scholarly journals Analysis of The Effect of Macroeconomics On Net Assets Value (NAV) of Sharia Mutual Funds In Indonesia

2020 ◽  
Vol 4 (1) ◽  
pp. 11
Author(s):  
Hilyatun Nafisah ◽  
Supriyono Supriyono
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Stock Prices ◽  
Random Effect ◽  
Asset Value ◽  
Net Asset Value ◽  
Fund Portfolio ◽  
The Relationship

Net Asset Value (NAV) is a measure of investment performance for sharia mutual funds derived from the entire value of the mutual fund portfolio fewer liabilities. This research aims to analyze the effect of the rupiah exchange rate, inflation, Jakarta Islamic Index (JII) and Bank Indonesia Sharia Certificate (SBIS) on Net Asset Value (NAV) of Sharia Mutual Funds. The object in this research consisted of 5 companies registered with the Financial Services Authority (OJK) from 2012-2019. Panel data regression analysis was used to test the hypothesis in this study. A random effect is used to determine the differences in the effect. The result of this study concluded that rupiah exchange rate, inflation and JII and SBIS effect on NAV of sharia mutual funds simultaneously. Partially, an unstable rupiah exchange rate is considered to have an impact on the company's production factors and affect the validity of the stock price; This causes investments no longer be attractive to investors, thereby reducing the value of investments that have an impact on the declining mutual fund NAV. Inflation decreases the real income of people with fixed income will also reduce the value of wealth in the form of money so that people will prefer to invest their money in the form of real assets that will result in reduced investment in the financial and capital markets and lower the NAV value of Islamic Mutual Funds. JII describes the performance of stocks which are one of the portfolios of sharia mutual funds. If the JII index value rises, then the increase in the portfolio of sharia mutual funds that share type will also rise which will have an impact on the increase in the nett asset value of sharia mutual funds. SBIS does not affect the Sharia Mutual Funds NAV. The relationship between SBIS and the Sharia Mutual Fund NAV as well as the relationship between interest rates and stock prices is negative or in the opposite direction. If interest rates rise at an adequate level, investors will try to move their investments from stocks to deposits.

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 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.

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 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.

scholarly journals Analisis Pengaruh Variabel Makro Ekonomi terhadap Nilai Aktiva Bersih Reksadana Saham Syariah Periode 2015-2019

2021 ◽  
Vol 1 (2) ◽  
pp. 332-348
Author(s):  
Hani Nurrahmawati ◽  
Hasbi Assidiki Mauluddi ◽  
Endang Hatma Juniwati
Keyword(s):  
Exchange Rate ◽  
Mutual Funds ◽  
Stock Price ◽  
Price Index ◽  
Coefficient Of Determination ◽  
Series Data ◽  
Asset Value ◽  
Net Asset Value ◽  
Net Assets ◽  
Stock Price Index

The title of this research is Analysis Influence of Macroeconomic to Net Asset Value of Islamic Mutual Fund Equity period 2015-2019. The purpose of this study is to determine the effect of partially and simultaneously variables of BI Rate, Inflation, Composite Stock Price Index and Exchange Rate on Net Asset Value of Sharia Mutual Funds in Indonesia in the period January 2015 - December 2019. The dependent variable is Net Asset Value of Sharia Mutual Funds, while the independent variables are BI Rate, Inflation, Composite Stock Price Index and Exchange Rate.Types of data used in this study are secondary data sourced from OJK, IHSG-IDX and BI published between 2015-2019. All of the data will be processed panel data which is a combination of time series data and cross section data. The results of this research showed that in the partial just variables of the BI Rate, Inflation, Composite Stock Price Index and Exchange Rate influenced to Net Assets Value of Islamic Mutual Funds in Indonesia, and simultaneous from variables of the BI Rate, Inflation, Composite Stock Price Index and Exchange Rate influenced to Net Assets Value of Islamic Mutual Funds in Indonesia and the value of Adjusted R-square coefficient of determination is 0.311175 means in togetherness variables of the BI Rate, Inflation, Composite Stock Price Index and Exchange Rate have a contribution influenced NAV of Islamic Mutual Funds in the amount of 31%, while the rest is 69% influenced by other variables that are not included into this research.

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 TINGKAT INFLASI, SUKU BUNGA BI, DAN NILAI TUKAR RUPIAH TERHADAP IHSG

2021 ◽  
Vol 10 (2) ◽  
pp. 118-129
Author(s):  
Desi Ratjaya Ningsih ◽  
Nur Aida Arifah Tara ◽  
Muhdin Muhdin
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Quantitative Methods ◽  
Price Index ◽  
Market Conditions ◽  
Negative Effect ◽  
The Relationship

The Composite Stock Price Index (IHSG) is a description of information regarding the movements of all stock prices that affect capital market conditions and produce a trend. There are three factors that mainly influence the IHSG, namely inflation, BI interest rates, and the rupiah exchange rate. The purpose of this study was to examine the relationship between inflation, BI interest rates, rupiah exchange rate and the IHSG in the period of 2016-2020. The method in this research used quantitative methods. The results showed that inflation and BI interest rates have a negative and insignificant effect on the IHSG, while the Rupiah exchange rate has a significant negative effect on the IHSG.Keywords :IHSG, Inflasi, Suku Bunga BI, Nilai Tukar Rupiah

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