Sharia mutual funds performance in Indonesia

Robiyanto, Robiyanto; Santoso, Michael Alexander; Ernayani, Rihfenti

doi:10.3846/btp.2019.02

Cited by 15 publications

(15 citation statements)

References 19 publications

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“…However, they declared that these strategies need further verification. Robiyanto et al (2019) used the Sharpe, Treynor, and Jensen measures to assess the performance of 21 Indonesian mutual funds from 2012-2017, and the findings are consistent with those of Arif et al (2019).…”

Section: Introductionsupporting

confidence: 73%

The Investment Performance of Ethical Equity Funds in Malaysia

Mansor

Bhatti

Rahman³

et al. 2020

JRFM

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This paper investigates the investment performance of Malaysian Islamic equity funds and a matching sample of conventional equity funds relative to their market benchmark. An integrated model is used to simultaneously capture the market timing and selectivity skills of fund managers. Our findings indicate that the Islamic funds do not match the performance of the conventional funds in terms of selectivity skill. However, Islamic funds perform no worse than their conventional counterparts in market timing, although neither outperform the market. These findings have crucial implications not only for fund managers’ investment decisions, but also for sensitive shariah-compliant investors and risk-seeking investors of Islamic equity funds in their investment portfolio preference.

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Section: Introductionsupporting

confidence: 73%

The Investment Performance of Ethical Equity Funds in Malaysia

Mansor

Bhatti

Rahman³

et al. 2020

JRFM

View full text Add to dashboard Cite

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“…Endogenous variable in this study is mutual funds performance by sharpe ratio measured by the sum of mutual funds's return and market return divided by standart deviation. The performance measurement method applied used measured the performance with the Sharpe methods (Pangestuti et al 2017;Robiyanto et al 2019). The Sharpe Index value is used as a proxy for mutual funds performance because it considers systematic and unsystematic risk.…”

Section: Data Description and Methodologymentioning

confidence: 99%

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

Rachmawati¹,

Wahyudi²,

Pangestuti³

et al. 2020

IJFR

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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.

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“…Its main characteristic is that this model assumes that there is only one factor that influences the return of securities. The methodology most frequently used in estimating market beta is to do time series regression, and then perform cross-sectional regression between the average profit rate and beta estimated from the time series regression (Robiyanto, Santoso, & Ernayani, 2019). Lintner (1965) used the same method employed by Sharpe (1964) plus the use of unsystematic risk variables (represented by the variance of residual terms) and found that the value of the intercept was too high and the residual terms were included in the pricing.…”

Section: Multi-index Modelmentioning

confidence: 99%

Factors Affecting the Indonesia Stock Exchange: A Multi-Index Approach

Susilo¹,

Wahyudi²,

Pangestuti³

2020

IJFR

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This study examines the influence of world and regional capital market conditions on the Indonesian capital market (Indonesia Stock Exchange) condition. The DJIA (Dow Jones Industrial Average) index was used as a representative of the international capital market while the Hang Seng index and the Nikkei 225 index were used as a representative of regional capital market conditions. These two indices were chosen because the Japanese capital market was one of the most advanced capital markets in the world and the Hong Kong capital market, although not as big as Japan, still played an important role in the world. The data were obtained from Yahoo Finance during the period of 2014-2018. The dependent variable was the change in the JCI (Jakarta Composite Index), while the independent variables were changes in the index of DJIA, Nikkei 225 and Hang Seng index. Using daily data analyzed by the ARIMA method (1,1), it was found that there was a significant positive effect of DJIA with lag 1 and Hang Seng index on the JCI, but no significant effect was found from the Nikkei 225 index on the JCI.

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Sharia mutual funds performance in Indonesia

Cited by 15 publications

References 19 publications

The Investment Performance of Ethical Equity Funds in Malaysia

The Investment Performance of Ethical Equity Funds in Malaysia

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

Factors Affecting the Indonesia Stock Exchange: A Multi-Index Approach

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