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

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..

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

Journal of Nusantara Studies (JONUS) ◽

10.24200/jonus.vol6iss1pp118-135 ◽

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

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ANALISIS DATA PANEL PADA KINERJA REKSADANA SAHAM

Jurnal Varian ◽

10.30812/varian.v1i2.72 ◽

2018 ◽

Vol 1 (2) ◽

pp. 59-69

Author(s):

I Gede Agus Astapa ◽

Gede Suwardika ◽

I Ketut Putu Suniantara

Keyword(s):

Mutual Funds ◽

Random Effects ◽

Mutual Fund ◽

Fixed Effects ◽

Risk Model ◽

Panel Data Analysis ◽

Market Timing ◽

Stock Selection ◽

Timing Ability ◽

Level Of Risk

Mutual funds is another investment opportunity with a more measurable risk as well as return high enough with enough capital is affordable for the community. Mutual fund performance can be measured by several indicators.. Modeling the performance of mutual funds modeled by regression of the data panel. The regression model estimation data panel will do with the three approaches, namely the approach of common effect, fixed effects and random effects. This research purpose to know the performance of mutual funds from stock selection skill variable influences, market timing ability and level of risk with the use of panel data analysis. The results shows that the Fund's performance is affected by the stock selection skill, market timing ability, and the level of risk. Model the right approach to model the performance of mutual funds by using a random effects model.

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Analisis Securities Selection Skill dan Market Timing Ability Pada Kinerja Reksadana Syariah Campuran Di Bursa Efek Indonesia

Journal of Research and Applications Accounting and Management ◽

10.18382/jraam.v2i3.188 ◽

2017 ◽

Vol 2 (3) ◽

pp. 215

Author(s):

Marta Dwi Yana ◽

Nur Indah Riwajanti ◽

Fita Setiati

Keyword(s):

Mutual Funds ◽

Mutual Fund ◽

Stock Exchange ◽

Market Timing ◽

Sharpe Ratio ◽

Continuous Training ◽

Financial Service Authority ◽

Purposive Sampling ◽

Timing Ability ◽

Investment Manager

Abstract:This research aims to measure the performance of the investment manager of Sharia mutual fund by analyzing his securities selection skill and market timing ability based on Treynor-Mazuy and Henriksson-Merton model. The population in this research are 93 mutual funds listed in Indonesian Stock Exchange from 2014 to 2016. The samples are 13 Sharia’s mutual fund taken by using purposive sampling techniques. This research uses regression method. The results show that the Sharpe Ratio indicates out of thirteen mutual funds, there are only four mutual funds that performed well, while nine other mutual funds were underperformed. The result based on the model of Treynor-Mazuy and Henriksson-Merton indicate that the investment managers did not have the securities selection skill and market timing ability. It is suggested that Financial Service Authority should hold continuous training for the investment managers and should issue a new certification specifically for the investment manager by increasing the standard of competence.Abstrak:Penelitian ini bertujuan untuk mengukur kinerja manajer investasi reksadana syariah dengan menganalisis securities selection skill dan market timing ability berdasarkan model Treynor-Mazuy dan Henriksson-Merton. Populasi dalam penelitian ini adalah 93 reksadana yang terdaftar di Bursa Efek Indonesia dari tahun 2014 sampai 2016. Sampelnya adalah 13 reksa dana syariah yang diambil dengan teknik purposive sampling. Penelitian ini menggunakan metode regresi. Hasil penelitian analisis Sharpe Ratio menunjukkan dari tiga belas reksa dana, hanya ada empat reksadana yang berjalan baik, sementara sembilan reksa dana lainnya kinerjanya kurang. Sedangkan berdasarkan model Treynor-Mazuy dan Henriksson-Merton menunjukkan bahwa manajer investasi tidak memiliki keahlian pemilihan sekuritas dan kemampuan waktu pasar. Selanjutnya, disarankan agar Otorita Jasa Keuangan mengadakan pelatihan terus menerus bagi manajer investasi dan perlu mengeluarkan sertifikasi baru khusus untuk manajer investasi untuk meningkatkan standar kompetensi.

