Net Asset Value Research Articles

Efficiency of Mutual Funds and Portfolio Performance Measurement: A Case of Selected Mutual Funds in Tanzania

This study examines the current efficiency trends in the Tanzanian mutual fund industry over a five-year span (2018-2022), focusing on six specific funds: Umoja Fund, WekezaMaisha, Watoto Fund, Jikimu Fund, Liquid Fund, and Bond Fund. Employing a non-parametric approach, specifically Data Envelopment Analysis (DEA), the research collects secondary data from diverse sources, including newspapers, journals, books, periodicals, and the websites of UTT and the Bank of Tanzania (BOT). Monthly Net Asset Values (NAVs) of the selected mutual funds are scrutinized from each scheme's inception. Motivated by the limited understanding of mutual fund efficiency in Tanzania despite reported successes in increased asset values, profitability, and investor numbers, the study reveals distinctive performances under Constant Returns to Scale (CRS) and Variable Returns to Scale (VRS) assumptions. Under VRS, all mutual funds consistently achieve nearly 100% efficiency, signifying optimal operational scales. However, under CRS, efficiency scores fluctuate over time, underscoring the importance of mutual funds' adaptability for enhanced efficiency. Furthermore, the research suggests that mutual fund size significantly influences efficiency and potential scale economies. Smaller mutual funds demonstrate superior resource utilization efficiency, attributed to their focused investment approach. The analysis of inputs and output slacks provides insights into efficiency and resource utilization, identifying areas of optimal resource management and highlighting opportunities for improvement. The findings offer valuable insights into mutual fund efficiency under different scale assumptions, emphasizing the importance of scale flexibility and efficient resource management for superior performance. Implications suggest avenues for further research to explore external factors, efficiency fluctuations, portfolio management practices, and longitudinal trends within the mutual fund industry.

ANALISIS PENGARUH INFLASI, NILAI TUKAR RUPIAH, DAN BI RATE TERHADAP NILAI AKTIVA BERSIH REKSADANA SYARIAH DI INDONESIA (PERIODE 2015-2019)

This research examined the analysis of the effect of the Inflation, Rupiah Exchange Rate and BI Rate on the Net Asset Value (NAV) of Islamic Mutual Fund. Data used in this research is annualy, data start from 2015 until 2019. Sampling method used in this research is purposive sampling. This research used quantitative approach method and the analysis techniques used is multiple linear regression that using Eviews Version 10. Based on the result of this research showed that Inflation, Rupiah Exchange Rate and BI Rate stimultaneously has significant effect to Net Asset Value (NAV) of Sharia Mutual Balanced Fund. The results also show that inflation has a significant negative effect on the NAV of Islamic mutual funds. The Rupiah Exhange Rate (Exchange Rate) has a significant negative effect on the NAV of Islamic mutual funds and Bank Indonesia (BI) Rate significant positive effect of the NAV of Islamic mutual funds.

Evaluation and comparison net assets value of joint investment funds using support machine models versus statistical models - A case study from FEAS member countries

Evaluation and comparison net assets value of joint investment funds using support machine models versus statistical models - A case study from FEAS member countries

Asset Volatility and Financial Sustainability

This study observes how companies’ fundamental-based asset volatility impacts their financial sustainability. Accounting literature documents that net assets value accumulates previous earnings management. The asset balance change reflects biased earnings measurement, and abnormal asset fluctuation signals aggressive earnings management. This paper uses delisting as a proxy to observe how asset volatility can interact with abnormal earnings fluctuation to impact firms’ sustainability. The study uses two groups of regression and a Principal Component Analysis (PCA) Logistic Regression approach to observe how asset volatility impacts companies’ delisting risk. It borrows the Six Sigma methodologies to measure the volatility of financial statement items. Then the PCA analysis reduces the data dimensions to twelve factors. The analysis shows that assets’ abnormal fluctuation is a risk signal concurring with the extant earnings management literature. One takeaway from this study is that companies must disclose detailed explanations if asset volatility is beyond a red line. As Statement of Financial Accounting Standards (SFAS) 151 requires direct disclosure of abnormal excess capacity costs, companies must disclose abnormal asset volatility. The paper contributes to the literature from two perspectives. First, this paper captures firms’ sustainability from the accounting perspective with fundamental measures from quarterly financial reports. It provides a comprehensive way to detect aggressive earnings management risks. Second, the PCA logistic regression model offers a comprehensive analysis to derive useful information from many attributes.

