Stock Mutual Funds Research Articles

Pengaruh Tingkat Inflasi, Suku Bunga, Harga Emas, Nilai Tukar, dan Indeks Harga Saham Gabungan terhadap Kinerja Reksa Dana Saham Syariah Periode 2017-2021

This study aims to determine the influence of variable inflation, interest rates, gold prices, exchange rates, and composite stock price indices on the performance of Islamic stock mutual funds. The data used are 8 sharia stock mutual fund data registered with the Financial Services Authority (OJK) in the 2017-2021 period. Data analysis techniques are carried out by classical assumption testing, hypothesis testing using multiple linear regression analysis. The results showed that inflation, interest rates, gold prices, rupiah exchange rates against the US dollar (USD) and JCI simultaneously had a significant effect on the performance of Islamic stock mutual funds. Partial inflation with a regression value of 0.0403, interest rate with a regression value of 0.0361, gold price with a regression of 0.0428, and exchange rate with a regression of 0.0002 has a significant effect on mutual fund performance. As for the JCI with a regression value of 0.05218, there is no significant influence on the performance of Islamic stock mutual funds.

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 Kinerja Reksa Dana Saham Konvensional dengan Metode Jensen’s Alpha, Sortino dan Snail Trail Periode 2017-2021

This study aims to analyze the performance of conventional equity mutual funds using jensen's Alpha, Sortino, and Snail Trail methods for the period 2017 to 2021 and can provide information and consideration regarding equity mutual funds. The measurement methods used in analyzing the performance of conventional stock mutual funds are Jensen's Alpha, Sortino, and Snail Trail. The sample used was 32 conventional stock mutual funds with a period of 5 years 2017-2021. The benchmark for stock mutual funds used for comparison is JCI. The data collection technique uses the purposive sampling method. Data analysis techniques in this study used the Mann Whitney U-test. The results showed that the performance of conventional equity mutual funds using Jensen's Alpha and Sortino methods had significant differences. The performance of conventional equity mutual funds using Jensen's Alpha and Sortino methods has significant differences and has superior performance compared to market performance. The results of snail trail show that the performance of conventional equity mutual funds is in quadrants 2 and 3. Equity mutual funds located in quadrant 2 have a relatively high value of return and risk and each stock mutual fund located in quadrant 3 has a relatively low return with high risk. The more often the snail trail of stock mutual funds is located in 3rd quarter, it is likely that investors will switch to other types of mutual funds.

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.

Do performance measures matter for stock mutual funds? An international analysis

PurposeThe purpose of this study is to evaluate whether the classification of the equity mutual fund depends on the performance measure used.Design/methodology/approachThe sample for this study includes stock mutual funds for the USA, Europe and emerging market economies covering the period 2010 to 2020. Using more than 20 performance measures the results are compared using the Sharpe ratio as the reference.FindingsThe results show that performance measures based on absolute reward–risk ratios like Sortino, Treynor, etc. have similar rankings, because in general the numerator (mean excess return) is the same. However, when the authors employ other types of performance measures, results may be significantly different, especially in the case of metrics for “incremental returns”, i.e. alphas. Focussing on markets, their results show that choosing performance measures is more relevant for emerging markets.Research limitations/implicationsThe sample is only limited to the USA, Europe and the emerging market, and there are other performance metrics in the literature which have not been covered in this work.Practical implicationsThe ordering of equity mutual funds depends on the measure used, specially if investors employ factor models to measure excess returns (alphas). Hence, policy formulation on disclosure of mutual fund performance should encourage the use of several metrics from different families. Investors must be aware of the different rankings made and the most appropriate metrics based on their preferences.Originality/valueThis paper focusses specifically on the effect that performance metrics have on relative fund performance. Previous studies have ignored alpha metrics to rank funds, which are commonly employed by investors. The authors’ study performs an analysis for three different markets considering the two main developed ones (the American and European equity markets), as well as the emerging one, largely ignored until now.

