Net Asset Value Research Articles

Analysis of option-like fund performance fees in asset management via Monte Carlo actuarial distortion pricing

Abstract A detailed analysis of management and performance fees for asset managers and investment funds is undertaken. While fund fees are considered as a cost of capital for investors, the structuring of such fee mechanisms in a fund can also influence a fund manager’s decisions and investment strategy, thereby also influencing the investment performance of the investors funds. The study undertaken will allow for an assessment of the effect of fee structures and the potential for asymmetric incentives to arise that may promote adverse risk-taking behaviours by the fund manager, to the detriment of the investor or retiree who places a portion of their retirement savings into such a managed fund with such fee structures. As such, understanding the mechanism of fee charging as well as pricing the fees correctly is vital. An exploration of the application of actuarial distortion pricing methods for complete and incomplete market valuation is performed on a variety of path-dependent option-like performance fee structures for various funds in the European and American markets. Furthermore, several scenario analysis and sensitivity studies are undertaken. The class of Net Asset Value models adopted are Lévy processes, and the pricing is performed via Monte Carlo techniques.

Determinants of Stock Market Prices: Empirical Evidence in Vietnam

"This paper empirically tested the relationship between 6 variables including earnings per share, liquidity, firm size, net asset value per share, gross domestic product and returns on assets on the stock market returns of 359 companies listed in the Hanoi Stock Exchange, by applying monthly data from year 2017 to 2021. Using correlation analysis and regression analysis, the empirical results of this study show that, there are some factors that directly affect the market returns of listed stocks, including Earnings per share (EPS); Net assets value per share (NAVPS); Return on assets (ROA). Besides, the result could not explain the effect of Liquidity, SIZE and Gross Domestic product and on stock market returns. "

Evaluating the Performance of Selected Hybrid Mutual Funds

Though there are numerous financial assets in our capital market for the investors to invest their money for the attainment of more return, Mutual Funds play a predominant role in acting as a most favorable asset for investors to increase their wealth by offering numerous schemes. Investors who are eyeing on the mix of various assets in one single scheme can consider investing in hybrid funds. That is why we are conducting a study on selected hybrid mutual funds. Though there are various types of hybrid mutual funds we have taken 5 Hybrid Equity Mutual Funds with Regular Plan and Growth Option. The Financial ratio analysis is used for the performance evaluation of the fund, in that we are taking NAV (Net Asset Value) return of recent 5 years data. Finding Standard deviation, Beta, Sharpe ratio, Jensen ratio and Treynor’s ratio based on the last five years’ data. Performance Evaluation of hybrid mutual fund schemes is important both for the investors as well as for portfolio managers, which enables the investors to access how much return is generated by the portfolio manager and what risk and return have been assumed to the use of Hybrid mutual fund schemes. The study helps us to know about the various components of a mutual fund, knowledge about the hybrid mutual fund performance, its relationship with the capital market, growth, regulation, risk, and return involved. The existing study was supposed to be beneficial to the present and potential investors, managers of Mutual fund, agents of Mutual fund, present and future investors, and research scholars. This study will show you the calculations of NAV Return, Risk, risk-adjusted ratios like Sharpe’s, Treynor’s and Jensen’s Ratio.

Why Does Price Deviate from Net Asset Value? The Case of Singaporean Infrastructure REITs

Why Does Price Deviate from Net Asset Value? The Case of Singaporean Infrastructure REITs

The Impact of Deferred Tax and Tax-to-Book Ratio on Financial Performance of the Sharia Commercial Banks in Indonesia

Measuring financial performance by analyzing factors affecting profit is an important component of financial management. The role of profit in Sharia banking is not only limited to determining good or bad financial performance but also determines how much tax must be paid by bank to the state. Taxes for the government are a source of income but for Sharia bank a tax expenditure is a cost that will reduce the profit account in the income statement. This study aims to determine the effect of deferred tax and tax-to-book ratio on financial performance of the Sharia Commercial Banks in Indonesia. 10 Sharia Commercial Banks represented the sample in this study and were purposefully selected based on consideration of the following criteria: a) bank has published annual financial reports for the 2014-2020 period; b) bank has the recognition of deferred tax expenses and benefits and has an explanation of taxation in the notes to the financial statements; c) bank reported the value of net income and total assets by publishing the audited financial statements. The panel data used for the analysis covers the period 2014-2020. Before testing the model, the assumption tests performed were the normality test, multicollinearity test, and heteroscedasticity test. The data analysis technique uses panel data regression analysis with the selected model – Fixed Effect Model with the Hausman test approach. The results of this study show that the deferred tax variable has a negative and significant effect on financial performance (ROA). In contrast, the tax-to-book ratio does not influence financial performance. This situation is caused by the Sharia Commercial Banks in Indonesia experiencing the burden of deferred tax. In addition, due to the amount of deferred tax expense that Sharia Commercial Banks must issue, this will reduce net profit. As a result, the banks' financial performance decreases as measured by return on assets. Thus, management of the Sharia commercial banks in Indonesia should consider that the imposition of tax payable has implications for reducing financial performance.

