Developing an Integrated Model of Equity Mutual Funds Performance: Evidence from the Indonesian Mutual Funds Market

Abstract

This study aims to determine the factors that affect the performance of mutual funds, especially equity mutual funds. There are several factors that considered affect the performance of mutual funds such as: Asset Under Management (AUM), fund age, past performance, asset allocation, Turn of the Year effect, equity funds with blue chip or non-blue chip stocks, equity funds owned by insurance or non-insurance, external factors such as the rupiah against the US dollar (exchange rate), and investors behavior factor. In this study the researchers have collected data from January 2008 to December 2014. For the purpose of the study the researchers have selected 30 sample of equity mutual funds are still active from 2008-2014. The results are processed using Sharpe ratio to measure the magnitude of risk premium for each unit of risk taken. The result shows that all variables has significant influence on the performance of equity mutual funds. Partially, Asset Under Management (AUM), fund age, asset allocation, Turn of the Year Effect, exchange rate, and investor behavior have significant influence on the performance of equity mutual funds. While another variables such as past performance, Blue Chip and Non-Blue Chip Mutual Funds and insurance and non-insurance company don’t have significant influence on the performance of equity mutual funds in Indonesia. All of variables studied have great contribution on the performance of equity mutual funds. This finding can guide the investment managers in formulating an appropriate investment strategy for investors who want to put their funds into equity funds. This finding can guide the investment managers in formulating an appropriate strategy for investors who want to put their funds into equity funds. Through this study also the authors give a recommendation about the optimal portfolio strategy for the investors. The research result also shows that strategic asset allocation with rebalancing strategy is considered best done by an investor. This finding can be used by the investors as a reference to invest in equity mutual funds to improve the profit to develop their business. (Abstract)

Mutual Funds’ Performance Sensitivity to Funds’ Attributes. Case Study: Saudi Mutual Funds

“…A positive association of the fund performance to faith factor, unlike in Adams & Ahmed (2012), indicates that Islamic funds rely in part on Sharia compliant investments and strategies to improve their performances. Finally, historical returns appear to contribute to the Islamic funds' performance, same as in Talat and Ali (2009), Fulkerson et al (2013), Damayanti and Cintyawati (2015). This relationship with the lag return is shared with the conventional funds.…”

“…On the effect on fund return, Lückoff (2011), Yong and Ruzita (2012), Ferreira Et Al (2013), Abramov and Akshentseva (2015), and Farid and Wahba (2022) realized that old equity funds did not exhibit good performance. On the other hand, Mohammad (2013), Wisudanto Et Al (2014), Damayanti and Cintyawati (2015), Kiymaz (2015), Zia Et Al (2017), Babbar and Sehgal (2018), Inderjit (2018), and Kiymaz (2019) found a positive association with fund age and return. Meanwhile, Pollet and Wilson (2008), Soo-Wah (2012), Asad and Siddiqui (2019), and Surang (2022) failed to find any statistically significant association between funds' age and return.…”

“…(2013). Yet, there is still a strong believe that past winners will continue to outperform, as shown in Damayanti and Cintyawati (2015). It has been common for investors to look at past performance to make decisions.…”

“…Wisudanto Et Al (2014) and Abramov and Akshentseva (2015) looked into equity, bond and blend funds, and they both noticed that funds' performance is negatively related to past returns. Meanwhile, Talat and Ali (2009), Fulkerson Et Al (2013) and Damayanti and Cintyawati (2015) realized that good past performance helps generate higher returns. On the other hand, Ferreira Et Al (2013) showed that funds' returns are not statistically significantly dependent on their past performance.…”

Ukuran, Usia dan Kinerja Reksa Dana Saham di Indonesia

“…Reksa dana saham Syariah berusia tua cenderung lebih mampu memberikan gambaran kinerja dibanding reksa dana saham Syariah berusia muda (Damayanti & Cintyawati, 2015). Rekam jejak yang panjang menyebabkan kemampuan manajer investasi dalam mengelola aset -untuk meningkatkan tingkat pengembalian -menjadi lebih baik.…”