Stock Selection Skills Research Articles

Political investing of mutual funds

We study whether and how political investing influences the performance of mutual funds. We provide robust evidence of the positive relation between mutual funds' political connection intensity exposure and future performance. The gross return gap between the top and bottom quintiles of mutual funds ranked by exposure to political connection intensity reaches 4.38% on an annualized basis. The performance gap is larger and more significant for mutual funds with high characteristic-selectivity skills. Our findings show that political connection intensity exposure is more closely related to stock selection skill than to political investing risk premium, political investing timing ability or corruption.

Determinants of Net Asset Value of Sharia Equity Mutual Funds in Indonesia

This research aims to analyze the influence of the BI 7 days repo rate, inflation, exchange rate, JKSE, mutual fund size, stock selection skill and market timing ability on the net asset value of sharia equity mutual funds in Indonesia. The research was divided into 3 period results, namely overall (2017-2022), before the Covid-19 pandemic (2017-2019), and during the Covid-19 pandemic (2020-2022). Data processing uses Eviews 12. The method used is the Random Effect Model (REM) with the analysis model using Generalized Least Square (GLS). The results of this research state that over all the BI 7 days repo rate has a significant positive effect, however in the period before the pandemic the effect was significantly negative, whereas during the pandemic there was no effect. Inflation in whole period and when a pandemic has no effect, but in the period before the pandemic it has a significant positive effect. The exchange rate in whole period has a significantly negative effect, but in the period before the pandemic it has a significantly positive effect, whereas during the pandemic it has no effect. The JKSE in whole period has no effect, but in the period before and during the pandemic it had a significant positive influence. Mutual fund size in whole period and during the pandemic has a significant positive effect, but in the period before the pandemic it has no effect, stock selection skill in whole period, in the period before and during the pandemic has a significant positive effect. market timing ability in whole period, in the period before and during the pandemic had a significant positive effect. Differences in results in a period are due to changes in economic conditions in Indonesia.

Determinant Performance of Islamic Equity Funds in Indonesia

One of the issues that have an impact on the growth of Islamic Equity Funds is financial risk tolerance. While it is a fundamental issue that is directly related to Islamic Equity Fund’s manager performance. If investment managers perform better to cultivate Islamic Equity Funds, then the intention in investing within Islamic Equity Funds will be increased. This research aims to determine and provide information about Islamic Equity Funds' performance in Indonesia. It used quantitative statistical analysis to investigate the influence of stock selection skills, market timing ability, fund size, fund age, expense ratio, and portfolio turnover towards the Islamic Equity Funds performance. This study used annual data over the periods 2015-2020 which was obtained from the prospectus of each Islamic Equity Fund, Central Bank Indonesia (BI), and Statistics Indonesia (BPS). The result indicates that stock selection skill and expense ratio have a positive significant impact on the performance of Islamic Equity Funds, while market timing ability, fund age, and fund size have not a significant impact but the result revealed positive values. Otherwise, the portfolio turnover has a negative significant impact on Islamic Equity Funds' performance. Hence, it can be inferred that the higher investment managers ability to select its portfolio stock, the better return will be obtained and it can be inferred that the expense ratio of an equity fund reflects how much it pays for portfolio management, administration, marketing, and distribution, among other things. Originality/Value: This paper focuses on the issue that occur in Islamic equity funds which are very essential as an investment portfolio, and only a few papers have conducted research in this area. Therefore, knowing the key factors that influence the performance of Islamic equity funds can optimize their function and attract investors.

Stock Selection and Market Timing Ability of Nepalese Mutual Funds

This study evaluates the performance of Nepalese mutual fund managers’ stock selection and market timing abilities. This study performed the investigation on the weekly data of 5 mutual funds from December 28, 2017 to March 2, 2023 spanning 270 weeks. To serve our objective, the stock selection skills of the fund managers were assessed using average return, Sharpe ratio, Treynor ratio, Information ratio and Jensen’s alpha. The study found strong evidence supporting risk management ability in all of the mutual fund schemes as demonstrated by beta coefficient below unity and significant stock selection ability in 2 out of the 5 mutual fund schemes. Furthermore, the positive values of alpha although not statistically significant indicates stock selection ability of the fund managers. On the other hand, Treynor and Mazuy’s Unconditional Market timing model was employed to test the market timing skill of fund managers. The test results did not indicate any significant positive market timing skills but one of the mutual fund schemes exhibited statistically significant negative market timing. Thus, the Nepalese fund managers aptly demonstrated stock selection ability but they did not demonstrate any positive market timing skills indicating that fund managers typically relied on stock selection to outperform the Benchmark Index rather than market timing skills. Int. J. Soc. Sc. Manage. Vol. 10, Issue-3: 47-54.