Goodwill as an accounting and analytical category ensuring evaluation and management of corporate reputation

Introduction. The efficiency of enterprises relies on the accurate assessment and accounting representation of their assets. In the context of the modern society, significant attention is devoted to intangible resources, particularly goodwill, as a key element of corporate reputation. However, the existing accounting-analytical system requires modernization to encompass all aspects of value creation. Goodwill issues captivate the interest of accountants, financiers, and managers, as this unique asset allows companies to gain a competitive edge in their respective industries. Objective. The purpose of the work is to study ways to improve the efficiency and accuracy of accounting for intangible assets, which will allow enterprises to provide reliable financial reporting and take into account important components of goodwill in the internal and external environment; studying the role of goodwill in assessing the value of a business on an ongoing basis; search for ways to improve the accounting and analytical support for the assessment and management of the business reputation of the enterprise, specific changes in the plan of accounts are proposed to improve the accounting of intangible assets, in particular elements of goodwill. Method (methodology). Scientific methods and approaches were used in the work, in particular, a comparison to study the main provisions of IFRS and NP(S)BO, analysis of the difference in approaches to accounting for goodwill and intangible assets between these standards; formalization and generalization of the main technological tasks of the organization of accounting of intangible assets for the implementation of the principles of goodwill in the system of ensuring continuity of activity and maintaining a positive business reputation of the enterprise. Results. In the course of the study, an in-depth analysis of the existing methods of goodwill assessment was carried out and their limitations in taking into account all components of this important category of assets were revealed. In response to this limitation, we have developed our own method that takes into account intangible assets that are not reflected on the company's balance sheet. The proposed methodology calculates goodwill as the difference between the fair value of net assets and their book value, considering revalued asset values and off-balance-sheet intangible assets such as business relationships, peculiarities of activity, and personnel knowledge. A supplementary recommendation includes modifying the Chart of Accounts to account for intangible assets, detailing them at an analytical level. These changes can identify and reflect important goodwill elements previously unaccounted for in financial reporting. The outlined modifications address the need for meticulous intangible asset accounting and contribute to increased reliability of financial reporting, essential for informed managerial decisions and establishing trust among stakeholders.

COVID-19 and Its Impact on Islamic Equity Mutual Funds in Indonesia

The Islamic equity mutual funds, initially exhibiting a relatively high average interest, experienced a significant decline in Net Asset Value (NAV) in 2020 - 2021 due to the COVID- 19 pandemic. Therefore, this study analyzed the impact of the COVID-19 pandemic on the NAV of Islamic equity mutual funds and the influence of macro and micro factors, such as inflation, exchange rate, Jakarta Islamic Index (JII) trading volume, and age of mutual funds. Data were collected from a sample of 11 companies registered with the Financial Services Authority from 2014 to 2021, using the purposive sampling technique to achieve this objective. Subsequently, the data collected were analyzed using the Panel Data Regression Method, and the Wilcoxon Signed Ranked Test. The results showed that the pandemic delayed economic activity, decreasing returns on sharia investment instruments, such as the NAV of Islamic equity mutual funds. JII, trading volume, and fund age were negatively affected compared to mutual inflation and exchange rate. This study provides information that regulators can use in formulating appropriate policies to minimize the adverse effects of Covid-19 on Islamic equity mutual funds, specifically in macroeconomic policies. Likewise, investment managers can consider internal factors when positioning Islamic equity mutual funds in the NAV