Analysis of Net Asset Value-based Projected Performance of Sharia Mutual Funds Post Covid

As we know that the Covid-19 pandemic has affected the financial markets and banking sectors; however, it is different from the non-banking financial institutions having Sharia mutual funds. In 2019, the net asset value (NAV) of Sharia mutual funds were about 53,735.58, while in 2020 it increased to 74,367.44. Seeing the above phenomenon, mutual funds are one of the strategies that can be an investment opportunity and can be a safe investment alternative for capital owners, especially small capital owners and owners who do not have much time and expertise to calculate the return and risk on their investment. This study aims to examine the projections of the financial performance of Sharia mutual funds for the next 6 years. The method used is quantitative with a descriptive approach, data processing was done by projection analysis using Excel. The results of this study are the performance of Islamic mutual funds during the early post-Covid era, from May to the present, that has decreased to an asset value of 42,668.70 caused by withdrawal for Hajj funds, inflation, etc. The cause of the decline is in line with the theory above that Islamic mutual funds can be affected by unsystematic risk, which is impacted by the value of securities in the stock market that fluctuates according to general economic conditions. There is also a projected performance of Sharia mutual funds based on the NAV of the post-Covid era for the next 6 years that will continue to increase, reaching the highest point in 2027 of 102,054.28.
 Keywords: mutual fund, Sharia, net asset value

Pengaruh BI-7 Day Repo Rate dan Nilai Tukar terhadap Nilai Aktiva Bersih Reksa Dana Saham Periode 2018 - 2022

Mutual funds are a good place to invest for novice investors to get profits in the future. Therefore, mutual funds really need to be studied by including macroeconomic variables, namely BI-7 day repo rate and exchange rates. The purpose of this study is to analyze the effect of BI-7 day repo rate and exchange rates on Net Asset Value (NAV) of equity funds. The method used in this study is the Error Correction Model. The results show that in the long run the BI-7 day repo rate variable has a significant positive effect on the NAV of equity funds. However, the exchange rate variable has a significant negative effect. Furthermore, in the short-term estimation, BI-7 day repo rate has no effect on the NAV of equity funds. Then the exchange rate has a significant negative effect. Simultaneously (together) in the long run has a significant influence on the NAV of equity funds. This is inversely proportional to the short-term estimation results which state that simultaneous BI-7 day repo rate and exchange rates have no effect on the NAV of equity funds. The data used in this study is the period 2018 – 2022.

Pengaruh Indeks Saham Syariah Indonesia (ISSI), Indeks Harga Saham Gabungan (IHSG) dan Inflasi Terhadap Kinerja NAB Reksa Dana Saham Syariah Tahun 2018-2022

The fair market value of a mutual fund's securities and other assets less its liabilities (debt) is its net asset value, often referred to as net asset value (NAV). One of the benchmarks for assessing mutual fund performance is NAB. The aim of this research is to examine how ISSI, IHSG, and inflation will affect the Net Asset Value (NAB) of sharia stock mutual funds between 2018 and 2022. This research intends to show how ISSI, IHSG, and inflation affect Sharia Stock Mutual Funds. NAB performance on the Indonesian Stock Exchange. Explanatory research using quantitative methodology is this type of research. Multiple linear regression analysis, which has previously been evaluated using conventional assumptions, is the analysis technique used. The research results show that ISSI has a negative effect on the NAV Performance of Sharia Stock Mutual Funds, the Composite Stock Price Index has a positive effect, and Inflation has a positive effect on the NAV Performance of Sharia Stock Mutual Funds. The simultaneous influence of ISSI, IHSG, and inflation on the NAV performance of Sharia Equity Mutual Funds is quite large. To assume that all independent variables simultaneously or together have a significant influence on the Net Asset Value of Sharia Equity Mutual Funds at a confidence level of 95%, the F statistical value of 0.0000 is calculated which has a probability value of 5%. Keywords: ISSI, IHSG, and Inflation affect Sharia Stock Mutual Funds

Direct Lending Returns

I examine the performance of US business development companies (“BDC”). BDCs have produced returns in line with those of private funds engaged in direct lending. Leveraged loan and small-cap value equity returns explain a significant part of BDC performance, and the alpha of BDCs is zero on a market-value basis but a statistically significant 2.74% per annum based on net asset value (NAV) valuations. I find no evidence of an illiquidity premium, which suggests that the alpha could result from regulatory arbitrage or a peso problem. Cross-sectional BDC returns are widely dispersed and exhibit strong persistence in top- and bottom-quartile manager performance.