Information Ratio = Selection × Breadth + Sizing

Factor-based performance attribution is an established practice among quantitative and fundamental strategies alike. Although popular, this attribution technique is not of great help to investors interested in understanding the source of their idiosyncratic performance. Of special interest is the ability to separate stock selection skill and sizing skill. Methods aimed at measuring these skills are inspired by analogies to sports. In this article, the author presents an exact decomposition of the information ratio. The IR is the sum of a breadth-adjusted stock selection skill and a sizing skill. The definition of breadth relies on an intuitive measure of concentration—the Herfindahl Index—rather than on the “square root of <italic>n</italic>” measure. These quantities can be compared so that the portfolio manager can determine the percentage of their realized performance originating from each term. In addition, the decomposition empowers the manager to improve their risk-adjusted performance by choosing optimal position sizing, determined by the observed performance of their portfolio. Finally, the decomposition can be further extended to long–short analysis, and provides a natural explanation of an empirical phenomenon: The idiosyncratic performance of the long side of a strategy is often larger than that of the short side.

PENGARUH STOCK SELECTION SKILL, MARKET TIMING ABILITY, FUND AGE, EXPENSE RATIO, DAN FUND SIZE TERHADAP KINERJA REKSADANA 2016-2021

Mutual fund is a financial product frequently selected by small investors and those who have no sufficient time and skill to calculate risks and profits from their investment. Here investors entrust their money to people in charge of managing the fund in forms of portfolios. The objective of this research is to assess 16 mutual funds, selected through purposive sampling, from 2016 to 2021. The hypotheses were examined using F test and t test. The classical assumption test consists of normality, multicollinearity, and heteroscedasticity tests, performed in EViews. This study finds that stock selection skill and fund age negatively and significantly affect portfolio performance, that market timing ability positively and significantly influences portfolio performance, and that expense ratio and fund size negatively and insignificantly affect portfolio performance.

REIT Unit Investment Trusts and Fund Manager Skill

This article examines fund manager skill using a sample of real estate investment trust unit investment trusts (REIT UITs). Since REIT UITs are limited to a single industry and since the fund managers do not trade, REIT UITs present an ideal sample to study fund manager stock-selection skill. Using a hand-collected sample of REIT UITs from May 2009 to July 2015, this article finds that REIT UITs do not deliver a statistically significant positive alpha. This is the first article to investigate fund manager stock-selection skill in REIT UITs and contributes to the literature evaluating the effectiveness of active fund management.

Performance evaluation of Indian equity mutual funds: a bootstrap analysis

The majority of Indian studies on mutual funds have documented superior performance of equity funds vis-à-vis the market benchmark. The question is whether this superior performance, demonstrated by fund managers, is the result of genuine stock selection abilities or merely the outcome of luck. We apply a bootstrap statistical technique as suggested by Kosowski et al. (2006) to evaluate the performance of the Indian open-end, domestic growth-oriented equity mutual fund schemes over the 2000 to 2019 period. The bootstrap analysis helps to segregate genuine stock-selection skills from luck. Our findings signify that superior performance demonstrated by the top mutual funds cannot be attributed to the sampling variation (luck) and these fund managers do possess genuine stock-picking skills.