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An Empirical Investigation of the Performance of Fund Managers in Pakistan

iRASD Journal of Management ◽

10.52131/jom.2021.0301.0026 ◽

2021 ◽

Vol 3 (1) ◽

pp. 56-68

Author(s):

Sanaullah Sanaullah ◽

Amna Noor ◽

Salleh Khan ◽

Muhammad Shahbaz Khan

Keyword(s):

Mutual Funds ◽

Mutual Fund ◽

Market Timing ◽

Performance Study ◽

Stock Selection ◽

Mutual Fund Managers ◽

Fund Managers ◽

Timing Ability ◽

Equity Funds ◽

Manager Performance

This study aims to determine the stock selection ability and market timing ability of mutual fund managers, focusing on conventional funds and Islamic funds in Pakistan. Although there has been significant growth in the number and assets of mutual funds in recent years, few studies measure the performance of mutual funds managers. The scarcity of existing literature motivates this study. In this study, two models are used to measure the stock selection and market timing on a sample of conventional mutual funds and Islamic mutual funds over 2010 and 2019 using annual returns. Overall, the results indicate that the performance study of conventional mutual funds and Islamic mutual funds indicates that manager performance is not superior in all three portfolios, i.e., conventional funds, Islamic funds, and overall funds in over sample period. This also indicates that both Conventional and Islamic fund managers do not outperform the market (KSE 100 index). Thus, there is a lack of market timing ability. Using Tranoy and mazuy and Jansen models found a lack of stock selection and market timing ability of mutual fund managers in Pakistani mutual funds. In this study, I have applied only two models to examine both the timing and selection ability of conventional and Islamic Pakistani equity funds. For future possibilities, the study suggests adopting several methods and approaches like the TMFF3 model and HM-FF3 model, making the study more comprehensive and accurate than this research.

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Stock Selection dan Market Timing Ability Reksa Dana Syariah Saham di Indonesia

Journal of Economic, Public, and Accounting (JEPA) ◽

10.31605/jepa.v1i2.275 ◽

2019 ◽

Vol 1 (2) ◽

pp. 68-81

Author(s):

Fadiyah Hani Sabila

Keyword(s):

Data Analysis ◽

Panel Data ◽

Mutual Funds ◽

Panel Data Analysis ◽

Market Timing ◽

Random Effect ◽

Stock Selection ◽

Equity Mutual Funds ◽

Analysis Technique ◽

Timing Ability

The purpose of this research is to know investment manager’s ability on stock selection and market timing of Indonesia sharia equity mutual funds on 2015-2017. Number of sample that use in this research is 15 sample with purposive sampling method. Data analysis technique used is Treynor-Mazuy condition regression model using panel data. This research method using panel data analysis test that is test Chow, Hausman, and Lagrange Multiplier. The result showed that the model chosen is a random effect models. F test and T test results indicate that investment manager’s of Indonesia sharia equity mutual funds have stock selection and market timing ability.

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Market Timing and Stock Selection Ability of Mutual Funds in India: An Empirical Investigation

Vikalpa The Journal for Decision Makers ◽

10.1177/0256090920070204 ◽

2007 ◽

Vol 32 (2) ◽

pp. 39-52 ◽

Cited By ~ 10

Author(s):

Soumya Guha Deb ◽

Ashok Banerjee ◽

B B Chakrabarti

Keyword(s):