Risks from Investing in Open-Ended Mutual Funds – Impact of Net Asset Value

Risks from Investing in Open-Ended Mutual Funds – Impact of Net Asset Value

Investable Real Estate Allocations in a Mixed Asset Portfolio; Both Long Term and During Different Cycles

The NCREIF Property Index (NPI) data starts in 1978 and has been used as a benchmark index for over 45 years. In 2006 NCREIF created the NCREIF Open-End Diversified Core Equity Index (ODCE) and used historic fund level data to create performance data back to 1978. ODCE was the first “investable index ” in direct real estate for institutional investors, family offices, and high net worth investors who can meet these direct funds’ minimum investment levels (typically $5 million). Individual investors with less money can also access ODCE returns through Interval Funds or “Fund-of-Funds” that invest in and are designed to track or beat the ODCE Index. Since 2009 general partners of funds are required to update their net asset value (NAV) to “fair market value” on a quarterly basis as a result of Topic 820 of the Financial Accounting Standards Board. Both ODCE funds and interval funds have improved their liquidity with either monthly or quarterly redemption options, making them more competitive (from a liquidity aspect) with publicly traded securities. We analyze portfolio allocations over 45 years – the longest time frame ever studied and over 6 NEBR economic cycles and 4 ODCE real estate return cycles using Markowitz efficient frontier analysis. We inspect up-cycle and down-cycle periods separately and add to the literature by analyzing the ¼, ½, and ¾ points (low, medium, and high risk/return points) along the Markowitz efficient frontier. Our findings support many of the 45 studies published, but conflict with some depending upon their study methodology and time frame (9 to 25 years) studied. We conclude that real estate would have improved historic risk adjusted returns in many cycle periods.

CRYPTOCURRENCY AS AN OBJECT OF ACCOUNTING: PROBLEMS OF RECOGNITION

The economic essence of cryptocurrencies and digital technologies were substantiated in the article. Also the article defines their role and significance in global economic processes. It has been established that the reason for the rapid growth in the popularity of cryptocurrencies lies in their advantages over traditional money, in particular, in decentralization, speed and ease of transactions, a high level of security through the use of cryptographic technologies, etc. At the same time, it has been established that the use of cryptocurrencies poses threats associated with the risk of stability of the global financial and economic system, significant volatility in the value of cryptocurrencies, the uncertainty of their legal status, insufficient controllability of transactions, etc. It is substantiated that the widespread use of cryptocurrencies in business processes and their use as an investment object requires proper legal regulation of operations with digital assets. The current state of the regulatory framework for the circulation of cryptocurrency and approaches to its recognition as an object of accounting in accordance with the Generally Accepted Accounting Principles (GAAP) and International Accounting Standards (IAS) are analyzed. It has been established that the enterprises, when recognizing cryptocurrency as an object of accounting, assessing its value and subsequently displaying information in the system of accounting accounts and financial statements, are guided by various accounting standards that are currently available, and therefore there are threats of inconsistencies or distortions of information about the financial condition of the enterprise, its liquidity and solvency, net asset value, etc. To solve this problem, the expediency of developing the special accounting standards by the regulatory authorities that define the generally accepted methodological foundations for displaying information about cryptocurrencies in the accounting system of enterprises is substantiated. Taking into account the specific properties and characteristics of cryptocurrencies, it is recommended to introduce a separate category of assets for cryptocurrencies and disclose information about them in the company’s balance sheet before the item «Cash and its equivalents» in order to maintain the order of liquidity of asset allocation.

Analysis of The Effect of Inflation, Rupiah Exchange Rate, and BI Rate on The Net Asset Value of Sharia Mutual Funds In Indonesia (2015-2019 Period)

This research examined the analysis of the effect of the Inflation, Rupiah Exchange Rate and BI Rate on the Net Asset Value (NAV) of Islamic Mutual Fund. Data used in this research is annualy, data start from 2015 until 2019. Sampling method used in this research is purposive sampling. This research used quantitative approach method and the analysis techniques used is multiple linear regression that using Eviews Version 10. Based on the result of this research showed that Inflation, Rupiah Exchange Rate and BI Rate stimultaneously has significant effect to Net Asset Value (NAV) of Sharia Mutual Balanced Fund. The results also show that inflation has a significant negative effect on the NAV of Islamic mutual funds. The Rupiah Exhange Rate (Exchange Rate) has a significant negative effect on the NAV of Islamic mutual funds and Bank Indonesia (BI) Rate significant positive effect of the NAV of Islamic mutual funds.