Kinerja Investasi Exchange Trade Fund di Indonesia

The aim of this research is to obtain empirical evidence about the effect of stock selection skills, market timing ability, fund size and fund age on the performance of exchange trade funds. The population in this study are all exchange trade fund investment products listed on the Indonesia Stock Exchange from 2017 to 2019. The sampling technique uses purposive sampling. To test the hypothesis, multiple linear regression analysis was used. This study proves that stock selection skills have a positive effect on the performance of exchange trade funds in Indonesia. Meanwhile, market timing ability, fund size and fund age do not have a positive effect on the performance of exchange trade funds in Indonesia. The reason is that only one investment manager PT. Indo Premier Investment Management which is always active in trading exchange trade funds in Indonesia. This research has implications for the more active investment managers in offering exchange trade fund products to attract investors because they are able to survive in times of crisis.&#x0D; Keywords: Exchange Trade Funds; Investation.

Time-Varying Fund Manager Skill in Korea

Purpose: This study utilizes the KNV measure to evaluate performance of national pension funds of Korea. Design/methodology/approach: First, this study investigates whether fund managers pick stocks in expansions and time the market in recessions. Second, we examine skilled funds that have both high picking skill in booms and high timing skill in recessions. Third, we examine whether skilled managers have timing ability as well as picking ability. Finally, persistence of skill indexes is investigated. Findings: First, market timing skill is more relevant in recessions whereas stock selection skill is more relevant in expansions. Second, the performance differences between superior and inferior funds are persistent over one-year. Finally, there is no evidence that the same fund managers who display superior stock picking skill in expansions show superior market timing skill in recessions. Research limitations/implications: Since no institutions or organizations provide real-time indicators of the business cycle, switching strategy between timing and picking is not available. Originality/value: This is the first research to analyze the national pension fund using KNV methodology in the Korean market.

MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS

Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers.&#x0D; &#x0D; Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017.&#x0D; &#x0D; Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy.&#x0D; &#x0D; Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies.&#x0D; &#x0D; Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection.&#x0D; &#x0D; Cite as: Ling, P-S., &amp; Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds. Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

DETERMINAN KINERJA REKSADANA SAHAM SYARIAH

There are a lot of factors that determine the sharia equity mutual funds performance, included stock selection skill, market timing ability, and fund age. This study aims to understand the effect of stock selection skill, market timing ability, and fund age on the sharia equity mutual funds performance in Indonesia from 2012 to 2018. This research uses a quantitative approach using an explanatory research type. The sampling technique in this study was purposive sampling and 6 sharia equity mutual funds were selected as samples. This study uses multiple linear regression analysis. The result of the study displayed that stock selection skill and market timing ability have a significant effect on the performance of sharia equity mutual funds in Indonesia from 2012 to 2018. On the contrary, fund age have no effect on the performance of sharia equity mutual funds in Indonesia from 2012 to 2018. Keywords: stock selection skill, market timing ability, fund age, sharia equity mutual funds perfomance

The Effect of Market Timing Ability, Stock Selection Skill and Risk Levels on Sharia Stock Mutual Funds Performance with The Inflation Level as A Variable of Conditional and Unconditional Models in Period 2015-2017

The research aims to examine The Influence of market timing, stock selection skill and level risk to performance of equity funds with inflation as intervening variable. Object of thisresearch are secondary data is data that NAB is a sample of 2015-2017 in the form of daily data which are sixty data of equity funds. That data are analyzed by multiple regression method and SPSS program version 21. The variables were examined are influence of market timing,stock selection skill and level risk to performance of equity funds with inflation as intervening variable. The results of this research showed that market timing ability, stock selection skill and level riskhave effect to inflationwith significance, market timing, stock selection skill and level risk also have effect to performance of equity funds with significance, but with inflation as intervening variable only market timinghas an effect to performance of equity funds neither for stock selection skill to performance of equity funds. The results of this research also showed that the significance is under 0,05, which means the effect is well-strong. Each independent variables, gives the strong influence to dependent variable, it means independents variables could explain dependent variable well. While the remaining influenced by other variables not included in the regression models were not included in this study as fund size and level return.

Do Equity Mutual Fund Managers Possess efficient Stock Selection Skills?

