Performance Of Stock Mutual Funds Research Articles

Mutual Fund Performance: Impact of Stock Market, Interest Rates, and Inflation.

This quantitative study investigates the relationship between the Composite Stock Price Index (JCI), interest rates, inflation, and the performance of equity mutual funds listed on the Indonesia Stock Exchange (IDX) during the 2017-2020 period. Secondary data from various literature sources, official websites, and company reports were utilized. Multiple linear regression analysis was employed to analyze the data. The findings reveal that both JCI and interest rates significantly influence the performance of stock mutual funds, whereas inflation exhibits a negative but statistically insignificant effect. Moreover, when considered together, JCI, interest rates, and inflation collectively impact the performance of equity funds. These outcomes highlight the importance of considering macroeconomic factors, specifically the stock market and interest rate dynamics, in assessing and managing the performance of equity mutual funds.
 Highlights:
 
 Stock market and interest rates significantly impact equity mutual fund performance.
 Inflation has a negative but statistically insignificant effect on mutual fund performance.
 Considering macroeconomic factors is crucial for assessing and managing equity mutual fund performance.
 
 Keywords: Stock Market Performance, Interest Rates, Inflation, Equity Mutual Funds, Indonesia Stock Exchange (IDX).

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.

Assesment of Mutual Fund Performance Using the Calculation Methods of Sharpe Ratio, Treynor Ratio, Jensen Alpha, and M-Square (Study on Indonesia Mutual Fund for the 2016-2018)

The purpose of this study is to determine the difference in returns on the JCI or stock mutual funds returns and to find out how well the performance of the four stock mutual funds is in the conclusion that there is a difference or not in the consistency of the performance of stock mutual funds. In this study, the Mutual Fund Performance Evaluation Method used includes the Sharpe Ratio, Treynor Ratio, Jensen Alpha, and M-Square. The population in this study is equity mutual funds registered with the Financial Services Authority (OJK) for the 2016-2018 period. The results of the study based on the Wilcoxon signed rank test showed that there was a significant difference between stock mutual fund returns and JCI returns. Meanwhile, based on the Kruskal-Wallis test, it shows that there are differences in the consistency of the calculation of the Sharpe Ratio, Treynor Ratio, Jensen Alpha, and M-Square methods.

Comparison Of Sharia Performance And Conventional Mutual Funds In Forming Optimal Portfolio

This research aims to analyze the differences in the performance of Islamic stock mutual funds and conventional stock mutual funds in forming an optimal portfolio using the Sharpe and Treynor models. Purposive sampling was used in determining the data sample which was then analyzed using the descriptive method with a comparative study during the period January 2018 to December 2019. Hypothesis testing used a different test to determine the difference between the two using the SPSS Application Tool. The results showed that the calculation of the performance of stock mutual funds using the Sharpe method, both Islamic and conventional stock mutual funds, there was no significant difference. Likewise, the results of the calculation of the performance of stock mutual funds using the Treynor method show that there is no difference between the performance of Islamic stock mutual funds and conventional stock mutual funds. This is one proof of the development of the Islamic economy in Indonesia, especially in the capital market, so that Islamic mutual funds can compete with conventional mutual funds.

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

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.

Equity Mutual Fund Performance Analysis using Sharpe and Treynor Indices 2012-2013

This research examines stock mutual fund performance compared with market performance (IHSG) by Sharpe and Treynor approaches. The research problems are whether there are significant difference between stock mutual fund performance and market performance (IHSG) in Indonesia Stock Exchange (IDX) by Sharpe approach, whether there are significant difference between stock mutual fund performance and market performance (IHSG) in Indonesia Stock Exchange (IDX) by Treynor approach, and which one of stock mutual fund has the best performance if measured using Sharpe and Treynor approach. The sample in this research are 31 stock mutual fund listed in Indonesia Stock Exchange year 2012 to 2013 from 11 Investment Management which have the biggest AUM. The analysis used in this research is Independent Sample T-Test by SPSS version 16 program package. The results show that there is a significant difference between stock mutual fund performance with market performance used Sharpe Index and there is a significant difference between stock mutual fund performance with market performance used Treynor Index. Stock mutual fund which has the best performance if measured uses Sharpe and Treynor approach is Trim Kapital Plus. The findings implied that investors should use Treynor approach to evaluate the performance stock mutual fund because it is consistence. Meanwhile, investment managers must reconsider stock portofolio and the use of Treynor approach in evaluating performance stock mutual fund.

