Developing an Integrated Model of Equity Mutual Funds Performance: Evidence from the Indonesian Mutual Funds Market

Cici Cintyawati,Sylviana Maya Damayanti

doi:10.7603/s40706-015-0016-3

Abstract

AbstractThis study aims to determine the factors that affect the performance of mutual funds, especially equity mutual funds. There are several factors that considered affect the performance of mutual funds such as: Asset Under Management (AUM), fund age, past performance, asset allocation, Turn of the Year effect, equity funds with blue chip or non-blue chip stocks, equity funds owned by insurance or non-insurance, external factors such as the rupiah against the US dollar (exchange rate), and investors behavior factor. In this study the researchers have collected data from January 2008 to December 2014. For the purpose of the study the researchers have selected 30 sample of equity mutual funds are still active from 2008-2014. The results are processed using Sharpe ratio to measure the magnitude of risk premium for each unit of risk taken. The result shows that all variables has significant influence on the performance of equity mutual funds. Partially, Asset Under Management (AUM), fund age, asset allocation, Turn of the Year Effect, exchange rate, and investor behavior have significant influence on the performance of equity mutual funds. While another variables such as past performance, Blue Chip and Non-Blue Chip Mutual Funds and insurance and non-insurance company don’t have significant influence on the performance of equity mutual funds in Indonesia. All of variables studied have great contribution on the performance of equity mutual funds. This finding can guide the investment managers in formulating an appropriate investment strategy for investors who want to put their funds into equity funds. This finding can guide the investment managers in formulating an appropriate strategy for investors who want to put their funds into equity funds. Through this study also the authors give a recommendation about the optimal portfolio strategy for the investors. The research result also shows that strategic asset allocation with rebalancing strategy is considered best done by an investor. This finding can be used by the investors as a reference to invest in equity mutual funds to improve the profit to develop their business. (Abstract)

Highlights

This study aims to determine the factors that affect the performance of mutual funds, especially equity mutual funds
The researchers interesting to analyse the factors that influences the performance of mutual funds, such as: Asset Under Management, fund age, previous performance, asset allocation, Turn of the Year effect, external factors such as the value rupiah against the US dollar, the effect of equity funds whose portfolio containing blue chip stocks or non-blue chips, the influence of mutual fund shares held by insurance companies or non-insurance, or whether there are other factors that play a role that is the behavior of investors
It can be concluded that simultaneously, there is a significant influence of the variable Asset Under Management (AUM) (X1), AGE (X2), SHARPE (X3), PORTO (X4), TOY (X5), ER (X6), BLUE (X7), INSURE (X8) and OPTIMIST (X9) to the Sharpe Index (Y)

Summary

Introduction

This study aims to determine the factors that affect the performance of mutual funds, especially equity mutual funds. Asset Under Management (AUM), fund age, asset allocation, Turn of the Year Effect, exchange rate, and investor behavior have significant influence on the performance of equity mutual funds. The researchers interesting to analyse the factors that influences the performance of mutual funds, such as: Asset Under Management, fund age, previous performance, asset allocation, Turn of the Year effect, external factors such as the value rupiah against the US dollar, the effect of equity funds whose portfolio containing blue chip stocks or non-blue chips, the influence of mutual fund shares held by insurance companies or non-insurance, or whether there are other factors that play a role that is the behavior of investors.

Objectives

Methods

Findings

Conclusion