재무정보의 유용성 추세에 관한 사례연구

Purpose – This study compares the financial statements of major Korean and US companies in order to solve the limitations of drawing conclusions only through inferences through statistical analysis without drawing conclusions from previous studies by Mun Tae-hyoung and Lee Jang-soon (2018). Design/Methodology/Approach – For companies listed on the Korean stock market, in order to confirm the correlation between net income, net asset value, and the market capitalization of financial statements, first, the growth rate of the Korean KOSPI and the US DJGI was compared, and then similar indicators of representative companies are compared. Findings – As a result of comparison, the profitability of similar companies in the US was higher than that of Korean companies, and it was possible to verify that this was caused by the fact that US companies had higher profitability than Korean companies in previous studies. However, in the comparison of total capital and tangible and intangible assets, some obtained the same results as the inferences of previous studies, but some showed results that did not match such inferences. Research Implications – Lev & Gu (2016), in their book “The End of Accounting and the Path Forward for Investors and Managers”, suggest that intangible assets, the most important assets in modern companies, are not shown in financial statements as one of the reasons for the end of accounting. This study confirms the claim that it is not. To this end, it is thought that the meaning of this study can be given by examining the differences in the accounting methods between Korea and the United States.

INVESTIGATING THE FINANCIAL STRENGTH IN THE ENERGY SECTOR: A STUDY ON TGTDCL

This study presents a descriptive study analyzing the financial strength of TGTDCL in the energy sector. The study examines various financial aspects, including shareholding pattern, annual turnover, net assets value per share, liquidity ratios, profitability ratios, working capital ratios, capital structure ratios, contribution to the national exchequer, and system loss reduction. Employing a descriptive research design, the study utilizes purposive sampling to select TGTDCL. Data is collected from TGTDCL's annual reports spanning 2017-18 to 2020-21 and analyzed using Ms Excel, incorporating descriptive statistics and ratio analysis. Findings indicate that TGTDCL's operations are influenced by government control. Nevertheless, the company exhibits consistent growth in annual turnover, indicating effectiveness in capitalizing on market opportunities and meeting gas demand. The upward trend in net assets value per share reflects growth of assets, benefiting shareholders. Additionally, positive liquidity ratios highlight improved financial health and effective short-term obligation management. However, profitability ratios reveal a decline in profit generation and conversion of revenues to earnings. The study emphasizes inventory management, enhanced collection processes, and optimized payment cycles for financial strengthening. Capital structure ratios underscore the need for managing debt levels and improving cash flow generation. TGTDCL's contributions to the national exchequer demonstrate financial responsibility and positive impact on the economy. Efforts in system loss reduction enhance operational efficiency and cost management. The findings contribute to understanding the financial landscape of the TGTDCL and offer insights for policymakers, industry practitioners, and researchers. Future research should consider qualitative factors and detailed financial data to comprehensively assess financial position of industries in the energy sector.

APAKAH SUKU BUNGA SBI DAN INFLASI BERDAMPAK TERHADAP KINERJA REKSA DANA SAHAM DI INDONESIA

The purpose of this study is to analyze the effect of interest rates SBI and Inflation on the performance of Sham Mutual Funds. This research uses Monthly Net Asset Value (NAV) of equity mutual funds registered with the Otoritas Jasa Keuangan (OJK), as well as monthly data on SBI Interest Rates and Inflation obtained from Bank Indonesia monthly report. By using purposive sampling method selected fourteen equity mutual funds that are active and always exist in five years research to analyze as sample. Indicators used in Determining the performance of equity mutual funds is the Sharpe ratio method. Statistical test that used in this research is multiple regression test. Research result shows that the SBI Interest Rate and Inflation have a positive and significant effect on the performance of equity funds.

INAV-Informative Net Asset Value

The project INAV- Informative Net Asset Value is used to reduce efforts used by the land buyers and land sellers by directing the land buyers directly with the land sellers who are interested to sell their properties without interfering with the mediators, who plays a role in between buyer and seller. The main aim of our research paper is to connect land or flat buyers and sellers from different place, by using this application they can find the location and the land for selling and also there will be the contact details of seller with that they can directly contact them. The customer can search the location of the land which they need using the google maps which is in build into the application. The project uses the Android Studio software using the java language and MySQL Server to store data.

Performance of Conventional and Sharia Mutual Funds Using Sharpe, Treynor and Jensens Methods

Mutual funds is an instrument investment which is the best recommendation for beginner investor or an alternative investment that more safe and eficient. Investing growth give an opportunity to economic growth and to agregat growth of a country macro economic. That things were positive impacted to many factors for harmony and prospery. Research purpose - Indonesia is a country with the majorities moeslims citizen, to know how money market conventional and sharia mutual funds performances that can become a scient or subject to inform the investors of optional instrument investment it is does not depends to any religion. Using the portofolio method performance there are Sharpe Index, Treynor Index, and Jensen Alpha. And the variables using net asset value of money market mutual funds, risk free BI-7DRR, JKSE, and JII periode time 2017-2021. This research can show that mutual funds is a sustainable investment caused both of risk and return are the same. Research result In 2020 pandemic covid-19 hitten Indonesia and streamed untill 2022 but in the fact investment popularity doing hightly, a lot of campaign and promoting influencer to pull on teenegers become a new investor. Money market mutual fund is a suitable recommendation for investor beginner according with increased of under asset management value of money market mutual funds during pandemic. On the practice there are more options of mutual funds with two principle are conventional and sharia mutual funds.