With a primary and single intent, Investors wants to take a position his hard earning money in such investment product which generate higher returns to him . Bunch of Investment options are there for Today’s Investors in this financial world, starting from Equity Stock investments to Gold, from property to Fixed Deposit and From Mutual Funds to Investments in Commodities. Supported risk craving &amp; return desire, Investors can select from these investment avenues. Lagging in knowledge, experience &amp; resources for directly accessing the capital market, also investors generally don’t have adequate time, they need to depend upon a mediator, which undertakes informed investment decisions &amp; provides substantial benefits of professional proficiency. Therefore investment firm has been came with this plus point for such kind of investors through which they’ll have also access to capital market indirectly. A mutual fund is that the best suited investment for the ordinary saver because it proposes a chance to take a position in a diversified, professionally managed hamper of securities at a moderately squat price.Usually, the main focus in evaluating the performance of a mutual fund has been on fund manager’s skill available in stock selection. This paper is a pragmatic measurement of the performance of mutual fund managers in terms of “Stock selectivity”, within the structure suggested by Eugene Fama (1972). The study examines the performance of 34 Equity Linked Saving Schemes. The reference period for the study is January 2015 to December 2019. Stock selection is that the nub within the investment administration &amp; management process. It involves identifying and selecting undervalued securities which among other things requires the successful forecasting of the corporate specific events or a capability to predict the final behavior of security prices within the future. If the fund manager is in a position to spot and choose the undervalued securities for the portfolio, then it’ll be possible for the fund manager to extend the returns of the schemes and vice versa. In practice fund managers are expected to produce advanced returns for unit holders Constantly as being professionals therefore possess superior skills to gather and analyze the information with the aim to pick the correct style of securities for the portfolio. In this research document stock selectivity skills of fund managers of Equity Linked Savings Scheme were dissected by using Jensen’s Alpha and Fama’s net selectivity measure. The upshot of the study reveal that bulk of the schemes has shown assenting alpha and most of the fund managers possess finer selectivity skills.

Factors influencing equity fund performance: evidence from Indonesia

This study aims to discover the factors that affect equity fund performance in companies listed on the Indonesia Stock Exchange (IDX) during 2015–2018. This research is quantitative. Past performance, stock selection skills, market timing abilities, fund size, fund age are independent variables, while fund performance is the dependent variable. The population in this study was 73 equity funds. A total of 21 equity funds were selected as the sample by the purposive sampling method. The analytical method used is panel data regression analysis using the EViews program. Hypotheses were tested using a t-test with a significance level of alpha 0.05. The results show that equity fund past performance, stock selection skill, market timing ability, fund size, fund age and IDX composite index simultaneously have a significant effect on equity fund performance. Stock selection skill and IDX composite index partially have a positive and significant effect on equity fund performance. However, past performance, market timing ability, fund size and fund age have no positive and significant effect on equity fund performance. AcknowledgmentAll authors would like to thank Universitas Putra Indonesia YPTK Padang and Yayasan Perguruan Tinggi Komputer for financial support. Any remaining errors are our own.

PERFORMANCE OF SHARIAH VERSUS CONVENTIONAL FUNDS: LESSONS FROM EMERGING MARKETS

This study compares the performance of Shariah and conventional mutual funds in emerging markets. The performance of 833 Shariah and conventional funds in 6 emerging markets from 2000 to 2015 was analyzed. We analyzed the Sharpe index, Treynor index, and Jensen’s alpha to compare the performance of Shariah and conventional funds. Jensen's alpha results conform to those of Sharpe’s in indicating that Shariah funds slightly outperform their conventional counterparts particularly in the case of Malaysia, Pakistan, and South Africa. Conventional funds perform exceptionally well in Egypt. Further investigation using the Henriksson–Merton model shows that fund managers’ performance relies nearly completely on their stock selection skills because they have either inferior or ineffective ability in timing the market. This study is the first cross-country attempt to compare the performance of Shariah and conventional funds in emerging markets in terms of risk-adjusted returns, security selectivity, and market timing capability. &#x0D; &#x0D; Keywords: Emerging markets, Jensen’s alpha, mutual funds, risk-adjusted performances, Shariah mutual funds&#x0D; &#x0D; Cite as: Abdul-Rahim, R. Abdul-Rahman, A., &amp; Ling, P-S. (2019). Performance of Shariah versus conventional funds: Lessons from emerging markets. Journal of Nusantara Studies, 4(2), 193-218. http://dx.doi.org/10.24200/jonus.vol4iss2pp193-218

