scholarly journals ANALYSIS OF THE PERFORMANCE OF INDONESIAN MUTUAL STOCK FUNDS USING SHARPE, TREYNOR, JENSEN AND M2 METHOD PERIOD 2010 – 2019

2021 ◽  
Vol 2 (1) ◽  
pp. 1-9
Author(s):  
Andreas Andreas ◽  
Sautma Ronni Basana
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Performance ◽  
Composite Index ◽  
Equity Mutual Funds ◽  
Equity Funds

This study examines the performance of equity mutual funds using Sharpe, Treynor, Jensen, and M2. The sample used in this study is 57 stock mutual funds in 2015 – 2019 and 29 stock mutual funds in 2010 – 2019. The performance of stock mutual funds will be compared with LQ – 45 and IHSG to find out whether they underperform or outperform on market performance. The results showed that when seen in years 2015 - 2019 with the benchmark LQ - 45, 11 equity funds outperformed by using Sharpe, Treynor, and M2, and 12 mutual funds stocks outperformed by using a Jensen. Using the Composite Index as the benchmark, it is found that four equity funds outperformed by using Sharpe, M2, and 5 equity funds outperformed by using Treynor and Jensen from 57 samples of mutual fund shares. From the performance of the year 2010 - 2019, it is found that the 10 equity funds outperformed by using Sharpe and M2, and 15 equity funds outperformed by using Treynor and Jensen with LQ – 45 as the benchmark. The Composite Index found that 0 of stock mutual funds outperformed by using Sharpe and M2, while 3 mutual funds outperformed using Treynor and 2 mutual funds outperformed using Jensen from 29 stock mutual funds samples.

An Empirical Study on the Performance of Select Large Cap Equity Mutual Funds in India

2015 ◽  
Vol 2 (1) ◽  
Author(s):  
Samyabrata Das
Keyword(s):  
Mutual Funds ◽  
Asset Management ◽  
Mutual Fund ◽  
Human Element ◽  
Risk Return ◽  
Equity Mutual Funds ◽  
Equity Funds ◽  
Managed Funds ◽  
Opening Up ◽  
Fund Return

Since the opening up of the economy in the early 1990s, Indian mutual fund industry has witnessed fabulous quantitative growth. Funds which invest a larger proportion of their corpus in companies with large market capitalization are called large cap funds. Actively managed funds make use of a human element, such as a single manager, comanagers or a team of managers, to actively manage a fund's portfolio. The main objective of the study is to analyse the performance of select actively managed large cap equity funds in the line of risk-return parameters. This study is based on fourteen funds from twelve Asset Management Companies. All the funds are ranked under seven performance measures, namely, fund return, fund standard deviation, Sharpe Ratio, Treynor Ratio, return from systematic investment plan (SIP), Jensen Alpha, and RSQ, for five different time periods of 1-year, 3-year, 5-year, 7-year, and 10-year.

scholarly journals ANALISIS UMUR REKSADANA, EXPENSE RATIO DAN KINERJA REKSADANA SAHAM DI PERUSAHAAN MANDIRI INVESTASI PERIODE 2014-2019

2021 ◽  
Vol 6 (1) ◽  
pp. 1-12
Author(s):  
Muhammad Helmi ◽  
Jumali Jumali
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Expense Ratio ◽  
Equity Mutual Funds ◽  
Asset Value ◽  
Net Asset Value ◽  
Equity Funds ◽  
One Year

Mutual funds are investment facilities that are used to raise funds from the investor community for further investment in securities portfolios by investment managers, and subsequently invested in stocks, bonds, time deposits, money market, and so on. Mutual fund performance is influenced by the determining factors of whether a mutual fund performs well or poorly, the mutual fund performance factor, namely the first is the age / age of the mutual fund (Fund Age), the second is the comparison between operating costs in one year and the average net asset value in one year (Expense Ratio) and the third is Net Asset Value (NAV). The formulation of the problems in this research are (1) How is the development of the age of equity funds in Mandiri Investasi for the 2014-2019 period? (2) How is the development of the stock mutual fund expense ratio at the Mandiri Investasi period of 2014-2019? net assets (NAV) of equity mutual funds performance at Mandiri Investasi for the 2014-2019 period. This study aims to determine the development of mutual funds age, expense ratio and net asset value (NAV) of the performance of Mandiri Investa Attractive (MITRA) equity funds in Mandiri Investasi for the period 2014-2019. The objects examined in this study are variables in the form of mutual funds age, expense ratio, and mutual fund performance (NAV). Methods of data analysis in this study using descriptive analysis methods. The results of the research conducted were the age development of Mandiri Investa Attraktf (MITRA) equity funds at the Mandiri Investasi company, which experienced an increase in age in 2014-2019. Expense ratio development in 2014-2019 has decreased. And in the development of equity mutual funds performance, namely the net asset value (NAV) in 2014-2019 experienced fluctuations.

scholarly journals Determinant of Islamic Mutual Fund Performance: A Comparative Study Between Indonesia and Malaysia

2021 ◽  
Vol 9 (1) ◽  
pp. 83
Author(s):  
Mohammad Nur Rianto Al Arif ◽  
Aulia Saifullah
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Secondary Data ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Past Performance ◽  
Equity Mutual Funds ◽  
Panel Data Regression ◽  
Significant Difference ◽  
Equity Funds