Analisis Kinerja Reksadana Saham dan Reksadana Indeks dalam Penilaian Tingkat Efisiensi Pasar Modal di Indonesia

Mutual funds are designed to raise investment funds. The objectives of this study are: to determine the performance of mutual funds on the LQ-45 index is higher than the performance of equity funds in the Indonesian capital market and to measure the level of efficiency in the capital market using CAPM modeling and using Net Active Value (NAV) data per year for the 2015 period. -2019. To determine whether a mutual fund is good or bad, it is not measured by how much the return has been generated or by how big or small the risk of fluctuation is, but this is seen from how much the mutual fund performs with its reference index. If the performance of index mutual funds is better or the performance of stock mutual funds is lower overall, the capital market can be said to be efficient. The results of this study indicate that the performance of the LQ-45 index mutual funds is smaller than the performance of the more superior stock mutual funds above. So it can be concluded that the Indonesian capital market is an inefficient Indonesian capital market.

Performance Evaluation of Equity Funds: 2017-2019

Mutual funds are said to perform very well if they can provide a higher rate of return and minimize risk. This study aims to find out if the performance of stock mutual funds has a better performance than the market as a comparison (JCI) using sharpe and jensen methods and to find out if there is a difference in the rating of stock mutual fund performance measurement results between sharpe method and Jensen method.The analysis results using Sharpe method and Jensen method show that 30 mutual funds have a good performance where the performance value of stock mutual funds from sharpe and jensen method is above the average market value (JCI). The result of Sharpe method in 2017 shows that the best performing stock mutual fund is Batavia Stock Fund Optimal Stock Fund. In 2018 and 2019, the best performance was the Sucorivest Maxi Fund, while the result of Jensen's method in 2017, the best performing stock mutual fund was the Sucorivest Maxi Fund. In 2018, it showed the best performance, namely Trim Kapital Equity Fund. The Bahana Trailblazer Fund occupied the highest performance value in 2019. However, each equity fund will experience a change in its rating every year. For the best mutual funds in this research year.

Https://www.asianinstituteofresearch.org/JEBarchives/The-Influences-of-Interest-Rate%2C-Inflation-and-Market-Risk-on-the-Performance-of-Stock-Mutual-Funds-Through-to-the-Variables-Moderating-of-Stock-Index-LQ45-Registered-on-IDX-2016-2019

This study aims to determine the effect of interest rates, inflation and market risk on the performance of stock mutual funds with a stock index of lq45 as the moderating variable. The independent variable in this case is the interest rate (x1), inflation (x2), market risk (x3) and the dependent variable is the performance of stock mutual funds (y) and the stock index lq45 as the intervening variable (m). The type of research used is associative research, with a quantitative approach. This study takes all time series data that converts interest rates, inflation and market risk, stock index lq45 and the performance of stock mutual fund for the period 2016 to 2019. The number of research samples using saturated sampling techniques obtained is 40 samples. Data analysis used multiple regression analysis and moderated regression analysis using spss23. The results of the F test show that the lq45 index is able to moderate the independent variable interest rate, inflation, market risk together on the performance of stock mutual funds. The t test results show that the stock index lq45 is able to moderate the relationship between the variable interest rate and market risk on the performance of stock mutual funds, while the inflation variable cannot be moderated by the stock index lq45 on the performance of stock mutual funds.

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

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.

THE EFFECTS OF INFLATION, RISK, AND MONEY SUPPLY ON MUTUAL FUNDS PERFORMANCE

This research aims to examine the effect of inflation, risk rate and money supply on the performance of stock mutual funds in the 2015-2017 period. This research uses purposive sampling and obtained 25 mutual funds stocks per year with a total sample of 75 samples. The analysis uses panel data regression with e-views version 9. The results show that inflation and money supply variable have a significant negative influence, while the risk rate variable has a significant positive influence. This shows that the performance of the stock mutual funds is influenced by macroeconomic factors such as inflation, the level of risk of each mutual fund product and the amount of money circulating in the community.

Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia

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.

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

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.

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

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.

Market timing and stock selection performance of mutual fund in bull and bear market condition

This study aims to measure the performance of stock mutual fund in Indonesia by using a Paramita model. This study used a sample of 30 stock mutual funds, which were actively traded in the period 2008-2012. The study period was divided into two periods: economic crisis and after economic crisis. The results showed that on the crisis period, during the bull market, the majority of stock mutual funds in Indonesia have the best performance of market timing and stock selection. While in the bear market, several mutual fund only have the best performance of market timing, but bad performance of stock selections. But on after crisis period, most of the mutual funds indicate bad performance of market timing in bull and bear market conditions. But in the bull market conditions, most of the mutual funds were showed a good performance of stock selections.

