NAVIGATING EXTREME VOLATILITY: RISK-ADJUSTED PERFORMANCE OF INDONESIAN SHARIA FUNDS (2020-2024)

The study aims to examine the effect of operational performance, age, and size of mutual fund, on the performance of Islamic mutual funds in Indonesia and Malaysia. The data used collected from the monthly reports of Islamic mutual funds for the period 2016-2018, and then analyzed using panel data regression method. The total number of data was 44 from Indonesia and 46 from Malaysia. The results of statistical tests show that the operational performance and size of Islamic mutual funds have no effect on the performance of Islamic mutual funds both in Indonesia and in Malaysia. Meanwhile, the age of mutual funds is proven to have a significant negative effect on the performance of Islamic mutual funds in Indonesia, but on the contrary it is identified as having a significant positive effect on the performance of Islamic mutual funds in Malaysia. Furthermore, this study did not find any significant differences between the performance of Islamic mutual funds in Indonesia and Malaysia

This study investigates the performance of equity mutual funds in Indonesia using three performance evaluation techniques, namely the Sharpe Index, Treynor Index, and Jensen's Alpha Index. Equity mutual funds are chosen because, in the world of investment instruments, they have the potential for maximum returns for investors. However, this instrument is also associated with quite high risks, so an accurate performance evaluation is needed to guide investors in making better investment choices. The data set in this study is the daily net asset value (NAV) of several selected equity mutual funds for a certain period. IHSG (Composite Stock Price Index) as a benchmark for market performance. The Sharpe Index is used to measure returns on total risk, the Treynor Index measures return on systematic risk and the Jensen Alpha Index is used to examine whether fund managers can generate additional returns compared to the market. The study was conducted on equity mutual funds that were identified as performing well. However, there are also mutual funds whose returns lag the market benchmark. These findings provide investors with an understanding of the relative performance of equity mutual funds and the need to have selection criteria when choosing these funds

Background: Islamic money market mutual funds have become an alternative to conventional investment instruments. This research has novelty in determining the variables of mutual fund performance by combining risk and return factors, asset allocation policy variables, and investment manager performance, which have a high impact on the return and risk level in reducing the risk of loss on investment. In addition, this research was conducted on the performance of Islamic money market mutual funds that have not been studied before. Methods: This research uses data on Islamic money market mutual funds registered with the Financial Services Authority in Indonesia. The performance of Islamic money market mutual funds was calculated using the Sharpe Method and tested using multiple regression analysis. Results: The results showed that the asset allocation policy, investment manager performance, and the level of risk simultaneously have a significant effect on the performance of Islamic money market mutual funds in Indonesia; however, partially, there is no significant effect between (1) the asset allocation policy on the performance of Islamic money market mutual funds in Indonesia: (2) investment manager performance on the performance of Islamic money market mutual funds in Indonesia, and (3) the level of risk on the performance of Islamic money market mutual funds in Indonesia. Conclusions: The results indicated that optimization of returns and risks was needed by considering the composition of asset allocation, choosing the right investment manager, and conducting a good risk level analysis to obtain optimal Islamic money market mutual fund performance.

This 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)

This study aims to see, whether or not there is a reference to the performance of conventional and Islamic mutual funds in Indonesia with the Sharpe Index, Treynor Index and Jensen Index. The population of this research is Conventional Equity Mutual Funds and Sharia Equity Mutual Funds which are listed on the Indonesia Stock Exchange. Sampling was carried out using proposive judgment sampling method, namely the selected sample was invincible with predetermined selection criteria. The sample chosen is the monthly NAB of Islamic and conventional equity funds that were effective before January 1, 2016 and actively working until December 31, 2018, this is intended to obtain the latest information on the performance of equity mutual funds. Based on the sample selection criteria, it is obtained 20 mutual funds for conventional category stocks and 13 mutual funds for Islamic stocks that are active and publish their monthly NAB during the study period. This hypothesis testing is done in a comparative way, namely data analysis is done by using the Independent Sample T-Test. This analysis is carried out by comparing the returns, risks, and performance of conventional and Islamic mutual funds. Based on the results of the Independent Sample Test, it shows that there is a significant difference between the performance of Islamic equity funds and conventional equity funds using the Sharpe Index, Treynor Index and the Jensen Index

This study aims to analyze the effect of global diversification, exchange rates, and interest rates on the performance of mixed mutual funds in Indonesia during the period 2020–2024. The method used is a quantitative approach with the Partial Least Squares–Structural Equation Modeling (PLS-SEM) technique, using secondary data from the Financial Services Authority, Bank Indonesia, and Bareksa. The sample consists of three mixed mutual fund products that meet the criteria of portfolio data completeness, net asset value, and performance report publication. The results show that exchange rates have a positive and significant effect on mutual fund performance, indicating that exchange rate fluctuations play an important role in determining changes in portfolio returns. The global diversification variable proved to have no significant effect, illustrating that exposure to international markets has not provided stable benefits in improving the performance of mixed mutual funds. Interest rates also did not show a significant effect because the composition of mixed portfolios was able to withstand the impact of monetary policy changes. Simultaneously, the three independent variables were able to explain 66.7 percent of the variation in mixed mutual fund performance, indicating that macroeconomic dynamics and portfolio strategies have an important contribution in influencing the performance of this collective investment instrument.