Pengaruh Inflasi dan BI 7 - Day Repo Rate terhadap NAB Reksa Dana Syariah dengan Kurs sebagai Variabel Pemoderasi

This research is to analyze the effect of inflation and BI 7 Day Repo Rate on the Net Asset Value of Islamic mutual funds, to determine the effect of macroeconomic variables on the Net Asset Value of Islamic mutual funds. The novelty of this research is to add the exchange rate as a moderating variable that is believed to be able to strengthen the effect of inflation and the BI 7 Day Repo Rate on the Net Asset Value of Islamic mutual funds. This study used quantitative methods, hypothesis testing using multiple linear regression analysis to test the direct effect of the independent variable with the dependent variable and moderated regression analysis to test the interaction of the exchange rate in strengthening or weakening the effect of the independent variable with the dependent variable. The results of the research found that inflation and BI 7 Day Repo Rate have a significant negative effect on the Net Asset Value of Islamic mutual funds. On the other hand, the exchange rate does not moderate the effect of inflation and BI 7 Day Repo Rate on the Net Asset Value of Islamic mutual funds.

Efficiency of investing in closed-end real estate mutual funds

Real estate investments enjoy a steady interest of private investors, meeting their requirements for risk and profitability. One of the mechanisms for investing in real estate is implemented by a closed real estate mutual investment fund (Real estate Mutual fund), the principle of which is as follows: the real estate mutual fund invests investors' funds in residential or commercial real estate; in return for their money, depositors receive shares – securities of the fund. Their cost depends on the price of the real estate managed by the Real Estate Fund.This article presents the state of the Russian real estate market in 2022, the place of real estate funds in the market is determined. As an approach to assessing the effectiveness of investing in the real estate investment Fund, the calculation of the efficiency indicator as an index calculated on the basis of a comparative assessment of the attractiveness factors of the investment object is proposed. As a base for comparison, it is proposed to use the Moscow real estate index calculated by the Moscow Stock Exchange.The authors have proposed an index of real estate mutual funds, which reflects the dynamics of the net asset value of the largest funds. Based on the dynamics of the index values for 2021-2022, an assessment of the risk and profitability of investing in Russian real estate funds was carried out.

The Effect of Exchange Rate, Money Supply, Inflation, and BI-7DRR on Net Asset Value of Sharia Mutual Funds

This research aims to examine the individual and combined impacts of the Rupiah Exchange Rate (Exchange Rate), Money Supply, Inflation, and BI 7DRR on the Net Asset Value (NAV) of Sharia Mutual Funds. The study employs a quantitative approach using secondary data, with a sample size of 60 NAV data points from Islamic Mutual Funds recorded monthly between January 2016 and December 2020. The Error Correction Model (ECM) Engel-Grange is utilized as the analytical method. The findings indicate that, on a partial basis, the Exchange Rate and BI 7DRR variables do not have a significant influence on the NAV of Sharia Mutual Funds. However, the Money Supply and Inflation variables demonstrate a positive and significant impact on the NAV of these funds. Moreover, when considered together, the Exchange Rate, Money Supply, Inflation, and BI 7DRR variables jointly exhibit a significant effect on the NAV of Sharia Mutual Funds. As a result, it is suggested that the government should create a secure and profitable environment for Sharia mutual funds to foster continuous growth. An evident sign of the expansion of Islamic mutual funds is the increasing number of units offered to investors in the community.

Stock Valuation and Business Performance of Property Industry Post COVID-19 Era (Case Study of PT B)

In 2019 the pandemic Covid-19 caused sharp decline on Indonesian economy, yet in 2021 the economic condition started to recover, indicated by 7% increase in Gross Domestic Product and Consumer Confidence Index. One sector influenced by strong economic recovery is property industry, furthermore government gave stimulus to boost property industry growth. PT B is a leading property developer having various projects and land bank across Indonesia. Post Covid-19 era, the financial performance of PT B showed a good condition, the evidence is the increase in company profitability and decline in the debt. The fundamentals contrast with the stock price as the price declined even in the recovery phase. This condition encourages the writer to do the research on PT B stock valuation and whether the share is classified as overvalued or undervalued. The research will utilize secondary such as financial reports, annual reports, public expose from idx.co.id, and other literature sources. The methodology to process the data is Discounted Cash Flow valuation method to find the actual intrinsic value and value-added intrinsic value, to find the fair value using Net Asset Value valuation method. The added value is a proposal to developing housing projects for Generation Z with goal to increase the company share price. The result is the stock fair value to be IDR 1,312 – 2,554. Finally, the author will determine if the stock of PT B is undervalued or overvalued based on the research results.

