepal

2018 ◽  
Vol 10 (1) ◽  
pp. 85-95
Author(s):  
Dhaneshwar Rakhal
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Empirical Studies ◽  
Market Price ◽  
Secondary Data ◽  
Current Status ◽  
Business Studies ◽  
Asset Value ◽  
History Of

The development of the mutual fund industry is the greatest investment success story of the twentieth century in United States and this industry also emerged as the most dynamic segment of the Indian financial system on that time. But the history of mutual fund in Nepal started only with the establishment of "NCM Mutual Fund 2050" in 1993. Currently there are ten mutual fund schemes listed and traded in Nepal Stock Exchange that provide investment opportunities for investors in mutual funds market. In this context, the purpose of this paper is to provide necessary facts and figures related to the mutual fund schemes in Nepal based on secondary data. The paper includes mutual fund companies, development mutual funds and review of empirical studies on mutual funds as preliminary discussion, and includes current mutual fund schemes; funds sizes, maturity periods, market price, net asset value and dividend income of mutual fund schemes on analytical section.The Journal of Nepalese Business Studies Vol. X No. 1 December 2017, Page: 85-95

scholarly journals Mutual Fund Performance in Slovenia: An Analysis of Mutual Funds with Investment Policies in Europe and the Energy Sector

2011 ◽  
Vol 6 (1) ◽  
pp. 61-69 ◽  
Author(s):  
Tanja Hribernik ◽  
Uroš Vek
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Energy Sector ◽  
Mutual Fund Performance ◽  
International Studies ◽  
Information Ratio ◽  
Risk And Return ◽  
Investment Policies ◽  
Fund Managers

Mutual Fund Performance in Slovenia: An Analysis of Mutual Funds with Investment Policies in Europe and the Energy Sector This paper examines the risk and return performance of mutual funds in Slovenia from 2005 until August 2009. The research is limited to the regional investment policies in Europe and the energy sector. Using monthly returns, we analyzed different risk-adjusted measures such as: the Treynor ratio, the Sortino ratio and the Information ratio. We also studied selections and timing ability using the Treynor-Mazuy model. The risk and return performance of mutual funds in the Slovenian market does not deviate from those in developed markets. We also found out that the selection ability of fund managers is better than market timing and that the findings of this paper are in accordance with other international studies.

A Mutual Fund Investment Method Using Fruit Fly Optimization Algorithm and Neural Network

2014 ◽  
Vol 571-572 ◽  
pp. 318-325 ◽  
Author(s):  
Tsu Hua Huang ◽  
Yung Ho Leu
Keyword(s):  
Neural Network ◽  
Mutual Funds ◽  
Optimization Algorithm ◽  
Mutual Fund ◽  
Fruit Fly ◽  
Fruit Fly Optimization Algorithm ◽  
Fruit Fly Optimization ◽  
Asset Value ◽  
Net Asset Value ◽  
Fund Portfolio

This paper presents a method to construct a profitable portfolio of mutual funds for investors. This method comprises two stages. In the first stage, the DEA, Sharpe and Treynor indices of mutual funds and the monthly rates of return (ROR) of mutual funds are used to select a mutual fund portfolio. In the second stage, the linear regression model, the Fruit Fly Optimization Algorithm (FOA) and the General Regression Neural Network (GRNN) are used to construct a prediction model for the net asset values of each of the constituent mutual funds of the portfolio. The trade decision of a selected mutual fund is then made based on the rise or fall of its net asset value. The empirical results showed that, compared to other combinations, the combination of using Sharpe index for portfolio selection and the GRNN optimized with FOA for net asset value prediction offered the best accumulated return rate for the mutual fund portfolio investment.

scholarly journals The Performance of Collective Investment Contract of Stock Mutual Fund In Indonesia

2016 ◽  
Vol 6 (1) ◽  
pp. 39
Author(s):  
Victor Siagian
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Performance ◽  
Rate Of Return ◽  
Asset Value ◽  
Net Asset Value ◽  
Data Collections

The are two kinds of stock mutual fund, namely company and collective investment contract of stock mutual fund. Three aspects must be considered by investor in selecting stock mutual<br />fund, (1) how much rate of return, (2) is rate of risk and (3) is performance or professionality of porlfolio management of stock mutual fund. To analyze the performance of stock mutual fund, especially collective investment contract of stock mutual fund in Indonesia, is the objective of this study. Based on theoretical and empirical review, it is able to design hypothesis. Data collections in this study covering IHSG, BI rate and Net Asset Value (NAV) of stock mutual funds. Alfa Jensen's model was used to evaluate the performance of collective investment contract of stock mutual fund. The finding of this study shows that only two of six of stock mutual fund which are observed as sample, have outperform toward market performance and the others are underperfoms condition.

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