This study aims to analyze the effect of inflation, IDR exchange rate, and money supply on the performance of sharia equity mutual funds in Indonesia during the period of 2019–2023. Mutual fund performance is measured using Net Asset Value (NAV) as the main indicator. This study uses a quantitative approach with panel data regression methods. The data used is monthly secondary data obtained from the Financial Services Authority, Bank Indonesia, and the Central Statistics Agency, with a sample of 40 sharia equity mutual funds that were consistently active during the research period. The estimation model was selected through Chow tests, Hausman tests, and Lagrange Multiplier tests, which showed that the Random Effect Model was the best model. The results showed that inflation had a positive and significant partial effect on the NAV of sharia equity mutual funds, while money supply had a negative and significant effect, and the IDR exchange rate had no significant effect. Simultaneously, inflation, the IDR exchange rate, and the money supply have a significant effect on the NAV of sharia equity mutual funds. These findings emphasize the importance of macroeconomic stability in supporting the performance of the sharia equity mutual fund industry in Indonesia.

This study aims to analyze the performance of sharia mutual funds in Indonesia, especially stock mutual funds with the 2015-2017 research period. The method was used by measuring the rate of return (rate of return) obtained and the risk (risk) that accompanies the investment. The data used in this study are secondary data with a sample of 15 sharia equity funds in Indonesia. To calculate the historical performance of mutual funds during the study period, the time-weighted rate of return and risk borne by the mutual funds method is calculated as the standard deviation of the mutual fund’s performance. The Sharpe method was used for comparison as well as rating the performance of mutual funds based on risk-adjusted return. The results showed that Cipta Syariah Equity Mutual Funds were Sharia Equity Funds that had the best performance compared with other Sharia Equity Funds

This study aims to determine the factors that influence the performance of Islamic Mutual Funds in Indonesia from 2015 to 2020. The research data were obtained from official publications of the Financial Services Authority and the official website of state data providers. This study uses 5 variables consisting of 1 dependent variable and 4 independent variables. Sharia Mutual Funds performance variable is measured by Net Asset Value (NAV) as the dependent variable. Money Supply, Inflation, Exchange Rate, and Indonesia Composite Index variables as independent variables. This study used the VAR/VECM method with Stata14 software. The results of this study indicate that in the short term, the Indonesia Composite Index variable and the NAV variable itself have a negative and significant effect. Meanwhile, in the long run, only the Indonesia Composite Index variable affects NAV. Meanwhile, the variables of Money Supply, Inflation, and Exchange Rates do not significantly influence the performance of Islamic Mutual Funds in Indonesia from 2015 to 2020.

PurposeThe present study tries to explore the various fund attributes that influence the mutual fund performance. Further, study examined the effect of mutual fund attributes namely, Net Asset Value (NAV), Portfolio turnover ratio (PTR), fund size (AUM), expense ratio (ExpR) and fund age (Age) on mutual fund's performance using gross return and risk-adjusted performance measures.Design/methodology/approachThe study evaluated balanced panel data (short panel) comprising 81 Indian equity mutual fund schemes for the period of 2013–2019. The study estimated relationship between fund attributes (Net asset value, Portfolio turnover ratio, Fund age, fund size and Expense ratio) and fund performance (using gross return and risk-adjusted performance measures), through panel data regression using fixed-effects model as suggested by Hausman specification test on transformed data (due to high multicollinearity), with cluster-robust estimators due to the presence of heteroskedasticity in the model.FindingsThe findings of the study suggested that using gross return as fund performance measure, PTR, NAV, AUM, Age exhibit significant relationship with the fund performance whereas using risk-adjusted performance measures (Treynor ratio and Jensen alpha) NAV and ExpR significantly influences the fund performance. Identification of the significant relationship between fund characteristics and fund performance offers valuable insights to the investors and fund managers for rationally managing their portfolio with the ultimate objective of the wealth maximization.Research limitations/implicationsThe study considered only 81 equity mutual fund schemes. Some of the data were not available at the time of the study due to the policy of the company. The present study contributes significantly in examining the expected association between fund attributes and fund performance in the context of Indian mutual fund industry where this relationship were explored less.Practical implicationsThe findings of the present study will help the investors to take the rational investment decision with the ultimate objective of maximum return with minimal risk. The findings also offer significant germane to the stakeholders in making rational decision-making process.Originality/valueThere is dearth of study concerning the relationship between mutual fund characteristics and fund performance with respect to Indian mutual fund industry. Therefore, study provides valuable insights to the area of the portfolio selection and management with respect to Indian mutual funds.