A STUDY ON FINANCIAL PLANNING INFLUENCE THE INVESTMENT DECISION OF NON-TEACHING WOMEN STAFFS IN COLLEGES WITH SPECIAL REFERENCE OF COIMBATORE CITY

The main objective of the research is to determine the financial planning and investment decision of non-teaching staff in colleges done in Coimbatore city. Sample size of study is 90 and use cluster sampling technique is used for data collection. The major finding is most of the respondents are willing to take moderate risk investment, they expect 8-10% of returns from their investment, 25.56% of respondents are invest in physical gold. From the study all the respondents have known the ETF gold stock Mutual fund but them don’t have willing to invest in long term investments. Keywords: Financial planning, Investment decision, Investment pattern

Analisis Komparatif: Dampak Variabel Ekonomi Makro pada Kinerja Antara Reksa Dana Saham Syariah dan Konvensional di Otoritas Jasa Keuangan

This study aims to compare the performance of Islamic stock mutual funds and conventional stock mutual funds with different operating systems so that can be recommended for investors in choosing the type of mutual fund. This study also aims to determine the effect of macroeconomic factors on the performance of these equity funds. The sample used in this study were 5 investment manager companies that issued Islamic stock mutual fund products and conventional stock mutual funds in the 2010-2019 period and were selected through purposive sampling technique. This type of research is quantitative research. The data used is secondary data obtained from OJK published reports. The results of this study indicate that there is no significant difference between the performance of conventional equity mutual funds and Islamic stock mutual funds. In addition, three independent variables in the study, namely inflation rate, exchange rate, and interest rate have a significant effect on the performance of Islamic equity mutual funds. For conventional equity mutual funds, the results show that the inflation rate and interest rate variables have a significant effect, while the exchange rate variable has a negative but not statistically significant effect on the performance of conventional equity mutual funds.

The Treynor-Mazuy Conditional Model: Overview of Market Timing and Stock Selection on Equity Mutual Funds Performance

This study explores market timing and stock selection by investment managers during the Covid-19 in Indonesia. By applying several sample criteria to the population of mutual funds registered at OJK, we found 55 stock mutual funds using the purposive sampling. We processed data using the STATA16 computer program. The Treynor-Mazuy conditional inflation and exchange rate model, according to the findings of this study, can show that market timing and stock selection for mutual fund managers have a positive and significant impact on improving the performance of equity fund portfolios during the pandemic in Indonesia. In Indonesia, there are 5 equities mutual funds having positive or market timing skills, accounting for 9.09 percent of all equity mutual funds, whereas the remaining 90.91 percent do not. The positive coefficient of the gamma variable shows that the investment manager’s ability to market time is expected to result in higher stock mutual fund returns. Positive or stock selectivity characteristics are available in 45 equity mutual funds, or 81.18 percent. The contribution of this study focuses on exchange rate and inflation. However, there needs to be a relevant followup comparison before the pandemic occurs. In addition, it is necessary to consider other elements in the macro-economy.

Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds

Actively managed stock mutual funds in the Chinese A-share market offer good investment opportunities. In aggregate, they outperform stock market indexes. Individual funds show a wide cross-sectional dispersion in performance, with the best funds offering economically large risk-adjusted returns that persist over time. Performance persistence observed at the individual fund level is robust to various factor-model specifications. A portfolio of the top-performing funds offers an improved investment opportunity compared with a portfolio of all funds. Hedging out market risk in this portfolio increases the Sharpe ratio, lowers volatility, and reduces tail risk. These results suggest that, in the young and still-developing Chinese A-share market, mutual funds can add value for investors.

Optimal information production of mutual funds: Evidence from China

This study demonstrates that Chinese stock mutual funds exhibit persistent preference for growth stocks over value stocks. Despite the positive premium of value stocks over growth stocks, funds in aggregate manage to beat the market. Moreover, growth-oriented funds do not underperform their value-oriented peers. To solve these puzzles, we provide evidence for funds’ superior skill in picking growth stocks over value stocks, and conclude that such skill helps explain their growth tilt. Furthermore, we show that mutual funds trade against the retail investors, more so in growth stocks than in value stocks. Coupled with our finding that retail investors make more mistakes trading growth stocks than trading value stocks, we conclude that mutual funds optimize their information production to focus more on growth stocks so as to maximize returns.