Market timing and stock selection performance of mutual fund in bull and bear market condition

This study aims to measure the performance of stock mutual fund in Indonesia by using a Paramita model. This study used a sample of 30 stock mutual funds, which were actively traded in the period 2008-2012. The study period was divided into two periods: economic crisis and after economic crisis. The results showed that on the crisis period, during the bull market, the majority of stock mutual funds in Indonesia have the best performance of market timing and stock selection. While in the bear market, several mutual fund only have the best performance of market timing, but bad performance of stock selections. But on after crisis period, most of the mutual funds indicate bad performance of market timing in bull and bear market conditions. But in the bull market conditions, most of the mutual funds were showed a good performance of stock selections.

Analisis Kinerja Reksa Dana Saham Dengan Menggunakan Metode Sharpe Dan Jensen Untuk Periode 2005 – 2009

Every investment option are risky because of uncertainty. Each investment instruments have different risk levels. Measurement of risk impact depends on the type of Investment. "Do not put all your eggs into one basket" is frequently echoed to warning investors as suggestions effort to minimize the risks by investing in diversified portfolio to avoid losses. The sharpe method and Jensen method are the main analytical tools to analize Equity Fund Performance. The research are analyzing many of mutual fund such as TRIM Kapital mutual fund, Firtis Ekuitas mutual fund, Batavia Dana Saham mutual fund, and Schroder Dana Prestasi mutual fund. The research result gave the rating for the performance of stock mutual funds, which can be help investors and prospective investors in assessing the merits of a mutual fund. The ranking describe the ability of fund managers in managing performance of mutual funds, which the highest ranked have better ability than the other investment managers.

The Performance of Collective Investment Contract of Stock Mutual Fund In Indonesia

The are two kinds of stock mutual fund, namely company and collective investment contract of stock mutual fund. Three aspects must be considered by investor in selecting stock mutualfund, (1) how much rate of return, (2) is rate of risk and (3) is performance or professionality of porlfolio management of stock mutual fund. To analyze the performance of stock mutual fund, especially collective investment contract of stock mutual fund in Indonesia, is the objective of this study. Based on theoretical and empirical review, it is able to design hypothesis. Data collections in this study covering IHSG, BI rate and Net Asset Value (NAV) of stock mutual funds. Alfa Jensen's model was used to evaluate the performance of collective investment contract of stock mutual fund. The finding of this study shows that only two of six of stock mutual fund which are observed as sample, have outperform toward market performance and the others are underperfoms condition.

A Casebook for a First Course in Statistics and Data Analysis

Partial table of contents: DATA ANALYSIS. International Adoption Rates. The Performance of Stock Mutual Funds. Predicting the Sales and Airplay of Popular Music. Health Care Spending in the United States. APPLIED PROBABILITY. The Flight of the Space Shuttle Challenger. Random Drug and Disease Testing. The Sampling Distribution for the Median. The Sampling Distribution for the Standard Deviation. STATISTICAL INFERENCE. Volume and Weight from a Vineyard Harvest. The Return on Stocks in the New York Stock Exchange. Reporting of Sexual Partners by Men and Women. Air Bags and Types of Automobiles. ANALYSIS INVOLVING REGRESSION. Purchasing Power Parity: Is It True?. PCB Contamination of U.S. Bays and Estuaries. Estimating Rates of Return of Investments. Subgroups in the Electricity Consumption Data. The Birth of a Beluga Whale. Appendix. Index.

Analisis Kinerja Reksa Dana Saham Menggunakan Metode Sharpe, Treynor dan Jensen Dengan IHSG dan Lq45 (Reksa Dana Saham Yang Terdaftar Di OJK Tahun 2009-2013)

Risk and Return are two things that must be considered in measuring portfolio performance, there are three parameters that have accommodated Risk and Return; Sharpe method, Treynor method, and Jensen method. These three performance measurements assume a relationship between portfolio returns, portfolio risks, and returns from several market indices. The measurement of stock portfolio performance can be facilitated by using a bench mark, which is IHSG and LQ 45 shares. The purpose of this study is to determine the performance of stock mutual funds against the CSPI and LQ 45. Penunlis conducted research on 29 conventional equity funds, which fulfilled the selected criteria purposive sampling. From the calculation results, it can be seen that only a number of mutual fund products are able to outperform the IHSG and LQ 45, but no one is able to survive consistently having the best performance during the 2009 to 2013 observation period. This is caused by changes in average returns and beta generated by mutual fund products.