This study aims to analyze the impact of investment manager fees on the performance of mutual funds in Indonesia during the period 2020 to 2023. In the mutual fund industry, the investment Manager’s fee is a significant cost component that can influence investor returns. This research compares the performance of high-fee and low-fee mutual funds using two risk-adjusted performance measurement methods: the Sharpe ratio and the Treynor ratio. The sample consists of 100 mutual funds, comprising 50 with high fees and 50 with low fees, selected through purposive sampling based on data from the Otoritas Jasa Keuangan (OJK) and other relevant sources. The data analysis includes normality testing using the Kolmogorov-Smirnov test and comparison testing using the Mann-Whitney test. The results show a significant difference in performance between high-fee and low-fee funds when measured using the Sharpe ratio, but no significant difference was found using the Treynor ratio. These findings suggest that higher investment manager fees do not necessarily guarantee superior mutual fund performance, depending on the performance metrics used. The implications provide valuable insights for investors, fund managers, and regulatory authorities in formulating more effective strategies and policies within the mutual fund industry.

Islamic mutual funds as one of the financial investment products in Indonesia experienced rapid development in the last 5 years. Several studies have shown that the performance of a financial investment product is influenced by the macroeconomic conditions of a country. The purpose of this study is to determine the causality relationship and response of the performance of Islamic mutual funds in Indonesia when macroeconomic variables are simulated in an unstable state with an analytical approach using the Vector Error Correction Model (VECM). Observations in this study were made monthly from 2015-2019. The dependent variable in this study is the Net Asset Value (NAV) of Sharia Mutual Funds as a reference to the performance of Sharia Mutual Funds in Indonesia, while the macroeconomic variable as an independent variable consists of the money supply, inflation, central bank interest rates, the rupiah exchange rate, and stock indexes sharia in Indonesia. The results of this study note that simultaneous macroeconomic variables in Indonesia affect the performance of Sharia Mutual Funds in Indonesia.

: This research was motivated by increasingly Islamic fnancial industry in Indonesia, especially in Islamic mutual funds. Islamic mutual funds in Indonesia has signifcant growth in the capital market. One measured of the performance of an investment in the Fund Sharia views of the Net Asset Value (NAV) of a mutual fund. Fund performance is inseparable from a variety of factors both internal and external factors. In this study, researchers attributed the Net Asset Value (NAV) Islamic mutual funds in Indonesia with macro-economic Factor (infation, exchange rate and BI rate). Techniques used in This research is multiple linear regression is used to prove the hypothesis of the study. Data that has fulflled normality test and classical assumption processed by multiple. These results indicate (1) Partially occurred a signifcant positive effect between infation and Net Asset Value (NAV) Mutual funds sharia, (2) Partially Exchange positive and signifcant impact on the Net Asset Value (NAV) Mutual funds Sharia period 2010- 2016 (3) partially BI rate and no signifcant negative effect on the net asset value (NAV) Mutual funds Syariah period 2010-2016. Then through the F test can be in the know that simultaneously there is signifcant infuence between infation, exchange rates and the BI rate to the Net Asset Value (NAV) of mutual funds sharia in Indonesia. Keywords : Infation, exchange rate, the BI rate, the net asset value (NAV) of Islamic mutual funds

This study examines the effect of investment fund managers' characteristics in the form of tenure, and mutual fund characteristics with proxy turnover portfolios, market timing and stock selectivity on the performance of stock mutual funds. The research sample is 27 stock mutual funds in Indonesia that were active from 2013 to 2017. On the analysis of the relationships between the characteristics of investment managers and mutual funds characteristics on the performance of stock mutual funds, a series of OLS regressions were run. The panel data regression was included based on using the Eviews. All of the above were aimed at achieving portfolio optimization and realizing the maximization of the interests for fund management companies and investors. The main findings are as follows. Tenure does not affect the performance of stock mutual funds during the years 2013 to 2017, but if divided into 2 quadrants of tenure, namely tenure over 19 years and tenure under 19 years of work, the result is that tenure over 19 years has a positive effect on the performance of stock mutual funds, but tenure brought 19 years has no effect on the performance of equity funds, whereas mutual funds characteristics, which are proxied by portfolio turnover, market timing and stock selectivity, have a significant positive effect on the performance of equity funds in Indonesia. The primary limitation in the scope is the sample, because stock mutual funds that publish consistently Financial statements between 2013 and 2017 are few in number. These findings have important implications for fund management companies as input material that the investment strategy of the investment management team affects the performance of equity funds compared to the characteristics of investment managers with proxies for years of service. This paper proposes a new perspective to evaluate the relationship between the fund manager and mutual funds characteristicsanddivide 2 groups of working years, and calculate them with non-linear models.

<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>