Determinants of Dividend Policy of Companies Listed in Dhaka Stock Exchange

This study intends to identify the determinants of corporate dividend policy followed in Bangladesh. The study uses a firm-level panel data set of 61 companies from eight major sectors of DSE for ten years from 2008 to 2017. Pearson correlation coefficient and backward elimination method of multiple regression have been used to find out the results of the study. Pearson correlation coefficient shows mixed results for the relationship between dividend per share and ownership structure, reserve & surplus, net asset value per share, earnings per share, dividend payout ratio and dividend yield. The findings of Backward Elimination Method of Multiple Regression show that ownership structure has positive impact on dividend per share in Financial Institutions sector. Reserve & surplus has positive impact on dividend per share in Banking and Pharmaceuticals & Chemicals sectors, but negative impact in Food & Allied Product sector. Net asset value has positive impact on dividend per share in Food & Allied Product, Textile and Insurance sectors, but negative impact in Banking sector. Earnings per share has positive impact on dividend per share in Engineering sector. Dividend payout ratio has positive impact on dividend per share in Fuel & Power and Insurance sector, but negative impact in Banking sector. Dividend yield has a positive impact on dividend per share in Banking, Financial Institutions, Engineering and Fuel & Power sector. Overall, ownership structure, reserve & surplus, net asset value per share, earnings per share, dividend payout ratio and dividend yield have significant impact on dividend per share of one or more of the selected sectors under study.

Interpreting the prediction results of the tree‐based gradient boosting models for financial distress prediction with an explainable machine learning approach

AbstractFinancial distress prediction is a major issue in the burgeoning fintech field. Given the importance of the reliability of the prediction results, there is an urgent need for the explanatory ability of the financial distress prediction model. From the modeling and explanation point of view, this study employs four prevailing tree‐based gradient boosting models, namely, gradient boosting decision tree, extreme gradient boosting, light gradient boosting machine, and categorical boosting, to build financial distress prediction models by using financial data of listed companies in China from 1998 to 2014 and five different prediction time spans. We observe that tree‐based gradient boosting models have better prediction performance than other prediction models. To explore the reasons for the prediction results, we deploy TreeSHAP. Then, we use Shapley regression to examine the statistically significant relationships between financial indicators and financial distress. We discover that financial indicators, such as net asset value per share and ratio of operating profits to current liabilities, are significantly related to financial distress. There is usually a nonlinear relationship between the financial predictors and prediction target. Thus, this study provides an effective method for financial distress prediction and an explanation of the results for listed companies in China.

Pengaruh Nilai Tukar, Jumlah Uang Beredar, dan IHSG terhadap Nilai Aktiva Bersih Reksadana Syariah Tahun 2019-2021

This study aims to determine the extent of the influence of the exchange rate, the money supply and the JCI on the Net Asset Value of Islamic Mutual Funds in 2019-2021. This research uses quantitative research and Time Series analysis through SPSS. As a data analysis technique. The results of this study indicate that the Exchange Rate, the Money Supply and the JCI have a significant simultaneous effect on the Net Asset Value of Islamic Mutual Funds 2019-2021. Based on the t test, it shows that the Exchange Rate (X1) has no significant effect on the Net Asset Value of Islamic Mutual Funds 2019-2021. The Money Supply (X2) has no significant effect on the Net Asset Value of Islamic Mutual Funds 2019-2021. JCI (X3) has a significant effect on the Net Asset Value of Islamic Mutual Funds 2019-2021.
 Keywords: Exchange Rate, Money Supply, JCI, Net Asset Value, Sharia Mutual Funds

THE EFFECT OF INFLATION AND IDR EXCHANGE RATE ON NET ASSETS VALUE OF STOCK MUTUAL FUNDS IN INDONESIA WITH THE ROLE OF IDX COMPOSITE AS MEDIATING VARIABLE