Performance of Mutual Funds in Indian Context Evaluation Market Timing ability and Stock Selection Skills of the Fund Manager

Performance of Mutual Funds in Indian Context Evaluation Market Timing ability and Stock Selection Skills of the Fund Manager

Factors Affecting the Performance of Sharia Equity Funds in Indonesia

By the end of 2018, the net asset value in total and the number of Sharia mutual funds in Indonesia is dominated by the Sharia equity fund. Therefore, this study sought to address the factors of internal and external factors affecting the Sharia equity funds’ performance in Indonesia in the period 2010-2018. The fund performance is measured with the Sharpe ratio. The determinants of fund performance are investment manager’s Stock selection skill, Market timing ability, and Percentage change in asset under management as internal factors. In addition, the selected external factors are Inflation rate and Percentage change in exchange rate. This study adopted panel data analysis using secondary data of 8 selected samples of Sharia equity funds. The results revealed that investment manager’s Stock selection skill, Percentage change in asset under management, and Inflation rate positively and significantly affect performance of Sharia equity funds. On the other hand, investment manager’s Market timing ability insignificantly affects Sharia equity fund performance. While, Percentage change in exchange rate negatively and significantly affects Sharia Equity Funds Performance.

An evaluation of Chinese securities investment fund performance

This study evaluates the performance of open-end securities investment funds investing in Chinese domestic equity during the period May 2002 to May 2014. A dataset of 419 funds is examined. High frequency weekly data are employed. This study implements a wide range of risk-adjusted performance measures which are divided into three broad classes, (i) unconditional models (Jensen, 1968, Fama and French, 1993 and Carhart, 1997), (ii) conditional-beta models, in which factor loadings are allowed to vary conditional upon publicly available information (Ferson and Schadt (1996) and (iii) conditional alpha-beta models where alphas are also time-varying conditional on economic information (Christopherson et al., 1998). Estimation diagnostics are then applied to select one ‘best-fit’ model within each of the three classes. Findings from all performance measures suggest no evidence of either statistically significant stock selection skills or market timing ability on average. Based on the statistical significance of the individual parameters and the Schwartz Information Criterion (SIC), a single ‘best-fit’ model from each of the classes is selected. In the case of the Chinese fund industry, this study is the first paper to evaluate fund performance using higher frequency weekly data, is the first to estimate conditional versions of performance attribution models and is the first to examine the time-varying parameters augmentations of the Treynor and Mazuy (1966) and Merton and Henriksson (1981) models.

PENGARUH STOCK SELESCTION SKIIL, MARKET TIMING ABILITY, TURNOVER RATIO DAN CASH FLOW TERHADAP KINERJA REKSA DANA SYARIAH

Mutual funds syariah are other investment opportunities with measurable risk and return is high enough with enough capital affordable to the community. Mutual funds syariah have an Investment Manager with the ability and knowledge of the market it is or will happen. Therefore, mutual funds syariah selected by investors because it is cheap, easy and "managed by the experts".&#x0D; This research analysted do stock selection skill, market timing ability, Turnover ratio and Cashflow can influence the performance of equity mutual funds syariah in Indonesia. The data used in this research are data on financial statements , Net Asset Value (NAV), SBI, IHSG, yearly data and prospectus of 10 equity mutual fund syariah that were sampled during this research report from 2011-2014.&#x0D; As a research methodology, we used F test and t test to examine research’s hypothesis, also used assumption classic test there are normality test, autocorrelation test, heteroscedasticity test and multicolinearity test. These results can be viewed on multiple regression analysis and the coefficient of determination, the R value of 0.513 means the relation between the stock selection skill, market timing ability, Turnover ratio and Cashflow to profitability by 51.3%, meaning that the relationship between variables was most closely. Adjusted R Square value of 0.545 which means 54,5% achievement of profitability can be explained by the stock selection skill, market timing ability, Turnover ratio and Cashflow. The remaining 45,5% can be explained by other factors not examined in this research..