The Effect Of Fund Cash Flow, Fund Size, Expense Ratio And Turnover Ratio On Mutual Fund Performance

The purpose of this study was to analyze the effect of fund cash flow, fund size, expense ratio and turnover ratio on mutual fund performance. The sample used is thirty stock mutual fund companies. The data used in this study were obtained from the 2015-2017 annual financial statements of equity funds. The sample selection method used in this study was purposive sampling method, the analytical technique used in this study was panel data regression and processed using the Eviews version 9. After several tests were carried out, namely the Chow, Hausman and Lagrange multiplier tests, the best regression model was obtained, namely the random effect model. The results showed that only fund cash flow had a significant positive effect on mutual fund performance, while The other three variables, namely fund size, expense ratio and turnover ratio, showed contradictory results, namely that they had no effect on mutual fund performance.

PENGARUH INFLASI, NILAI TUKAR RUPIAH, JUMLAH UANG BEREDAR (JUB), DAN JAKARTA ISLAMIC INDEX (JII) TERHADAP NILAI AKTIVA BERSIH REKSADANA SYARIAH SAHAM

This study aims to determine the effect of Inflation, Rupiah Exchange Rate, Total Money Supply, and Jakarta Islamic Index on Net Asset Value (NAV) of Islamic Stock Mutual Funds. The population in this study is the Net Asset Value of Islamic Stock Mutual Funds available at PT Bareksa Portal Investasi and registered with the OJK in 2015-2020. The method in this study uses purposive sampling, in order to obtain a sample of 13 Islamic Stock Mutual Funds. The data used in this study is secondary data collected with quarterly report data collection techniques available on the official website from 2015-2020. This study uses quantitative methods. Data analysis was performed using multiple linear regression analysis and classical assumption test. The results of the study show that (1) there is no effect of Inflation on the Net Asset Value (NAV) of Islamic Stock Mutual Funds in 2015-2020, (2) there is an effect of Rupiah Exchange Rate on the Net Asset Value (NAV) of Islamic Stock Mutual Funds in 2015-2020, (3) there is an effect of Total Money Supply on the Net Asset Value (NAV) of Islamic Stock Mutual Funds in 2015-2020, (4) there is an effect of Jakarta Islamic Index on the Net Asset Value (NAV) of Islamic Stock Mutual Funds in 2015-2020 and there is a simultaneous effect of Inflation, Rupiah Exchange Rate, Total Money Supply, and Jakarta Islamic Index on Net Asset Value (NAV) of Islamic Stock Mutual Funds in 2015-2020.

Peningkatan Millenial Anti Bokek melalui capital market investment for beginners pada Siswa MAN 2 Magetan

The low-middle economic family background makes the welfare of MAN 2 Magetan students far from qualified. The condition of students who are still in school and do not have the skills to make students unable to become freelancers. This community service activity aims to provide alternative solutions to student problems by providing knowledge and assistance regarding capital market investment so that students can get additional pocket money. The essence of this community service activity is the contribution in overcoming the mission, which is the implementation of the first SDG points. The implementation of this activity uses the blended meeting method, namely webinars (online) and training and direct assistance (offline). The results of this community service activity indicate an increase in knowledge and awareness of the urgency of capital market investment, as evidenced by the pre-test and post-test results on 24 participants. The evaluation results of the average value before the activity was 32.08, and after the activity became 62.08. Another result is skills regarding mutual fund stock trading.