Net Asset Value (NAV) is the rational market value of a mutual fund's securities and other assets with fewer liabilities. Net Asset Value can be used as a benchmark in monitoring the results of a mutual fund. Mutual fund results and performance cannot be separated from various internal and external factors. This study purposes to analyze the character of IHSG/ IDX Composite in mediating the effect of inflation and the rupiah exchange rate on the equity mutual funds’ NAV in Indonesia during the period of 2015-2019. This study benefits panel data with path analysis techniques by using the Smart PLS. The results show that inflation influences negatively and insignificantly on Equity Mutual Funds’ NAV. IDX Composite has negative and insignificant effect on Equity Mutual Funds’ NAV, and the Rupiah Exchange Rate have the positive and significant influence on Equity Mutual Funds’ NAV. The value of the coefficient of determination is 49.8%, which means how much the Equity Funds’ NAV can be explained by Inflation, IDX Composite, and Rupiah Exchange Rate. Moreover, the remaining 50.2% is effected by other variables.

Analisis Komparatif Kinerja Reksa Dana Syariah dan Reksa Dana Konvensional di Masa Pandemi

This study aims to compare and see the performance of Islamic mutual funds and conventional mutual funds during the pandemic. This study uses a type of research with a quantitative approach. The samples used in this study were conventional mutual funds and Islamic mutual funds. The source of data in this study is secondary data from the Net Asset Value per unit (NAV/unit) of sharia mutual funds and conventional mutual funds available on the OJK website. The analytical method used is the comparative method and the average difference test using the independent sample t-test method, with the SPSS program and the Sharpe method to determine the best performance of stock mutual fund ratings. The results show that the performance of conventional stock mutual funds with an average Sharpe index of 0.026 is superior to the performance of Islamic mutual funds with an average Sharpe index of 0.021, while based on the independent sample t-test test, it is proven that there is no significant difference between the performance of Islamic stock mutual funds and performance of conventional equity mutual funds, with a 2-tailed sig value of 0.498 > 0.05.

Pengukuran Kinerja Reksa Dana Syariah Berbasis pada Risiko dan Tingkat Pengembalian

This study aims to determine the performance of Sharia Mutual Funds which is very useful for investors in making investment decisions in Sharia Mutual Funds. This research focuses on Fixed Income Sharia Mutual Funds. The research data were obtained from secondary published by the Indonesia Stock Exchange and Bareksa in the form of a report on Net Asset Value and the Rate of Return for the period 2018-2020. The data is analyzed using a risk and rate of return approach which aims to determine the performance of Fixed Income Sharia Mutual Funds. The results reveal that the performance of Fixed Income Sharia Mutual Funds with a risk approach, namely the least risky Fixed Income Sharia Mutual Funds in 2020. By using the rate of return approach, the findings shed a light on the highest Fixed Income Sharia Mutual Funds performance in 2019. Thus, it can be concluded that the performance of Fixed Income Sharia Mutual Funds based on a risk and return approach has a low risk and positive performance.

The Effect of Jakarta Composite Stock Price Index, Jakarta Interbank Offered Rate as Determination Factors Fluctuations in Net Asset Value of Mixed Mutual Funds

The purpose of this study is to define the factors that influence the Mixed Mutual Funds including the Jakarta Interbank Offered Rate and the Composite Stock Price Index. The research method used is purposive sampling by taking data on price movements of mutual funds published by PT Ashmore Asset Management Indonesia Tbk where Mutual funds originating from the period January 1, 2021 to December 31, 2021 and listed on the IDX, consist of 245 daily data. The test method used is descriptive statistical method using sample data from JCI and JIBOR where the results obtained from the calculation of this analysis are JCI and JIBOR have a positive and significant effect on the performance of the Net Asset Value of Mutual Funds, with a coefficient of determination close to 0.6526 or 65, 26%, which means that NAV is influenced by the movement of JCI and JIBOR. While the remaining 34.74% is explained by variables not included in this study.

The effect of fund size on mutual funds performance in Egypt

The growth of mutual funds investment and its importance to various economies has become more significant in the past few decades. There are many factors that affect the mutual fund performance one of those factors are fund size. The researcher will investigate the effect of fund size on mutual fund’s performance in Egypt. The results showed that Log Net asset value NAV (Log fund size) has a significant negative impact on mutual fund performance, Age has a significant negative impact on mutual fund performance. The researcher also concluded that the Fund type has significant effect on mutual funds’ performance. While Log total fund expense has a significant positive impact on mutual funds’ performance.