Mutual Funds ◽

Mutual Fund ◽

Emerging Market ◽

Market Timing ◽

Public Information ◽

Superior Performance ◽

Stock Selection ◽

Mutual Fund Managers ◽

Fund Managers ◽

Timing Ability

Evaluation of performance of mutual funds and identification of successful fund managers are of great interest to both investors and academicians. Two possible methods that are presumed to be used by fund managers for generating superior performance are identified as: Market timing: Market timing skills imply assessing correctly the direction of the market, whether bull or bear, and positioning their portfolios accordingly. Stock selection: Stock selection skills involve micro forecasting, which generally forecasts price movements of individual stocks relative to stocks and identification of individual stocks that are under-or over-valued relative to equities in general. The two pioneering works in this field is by Treynor Mazuy( 1966) and Henriksson Merton ( 1981). They developed two different models for testing the market timing and stock selection abilities of the fund managers but found little evidence of timing by the fund managers in their samples. Most of the other works mentioned in the paper have used these two models (which we name as traditional/unconditional models) or slight variations of the same for testing market timing and stock selection abilities of the fund managers. Person and Scadt (1996) modified the classical performance measures (of timing and stock selection ability) to take account of well-known information variables like interest rate, market dividend yield, etc. They termed it as ‘conditional approach’ of measuring mutual fund performance and claimed that conditioning on public information controls for biases in traditional market timing and stock selection models. Traditional models have taken the view that ‘any information’ correlated with the future market returns is superior information; in other words, they are unconditional models. Person and Scadt's approach used basically the same simplifying assumptions as the traditional models but they assumed, in addition, semi-strong form of market efficiency. The idea was to distinguish between market timing based on public information from market timing information that is superior to the lagged publicly available information variables. Although the academic literature on stock selection and market timing ability of mutual fund managers is rich and spans several decades, not many studies exist on this issue using emerging market data. This paper attempts to find the stock selection and market timing abilities of the Indian mutual fund managers using unconditional as well as conditional approaches. With a sample of 96 Indian mutual fund schemes, a lack of market timing ability and presence of stock selection ability were observed among the Indian funds managers in both unconditional as well as conditional approaches. A pooled regression was carried out for various categories of funds as well as for the entire sample, which also showed a lack of market timing abilities and presence of stock selection abilities.

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Stock Selectivity Skill, Market Timing Ability, Risiko, Size, and Comparison of Performance Islamic Share Mutual Funds

IQTISHODUNA: Jurnal Ekonomi Islam ◽

10.36835/iqtishoduna.v9i2.489 ◽

2020 ◽

Vol 9 (2) ◽

pp. 137

Author(s):

Elliv Hidayatul Lailiyah ◽

Rahmat Setiawan

Keyword(s):

Mutual Funds ◽

Mutual Fund ◽

Market Timing ◽

Positive Influence ◽

Investment Activity ◽

Muslim Population ◽

Equity Mutual Funds ◽

Timing Ability ◽

High Return ◽

The Right

Indonesia is one of the countries with the largest Muslim population about 87%. The high population of the Muslim in Indonesia should be able to provide great potential in terms of Islamic finance as investment activity, which will certainly contribute positively to the Indonesian economy. Investors will always be interested in investment with high return and low risk. One of the alternative is mutual fund especially sharia equity mutual funds. The choice of the right mutual fund should pay attention to how the performance of the mutual fund. This study examine how performance of sharia equity mutual funds using Sharpe, Treynor and Jensen method are affected by stock selectivity skill, market timing ability, risk and size during 2012-2017. The finding of this research are stock selectivity skill,market timing ability, risk and size are significantly positive influence to the performance of sharia equity mutual fund. The influence of stock selectivity skill, market timing ability, risk and size are very strong if measured by treynor method.

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DETERMINAN KINERJA REKSADANA SAHAM SYARIAH

Jurnal Ekonomi Syariah Teori dan Terapan ◽

10.20473/vol7iss20205pp940-954 ◽

2020 ◽

Vol 7 (5) ◽

pp. 940

Author(s):

Meidiana Rizki Adelia ◽

Muhammad Nafik Hadi Ryandono

Keyword(s):

Regression Analysis ◽

Mutual Funds ◽

Market Timing ◽

Linear Regression Analysis ◽

Sampling Technique ◽

Multiple Linear Regression Analysis ◽

Stock Selection ◽

Equity Mutual Funds ◽

Timing Ability ◽

Research Type

There are a lot of factors that determine the sharia equity mutual funds performance, included stock selection skill, market timing ability, and fund age. This study aims to understand the effect of stock selection skill, market timing ability, and fund age on the sharia equity mutual funds performance in Indonesia from 2012 to 2018. This research uses a quantitative approach using an explanatory research type. The sampling technique in this study was purposive sampling and 6 sharia equity mutual funds were selected as samples. This study uses multiple linear regression analysis. The result of the study displayed that stock selection skill and market timing ability have a significant effect on the performance of sharia equity mutual funds in Indonesia from 2012 to 2018. On the contrary, fund age have no effect on the performance of sharia equity mutual funds in Indonesia from 2012 to 2018. Keywords: stock selection skill, market timing ability, fund age, sharia equity mutual funds perfomance

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

Jurnal Ekonomi Syariah Teori dan Terapan ◽

10.20473/vol6iss20191pp114-124 ◽

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

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KINERJA MANAJER INVESTASI REKSADANA SAHAM SYARIAH DI INDONESIA

Al-Masraf : Jurnal Lembaga Keuangan dan Perbankan ◽

10.15548/al-masraf.v4i1.224 ◽

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.

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