Design and Evaluation of Robo-Advisors Using Index Fund and Alternative Assets of Cryptocurrency and Gold: Case of Indonesian Capital Market

Robo-advisor is one of the most prominent innovation in the wealth management industry, and its success in Indonesia has been evident in the case of Bibit. Therefore, wealth management companies need to employ Robo-Advisor to overcome their competition. This research aims to give recommendation on asset allocation method and asset class selection for Robo-Advisors in Indonesia using Sharpe Ratio Analysis. Then, the author will analyze the robo-advisor’s performance during equity market downturn. Finally, The Robo-Advisor’s actual performance will be tested in 2018, 2019, and 2020. The Sharpe ratio analysis result showed that Robo-Advisors seeking higher risk-adjusted return should choose mean-variance optimization over risk parity for asset allocation method, and the inclusion of gold and bitcoin in a portfolio of stock mutual fund and bond mutual fund increases the risk-adjusted return of the portfolio. The proposed robo-advisor’s portfolio protected investors from equity market downturn in 2011-2010 in 83,3% of the case. Finally, the proposed robo-advisor’s portfolio generated better return for the conservative, moderate and aggressive investor during 2018, 2019, and 2020 when compared to LQ45.

PERFORMANCE ANALYSIS OF MONEY MARKET MUTUAL FUNDS, FIXED INCOME MUTUAL FUNDS, MIXED MUTUAL FUNDS, AND STOCK MUTUAL FUNDS IN INDONESIA DURING THE 2015-2020 PERIOD

Mutual funds as one of the investment instruments in Indonesia continue to grow and try to provide product choices with the maximum possible return. Investors need good mutual fund knowledge in order to be able to take the right steps according to the type of each investor in investing. This research aims to analyze the performance of money market mutual funds, fixed income mutual funds, mixed mutual funds, and stock mutual funds in Indonesia in the period 2015-2020. This performance measurement is done using Sharpe's Measure, Treynor's Measure, Jensen's Measure, and Appraisal Ratio. The results showed that it is not easy to maintain the best fixed mutual fund performance. While the worst performance for each year has similarities in certain mutual fund products.
 Keywords: Performance, Money Market Mutual Funds, Fixed Income Mutual Funds, Mixed Mutual Funds, Stock Mutual Funds, Sharpe, Treynor, Jensen, Appraisal Ratio.

Analisis Komparatif: Pengaruh Makroekonomi pada Kinerja Reksa Dana Saham Syariah dan Konvensional

This study aims to compare the performance of Islamic stock mutual funds and conventional stock mutual funds with different operating systems so that can be recommended for investors in choosing the type of mutual fund. This study also aims to determine the effect of macroeconomic factors on the performance of these equity funds. The sample used in this study were 5 investment manager companies that issued Islamic stock mutual fund products and conventional stock mutual funds in the 2010-2019 period and were selected through purposive sampling technique. This type of research is quantitative research. The data used is secondary data obtained from OJK published reports. The results of this study indicate that there is no significant difference between the performance of conventional equity mutual funds and Islamic stock mutual funds. In addition, three independent variables in the study, namely inflation rate, exchange rate, and interest rate have a significant effect on the performance of Islamic equity mutual funds. For conventional equity mutual funds, the results show that the inflation rate and interest rate variables have a significant effect, while the exchange rate variable has a negative but not statistically significant effect on the performance of conventional equity mutual funds.

