Performance Evaluation of Mutual Funds in Indonesia

Murhadi, Werner Ria

doi:10.2139/ssrn.1683777

Cited by 4 publications

(5 citation statements)

References 25 publications

(24 reference statements)

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“…The study prove that substantial time capability and stock selection is found in only a small number of stock fund (Chang and Lewellen (1984), Treynor andMazuy (1966), andBecker et al (1999). These findings are in line with some research in Indonesian market and other developing markets such as India and etc, for example, Murhadi (2010), Low (2007), Dewi and Ferdian (2012), but there are numerous research that express diverse outcomes: Bullen and Busse ( 2001), Lee and Rahman (1990), and Comer 2006 found several selction skill and timing ability in their research. In addition, Fletcher et al (1995), Dellva et al (2001) established a negative result of market time and positive stock selection.…”

Section: Analysis and Conclusionsupporting

confidence: 87%

Individual and Overall Analysis on Indonesian Stock Funds Market Timing and Selectivity

Irmalis

Muzakir

2018

JBKAN

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This study investigates Timing and Selection ability of managers in Indonesia Funds Industry.The one month stock funds net asset value, Indonesian Treasury-Bill (3-Months) and Market rerturn of Indonesia Stock Exchange covering from 2010-2014 is used on this research. We apply Treynor-Mazuy Equation to test the hypothesis. This investigation exhibit the timing the capital market ability as well as selectivity possess by managers both individuall as well as overall point of view. The reult shows that, individual analysis on the funds proves that the almost all of the managers only have slight of ability. Only three of the assets exhibit affirmative and statistically substantial alpha and none of them display confident timing skill. Breakdown of overall funds endorses that managers show a weak selectivity and timing expertise. Keywords: Treynor-Mazuy, |Stock Funds, Timing and Selectivity Skill

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Section: Analysis and Conclusionsupporting

confidence: 87%

Individual and Overall Analysis on Indonesian Stock Funds Market Timing and Selectivity

Irmalis

Muzakir

2018

JBKAN

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“…Moreover, poor persistence in performance found in South African unit trust industry might be a result of slowing economic growth in major emerging markets including China, Mexico, Russia, Indonesia and Brazil amid broader concerns about the health of the global economy. Unlike in South Africa, Murhadi (2010) and Dhar and Mandal (2014) find that unit trust managers in similar emerging markets such as Mexico, India and Indonesia performed relatively well during the same period compared to South Africa, thanks to strong demand from USA, and to accommodative regulations aimed at attracting foreign investors.…”

Section: Discussionmentioning

confidence: 88%

“…Lai and Lau (2010) also assess the performance of 311 mutual funds, including 73 Islamic funds in Malaysia, for the period 1990-2005 and find a superior performance against the benchmark index. However, Murhadi (2010) examines the stock selection and market timing ability in Indonesia and find a weak evidence of managerial ability.…”

Section: Literature Reviewmentioning

confidence: 99%

Performance evaluation of equity unit trusts in South Africa

Thobejane

Simo-Kengne

Mwamba

2017

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Purpose The purpose of this paper is to evaluate the performance of 191 equity unit trusts in an emerging market, South Africa over the period from February 2006 to January 2016, which captures different market conditions (pre-global financial crisis, crisis and recovery periods). Besides testing for managerial ability, both cross-sectional regression and the non-parametric rank correlation test are used to test whether the performance generated by unit trusts does persist. Design/methodology/approach To evaluate the managerial ability of portfolio managers, two widely used methods, the Treynor-Mazuy (1966) model and Henriksson-Merton (1981) model, are employed. Both models test whether portfolio managers have stock selection and market timing ability. The cross-sectional regression and the rank correlation test are implemented which account for both parametric and non-parametric approaches of persistence testing, respectively. Findings Weak evidence of stock selection as well as market timing ability was found. Moreover, most of the unit trusts are reported to have insignificant coefficients. When testing for performance persistence using returns, the Sharpe ratio and the Sortino ratio as performance metrics, the overall results also revealed weak evidence of persistence that is equally spread across winning and losing funds. Originality/value While research on unit trusts’ performance has been conducted in emerging economies, little has been done in testing for managerial ability in general and in South Africa in particular. Moreover, the research tends to focus more on one class – Equity General. This paper extends the performance literature by testing whether portfolio managers in the South African equity unit trusts industry have stock selection and market timing ability.

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“…By the timeKaushik and Pennathur (2012)in US, Keith et al, (2008)in the British economy,Yang-pin etal., (2012)internationally, George et al, (1998)in Canada, YueCheong and Louis (2003)U.S-based Asian, Phaniswara and Mallikarjuna (2009)in India, Craig and Micael (1997)in South Africa, Roberto et al, (2001) in Italy, Amporn and Yosawee (2011)in Thailand, Sit and Manuel (2011)in Philippine, Murhadi (2010)in Indonesia, Reza et al, (2011)in Iran, Shazia et al, (2010)in Pakistan,and Samira and Slaheddine (2011)in Tunis.Find no evidence on the managers' skills of market timing and selectivity; they document that the majority of funds with positive abnormal performance can be attributed to good luck, not only this, but it is extremely difficult expost to isolate these funds, even when they have a long data history. Furthermore, once when accounting for the drop-market conditions of (2007)(2008))the coefficient of the downturn dummy variable is negative and highly significant.…”

Section: Related Literature and Empirical Hypotheses 21 Conventionamentioning

confidence: 99%

Stock Picking and Market Timing of the Egyptian Fund Managers: Evidence from the Financial Crisis

Elmesseary

2014

EJSD

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The findings of over-or-under performance of fund managers across the crisis periods are mixed. By analyzing the data of 35 Egyptian funds, this paper investigates the two skills of market timing and selectivity during-and-post the 2007-2008 financial turmoil; it also examines the comparative performance between the conventionaland Islamic mutual funds. The results show no evidence of these skills even for the overall period or for the crisis one, where Chow -test documents that there are no structural changes either for the regression line or for its coefficients across the two sub-periods. These findings are supported by using a well-known benchmark. Thus, it seems that investors cannot gain superior returns by investing in the mutual funds industry as a whole. Furthermore, the outcomes of the cross-sectional analysis report that investors cannot also attain higher returns by investing in a particular fund group against the other, implying that the ethical screening, which is adopted by the Islamic ones, and which limits their potentials of diversification does not impact their performance. JEL classification: G1; G2

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Performance Evaluation of Mutual Funds in Indonesia

Cited by 4 publications

References 25 publications

Individual and Overall Analysis on Indonesian Stock Funds Market Timing and Selectivity

Individual and Overall Analysis on Indonesian Stock Funds Market Timing and Selectivity

Performance evaluation of equity unit trusts in South Africa

Stock Picking and Market Timing of the Egyptian Fund Managers: Evidence from the Financial Crisis

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