Pengaruh Faktor Eksternal dan Internal terhadap Nilai Aktiva Bersih Reksadana Syariah Saham Sebelum dan Selama Covid-19 (2018-2021)


 
 
 
 The purpose of this study was to determine the influence of external and internal factors, namely GDP, inflation, gold prices, operational performance, age of mutual funds, and size of mutualifunds on Net Asset Value (NAV) of sharia equity mutualifunds and knowing the differences in NAV of sharia equity mutual funds before and during Covid-19 from 2018 to 2021. Data were processed using panel data regression analysis techniques and the Wilcoxon Signed Ranks Test. The results of this research studyiare thatipartially GDP, inflation, gold prices, operational performance, and mutual fund age have no significant effect onithe NAV ofishariaiequity mutualifunds. Meanwhile, mutualifund size has a significant effect on the NAV of sharia equity mutual funds. Furthermore, the results of the different test showithat there is no difference inithe NAV ofisharia equityimutual funds in shares that occurred beforeiand duringiCovid-19.
 Keywords: Net Asset Value, External Factors, Internal Factors, Covid-19, Sharia Equity Mutual Funds.
 
 
 

Factors Affecting Stock Selection and Market Timing Ability Between the Developed Country and Emerging Countries in Asean Markets

Objective: This research is designed to propose empirical evidence on factors affecting stock selection ability and market timing ability. Theoretical framework: Recent research found that most equity mutual funds underperform the market return due to a lack of stock selection and market timing abilities. However, rarely do they propose evidence of factors affecting the existence of these abilities Method: There are two-panel regression models developed in this research to show evidence of factors affecting stock selection and market timing abilities. The Dumitrescu–Hurlin (DH) test is used to gain a comprehensive understanding of the causality relationship between the variables Results and Conclusion: Based on observation of three ASEAN countries, this research proposes empirical evidence that the growth of fund size, volatility of the fund’s net asset value (NAV), and performance indicators of the underlying assets affect the stock selection ability differently in the respective countries. Similarly, the growth of fund size, volatility of the fund’s NAV, and macroeconomic indicators also affect the market timing ability differently Implications of the research: Therefore, the implementation of investment strategies in the three observed markets considers factors affecting the existence of the two abilities, effectively generating outperforming returns. Originality/value: Recent studies focused more on whether equity mutual funds are managed with stock selection and market timing abilities but not on factors affecting those abilities. This research proposes empirical evidence on factors affecting those abilities in different markets through econometrics analyses on panel data and the Dumitrescu–Hurlincausality test.

Autoregressive Distributed Lag Approach for Estimating the Nexus between Net Asset Value of Mutual Fund and Economic Determinants in India

India has seen a phenomenal growth in cumulative mutual fund investment from Rs 7.93 trillion in 2012 to Rs 40.38 trillion in 2022, which is more than a five-fold increase since last 10 years. Retail investors are now realizing the power of savings and Systematic Investment Plans (SIP) to build long term wealth. A financial literacy wave which is sweeping across India has projected mutual funds as a significant contributor and beneficiary of this phenomenon. The evolving economic landscape of India provides investors with excellent opportunities to capitalize on these fluctuations through systematic investment in safe investment vehicles like mutual funds. The market associated with mutual funds is always subjected to economic risks. The erratic fluctuations in macroeconomic variables can largely explain the Volatility in Net Asset Value (NAV) of equity oriented mutual fund schemes. With this background, this paper examines the impact of select macroeconomic variables on mutual funds’ performance in India. To analyse this, monthly observations of select macroeconomic variables, average NAV of large cap, mid cap, and small cap funds collected for a period of 10 years starting from January 2013 to November 2022. Descriptive statistics is used to probe the characteristics of the variable. In addition, correlation and ordinary least square method is applied to check the existing relationship and impact level of macroeconomic factors on NAV of select schemes. Lastly, short and long run relationship is analysed using Autoregressive Distributed Lag Model (ARDL).

Research on natural resource accounting issues from the perspective of ecological civilization

The systematic thought of "mountains, rivers, forests, fields, lakes, grass ice is a community of life" requires us to set up an overall view of ecological governance. To evaluate the effectiveness of natural resource protection and management and respond to the public's concern about the shortage of resources, it is necessary to carry out the accounting work of natural resources. However, the accounting work of natural resources under the background of ecological civilization construction is still in the stage of groping forward. This paper creatively analyzes the classification of natural resources assets, the determination of natural assets value, the confirmation and measurement of resource liabilities and net assets through accounting, and explores the system and method of compiling the balance sheet of natural resources, which has certain reference value to realize the sustainable development of natural resources ecological civilization construction. This paper calculates the original ownership and use rights of land, mineral resources and water resources in a city of China. The results show that land transfer fees increased by 127,996.24 million yuan, the ending balance of natural resources taxes and land resources reserves in storage at the end of the year was 27,956 million yuan, the loss of coal resources was 300 tons, and water resources decreased by 85,062 million cubic meters.