<p><em>This study aims to analyze determinant performance of Islamic equity funds and compare the performance of Indonesian Islamic equity funds with Malaysian Islamic equity funds period 2017-2019. Factors that are thought to affect the performance of mutual funds are past performance and inflation. Mutual fund performance itself is measured using the Sharpe Index. This study uses secondary data and the sample is taken using purposive sampling. Methods of data analysis using Panel Data Regression. This study indicates that simultaneously the variables Past Performance and Inflation affect the performance of Islamic equity mutual funds in Indonesia and Malaysia.</em></p><em>Furthermore, it partially shows that Past Performance harms the performance of Islamic equity funds, while inflation positively affects the performance of Islamic equity funds. In addition, this study also shows that there is a significant difference between the performance of Indonesian and Malaysian Islamic equity funds. Malaysian Islamic equity funds were superior to Indonesian Islamic equity funds in 2017-2019.</em>

scholarly journals Is the effect the same every January? Seasonality and Brazilian equity fund flows

2020 ◽  
Vol 31 (84) ◽  
pp. 409-424
Author(s):  
Janaína Cássia Grossi ◽  
Rodrigo Fernandes Malaquias
Keyword(s):  
Stock Market ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Seasonal Pattern ◽  
January Effect ◽  
Seasonal Patterns ◽  
Fund Flows ◽  
Equity Mutual Funds ◽  
Equity Funds ◽  
Mutual Fund Flows

ABSTRACT Based on the assumption that seasonal patterns have been identified in stock market assets and also in the context of equity mutual funds, the aim of this research is to investigate the relationship between the seasonality presented by the January effect and the net flow of Brazilian equity funds. The study extends the potential effects of seasonality beyond the return on stock market assets, demonstrating that seasonal patterns can also be observed in Brazilian mutual fund flows. The literature mostly points to common factors related to the performance of equity mutual funds; therefore this study investigates mutual fund flows, demonstrating that different factors influence the decisions of fund investors, including seasonal factors. The study has practical implications for fund managers, as it highlights a set of variables that can be used to anticipate variations in fund flow, reducing their effects on performance and avoiding costs. The results were estimated using panel data regression analysis. The study sample consisted of 1,010 equity funds, covering the period from January of 2004 to June of 2018. It was found that the average net inflow of Brazilian equity mutual funds is higher in January than in other months of the year, which characterizes the existence of a seasonal pattern in their net flows. However, the effect is different between exclusive and non-exclusive funds. As contributions, our findings: (i) provide a better understanding about the factors related to investor decision-making; (ii) point out new aspects in which exclusive and non-exclusive funds differ; and (iii) present factors that influence mutual fund flows.

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 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 Evaluation of Mutual Funds Performance And Consistency test over the use of Performance Sizing Methods

2020 ◽  
Vol 5 (6) ◽  
pp. 650-656
Author(s):  
Eka Kusumawati ◽  
Ega Bagja Nugraha
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Sharpe Ratio ◽  
Superior Performance ◽  
Ratio Method ◽  
Surveillance Period ◽  
Consistency Test ◽  
Asset Value ◽  
Equity Funds ◽  
Coefficient Of Concordance

The development of mutual fund industry in Indonesia has increases every year. From those several types of equity funds, the Net Asset Value (NAV) of mutual funds has increased by quite high number from year to year compared to other types. This research was assess the performance of mutual funds and examine those several consistency over the use of performance sizing methods from Sharpe ratio, Treynor index and Jensen's Alpha methods. Current problem who was stumbled was how the performance of stock mutual funds was measured by the Sharpe ratio, Treynor index and Jensen's Alpha methods and whether there has consistency over its performance by using it. The recent sample was 37 mutual funds that were registered at BAPEPAM-LK and still operating in Indonesia from January 2009 to October 2013. Performance evaluations used Sharpe ratio method, Treynor index and Jensen's Alpha. As for assess those consistency of the use performance sizing methods was done by Kendall coefficient of concordance (W) test. The result over this research said that Panin Dana Maksima and Panin Dana Prima are the best mutual funds, this could be seen during these surveillance period which found that mutual fund has superior performance above the market. The result of consistency test over those performance of stock mutual funds using Kendall W's concordance coefficient found that there has consistency or harmony when evaluated the performance of equity funds by using Sharpe Ratio, Treynor Index and Jensen's Alpha methods during those period.

scholarly journals ANALISIS PERBANDINGAN KINERJA REKSADANA SAHAM MENGGUNAKAN METODE SHARPE DAN TREYNOR PADA REKSADANA SAHAM

Equity ◽  
2019 ◽  
Vol 21 (1) ◽  
pp. 49
Author(s):  
Clara Bella ◽  
Yul Tito Permadhy
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Sampling Method ◽  
Stock Exchange ◽  
Market Performance ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Equity Fund ◽  
Consistent Performance ◽  
Descriptive Method

This study aims to determine the comparison of stock mutual fund performance using sharpe method and treynor method. The research method used in this research is descriptive method with quantitative approach. The object of this study using all mutual fund shares listed on the Indonesia Stock Exchange period 2013-2016. The technique of determining the sample using purposive sampling method so that 66 mutual funds were chosen as research sample. The results of this study explain that there are differences in the results of the performance of stock mutual funds using sharpe method and treynor method on mutual fund shares listed on the Indonesia Stock Exchange (BEI) where each performance value fluctuates in the period 20132016. The results show that only a few stock mutual funds are above market performance by using sharpe method and treynor method during the period 2013-2016. The results show that only one stock mutual fund that has consistent performance above market performance during the period 2013-2016 using the sharpe method of equity fund Sam Equity Fund.

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

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