Report on the Peter and Doris Koch Endowment Funds through 2021

In accordance with Peter Koch’s letter of Intent a joint FPS and SWST Committee was formed to oversee the management of the Peter and Doris Koch Endowment Funds in 2017. Peter Koch indicated that the purpose of the Oversight Committee is “to audit the previous year’s actions regarding the three endowment funds” and “rule annually on whether the terms of the letter of intent are being met.” On December 31, 2021, the value of the Koch Endowment was $1,396,706. On December 31, 2020 the value of the Koch Endowment was $1,208,747. The value on December 31, 2019 was $983,043. The rate of return for 2021 was an estimated 15.5%. The current value for the three Koch funds as of May 31, 2022 is $1,311,115. The joint oversight committee met on July 26, 2022 and agreed unanimously that the terms of the agreement are being met.Peter and Doris Koch provided 3 endowment funds which are being managed by the Forest Products Society using directions in Peter Koch’s letters dated April 23, 1996 (attached); July 21, 1997; August 31, 1997 and in the Will of Doris Koch dated November 7, 2017. Peter Koch directed that a joint FPS/ SWST oversight committee review the management of the investments annually after the passing of Doris Koch. Doris Koch passed away in 2017.As called for in Peter’s April 23, 1996 letter of intent (LOI) this report provides – 1) the full letter dated April 23, 1996, and for the three Koch funds, 2) a statement of 2020 transactions, and 3) a statement of the current and past years’ net asset values.The three Peter and Doris H. Koch Endowment funds areThe total value of the Koch Endowment on December 31, 2021 was $1,396,706 and on December 31, 2020 was $1,208,747. The estimated was return 15.5% for 2021.The 2021 return for the Basic, the Intermediate fund and the Centennial funds were 9.5%, 24%, and 15.8%, respectively.We compare fund returns to returns for two benchmark investments. For the Intermediate and Centennial funds that are entirely in stocks, we compare return to the Vanguard Total Stock Market Index. For 2019, the return for these two funds were less than the Index, 28.1% and 7.6% versus 30.8%. For 2020, the return for these two funds were less than the Index, 13.6% and -3.9% versus 21.0%. For 2021, the return for these two funds was less than the Index, 24% and 15.8% versus 25.6%For the Koch Basic fund which is a mix of stocks and bonds, we compared return to a portfolio of 3 Vanguard funds used to meet the IMC Charter guidelines for a conservative, income producing investment.Transactions are for January to December for the Vanguard accounts.This table below represents the gain YTDAccounts are directly managed by Raymond James (a.k.a, Erik Lawser).The Vanguard 500 Index is always held, and an analysis is done to identify 3 other mutual funds invested in small, medium and large capitalization companies, respectively. Peter Koch indicates that an analysis should be done every other year (we use the beginning of even numbered years) to determine the best stock mutual funds in the small, medium and large capitalization categories for the next two years (beginning in January of even numbered years) using data from Morningstar.com. Peter indicated screening factors in his letters dated April 23, 1996; July 21, 1997 and August 31, 1997.Vanguard 500 Index Fund; Jensen Quality Growth Fund; Touchstone Mid Cap Fund; Fidelity Advisor Small Cap Fund make up this fund in 2022 where we sold Parnassus Mid Cap Fund; Vanguard Dividend Growth Fund; and Vanguard Tax Managed Small Cap Fund as part of the rebalancing.The Centennial fund is to be invested at the beginning of each year in 4 of the 5 Small Dogs of the Dow - with the stock having the lowest per share price being excluded.The 4 Small Dogs of the Dow on December 31, 2021 were Walgreens, Dow, Verizon, Coca-Cola. Changes for 2022 (from 2021) included dropping Cisco and adding Walgreens.In accordance with Peter Koch’s direction in his letter dated April 23, 1996, p. 8, shown below, a notice will be placed in the Forest Products Journal after the July 2022 meeting of the Joint FPS/SWST Oversight Committee.1) Peter Koch’s letter of intent dated April 23, 1996

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.

Retail Investors Preferences in the Millennial Generation in Choosing the Index to Invest in the Indonesian Stock Market Approach to the Study of Phenomenology

Investment is an activity that it must do as early as possible to fulfill its financial future. The purpose of this study is to find out the reasons why millennial retail investors decide to invest in the Indonesian stock market, find out the index preferences that millennial investors are interested in, find out the behavior of millennial retail investors who are successful and fail in making investment decisions and can be used as recommendations for a securities company if you want to make a stock mutual fund product for the millennial generation. The research method is carried out qualitatively with a phenomenological approach through semi-structured interview instruments with a millennial generation population and a sample of 10 retail investors. The study results show that millennial retail investors are interested in investing in the Indonesian stock market due to profit in the future. The index preference for millennial retail investors is the sector financial in the majority. Retail investors' are millennial generation success tends to multiply the workings of the stock market itself. In contrast, retail investors millennial generation, who fail, tends to follow the call of others without understanding the workings of the stock market itself. Suppose a securities company wants to make a stock mutual fund product among the millennial generation. In that case, the index recommendation is IDX-IC in the financials, consumer non-cyclical, properties, real estate, energy, and infrastructure sectors.