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 FAKTOR INTERNAL YANG BERPENGARUH TERHADAP KINERJA REKSADANA SYARIAH DI INDONESIA PERIODE 2014-20171)

2020 ◽  
Vol 6 (1) ◽  
pp. 114
Author(s):  
Farah Faadilah ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Coefficient Of Determination ◽  
Expense Ratio ◽  
Turnover Ratio ◽  
Equity Funds ◽  
Endogenous Variables ◽  
Negative Effect ◽  
Fund Size ◽  
Positive Effect

This study aims to determine the effect of fund size, expense ratio and turnover ratio. The data used in this research is the net asset value data and shariah mutual fund prospectus of 4 shariah equity funds for the period 2014-2017. This study describes using multiple linear regression test to prove the relationship between exogenous and endogenous variables. The result of the test shows that partially fund size and positive effect is not significant on the performance of Islamic stock mutual funds, the expense ratio has no significant negative effect on the performance of Islamic equity mutual funds, while the turnover ratio has a significant positive effect on the performance of sharia mutual funds. While simultaneously fund size, expense ratio and turnover ratio have a significant influence with the coefficient of determination of 25,06%% while the remaining 74,94%  influenced by other variables not included in this study.Keywords: Sharia Mutual Funds Performance, Turnover Ratio, Cash Flow, Expense Ratio

scholarly journals PENGARUH STOCK SELESCTION SKIIL, MARKET TIMING ABILITY, TURNOVER RATIO DAN CASH FLOW TERHADAP KINERJA REKSA DANA SYARIAH

2019 ◽  
Vol 1 (01) ◽  
pp. 45-55
Author(s):  
Mega Mustika Sari ◽  
Sri Mulyati ◽  
Estu Widarwati
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Timing ◽  
Coefficient Of Determination ◽  
Research Report ◽  
Stock Selection ◽  
Turnover Ratio ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Investment Manager

Mutual funds syariah are other investment opportunities with measurable risk and return is high enough with enough capital affordable to the community. Mutual funds syariah have an Investment Manager with the ability and knowledge of the market it is or will happen. Therefore, mutual funds syariah selected by investors because it is cheap, easy and "managed by the experts". This research analysted do stock selection skill, market timing ability, Turnover ratio and Cashflow can influence the performance of equity mutual funds syariah in Indonesia. The data used in this research are data on financial statements , Net Asset Value (NAV), SBI, IHSG, yearly data and prospectus of 10 equity mutual fund syariah that were sampled during this research report from 2011-2014. As a research methodology, we used F test and t test to examine research’s hypothesis, also used assumption classic test there are normality test, autocorrelation test, heteroscedasticity test and multicolinearity test. These results can be viewed on multiple regression analysis and the coefficient of determination, the R value of 0.513 means the relation between the stock selection skill, market timing ability, Turnover ratio and Cashflow to profitability by 51.3%, meaning that the relationship between variables was most closely. Adjusted R Square value of 0.545 which means 54,5% achievement of profitability can be explained by the stock selection skill, market timing ability, Turnover ratio and Cashflow. The remaining 45,5% can be explained by other factors not examined in this research..

scholarly journals The Size Of Mutual Funds And Risk-Adjusted Performance: Some New Evidence

2011 ◽  
Vol 4 (3) ◽  
pp. 50
Author(s):  
Robert T. Kleiman ◽  
Kwang W. Jun
Keyword(s):  
Size Effect ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Abnormal Returns ◽  
Portfolio Performance ◽  
Fund Size ◽  
New Evidence ◽  
The Relationship

This paper provides recent evidence regarding the relationship between mutual fund size and risk-adjusted performance. A sample of 64 no-load funds was grouped into four size quartiles based on the total assets under administration at the beginning of each year for the 1970-1984 period. Standard measures of portfolio performance were then computed for each quartile. Consistent with a size effect, the results of this study provide some evidence of higher returns for smaller mutual funds. However, the abnormal returns are not statistically significant when performance is evaluated using Jensens Index.

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 The Effect of Service Quality and Price Accuracy on Consumer Confidence and Implications for Sales Increase

2019 ◽  
Vol 3 (2) ◽  
pp. 101
Author(s):  
Denok Sunarsi ◽  
Aris Baharuddin
Keyword(s):  
Service Quality ◽  
Hypothesis Testing ◽  
Significant Influence ◽  
Consumer Confidence ◽  
Consumer Trust ◽  
Coefficient Of Determination ◽  
Good Service ◽  
A Value ◽  
Regression Tests ◽  
Sales Increase

Good service quality within the company will create satisfaction for its customers. The purpose of this study was to determine the effect of service quality and price accuracy on consumer confidence and its implications for increasing sales. The method used is explanatory research with regression tests, coefficient tests, coefficient of determination tests and hypothesis testing. The results of the study it was found that there is a significant influence between service quality on consumer confidence with a determination value of 40.6% and a probability of significance of 0,000 <0.05. There is a significant influence between the accuracy of prices on consumer confidence with a value of 45.1% determination and a significance probability of 0.000 <0.05. There is a significant influence between service quality and price accuracy simultaneously on consumer trust with a determination value of 60.4% and a significance probability of 0.000 <0.05.

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.

Derivatives, Short Selling and US Equity and Bond Mutual Funds

2016 ◽  
Vol 06 (01) ◽  
pp. 1640002
Author(s):  
Kaveh Moradi Dezfouli ◽  
Lawrence Kryzanowski
Keyword(s):  
Mutual Funds ◽  
Family Size ◽  
Systematic Risk ◽  
Short Selling ◽  
Negatively Associated ◽  
Bond Funds ◽  
Equity Funds ◽  
Net Assets ◽  
Bond Mutual Funds ◽  
Fund Size

The use and effect of derivatives and short selling by US equity and bond open-end mutual funds are studied using a large and unique database. We find that the likelihood of their use is positively related to fund size, family size, and fund turnover for both fund types except for short selling by equity funds from larger families. Our findings suggest that funds that use derivatives exhibit significantly higher benchmark-adjusted performances based on both gross- and net-of-fees returns. This is done without adversely affecting market betas, net expense ratios (NERs), or brokerage fees as a proportion of total net assets (TNA). We find that for bond funds derivative use is negatively associated with non-systematic risk and short selling use is positively associated with total and systematic risk.

scholarly journals PENGARUH BRAND IMAGE DAN HARGA TERHADAP KEPUASAN PELANGGAN VILLAGE FUTSAL MEDAN

2018 ◽  
Vol 13 (1) ◽  
Author(s):  
Luthfi Azwardy ◽  
Adelina Lubis
Keyword(s):  
Data Analysis ◽  
Customer Satisfaction ◽  
Significant Influence ◽  
Brand Image ◽  
Hypothesis Test ◽  
Linear Analysis ◽  
T Test ◽  
Coefficient Of Determination ◽  
Analysis Technique ◽  
The Relationship

This study aims to determine and prove whether the brand image and price of customer satisfaction Village Futsal Medan. Types This study is an associative questioning the relationship between two variables. Data analysis technique using multiple linear analysis with hypothesis test using t test, f test and coefficient of determination. The results of the discussion and conclusion indicate that incentives and motivation partially and siimultan have positive and significant influence to customer satisfaction of Village Futsal Medan. Keywords: Brand Image, Price, Customer Satisfaction

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