Journal articles on the topic 'Fixed-income Mutual Funds'
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Buana Putra, Bintang Pratama, and Imron Mawardi. "Perbandingan Kinerja Reksadana Syariah Di Indonesia Menggunakan Metode SHARPE (Studi Kasus Reksadana Syariah Saham, Reksadana Syariah Pendapatan Tetap dan Reksadana Syariah Campuran periode 2012-2014)." Jurnal Ekonomi Syariah Teori dan Terapan 3, no. 9 (February 20, 2017): 683. http://dx.doi.org/10.20473/vol3iss20169pp683-698.
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This research aims to find out the comparison between the performance of Islamic mutual funds of stock, Islamic mutual funds of fixed income and combined Islamic mutual funds. The method of this measuring calculates upon the risk factors and the return rate of those three kinds of Islamic mutual fund. This research uses 21 samples of Islamic mutual fund in Indonesia which consist of seven Islamic mutual funds of stock, seven Islamic mutual funds of fixed income and seven combined Islamic mutual funds. The approach used is a quantitative approach with the analysis technique of ANOVA. The result of this study shows that there is no difference between the performances of Islamic mutual funds of stock, Islamic mutual funds of fixed income and combined Islamic mutual funds on the period of January 2012 until December 2014 which has been analyzed using Sharpe method.
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Rahma, Sarah Aulia, and Ari Prasetyo. "Perbandingan Kinerja Reksadana Syariah dan Pasar JII Menggunakan Metode Treynor (Studi Kasus Reksadana Saham Syariah, Reksadana Syariah Pendapatan Tetap dan Reksadana Syariah Pendapatan Campuran Periode 2011-2015)." Jurnal Ekonomi Syariah Teori dan Terapan 4, no. 5 (December 15, 2017): 410. http://dx.doi.org/10.20473/vol4iss20175pp410-423.
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This research aims to find out the comparison between the performance of Islamic mutual funds of stock, Islamic mutual funds of fixed income and combined Islamic mutual funds with the market (Jakarta Islamic Index) as benchmark by using Treynor method. The method of this measuring calculates upon the risk factors and the return rate of those three kinds of Islamic mutual fund and benchmark. This research uses 21 samples of Islamic mutual fund in Indonesia which consist of seven Islamic mutual funds of stock, seven Islamic mutual funds of fixed income and seven combined Islamic mutual. The approach used is a quantitative approach with the analysis technique of ANOVA. The result of this study shows that there is no difference between the performances of Islamic mutual funds of stock, Islamic mutual funds of fixed income, combined Islamic mutual funds and the market onperiod of January 2011 until December 2015.
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Kusumastiti, Febrita, and Muhammad Nafik Hadi Ryandono. "Pengaruh Risiko Sistematis, Market Timing, dan Ukuran Dana Terhadap Kinerja Reksa Dana Pendapatan Tetap Syariah di Indonesia (Periode 2014-2018)." Jurnal Ekonomi Syariah Teori dan Terapan 6, no. 12 (January 21, 2020): 2409. http://dx.doi.org/10.20473/vol6iss201912pp2409-2421.
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The purpose of this study is to determine the effect of the systematic of risk, market timing, and fund size toward sharia fixed income mutual funds in Indonesia period 2014-2018 partially and simultaneously. This research uses a quantitative approach and uses multiple linear regression tests to determine the relationship between exogenous variables and endogenous variable. The result of this research shows that systematic risk and fund size are partially have significant influence to the sharia fixed income mutual funds performance. Meanwhile, market timing is partially have insignificant influence to the sharia fixed income mutual funds performance. While simultaneously, systematic risk, market timing and fund size have significant influence to the sharia fixed income mutual funds performance with the coefficient of determination is 31,9% while the remaining 68,1% is influenced by other variables not included in this research.Keywords: Sharia Mutual Fund Performance, Systematic Risk, Market Timing, Fund Size
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David Ferdinan, Hutagalung, Eko A. Widyanto, and Burhanuddin Burhanuddin. "Pengukuran Reksadana Menggunakan Sharpe dan Treynor Model Jenis Pasar Uang, Pendapatan Tetap dan Saham." Jurnal Indonesia Sosial Sains 3, no. 4 (April 21, 2022): 562–77. http://dx.doi.org/10.36418/jiss.v3i4.567.
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The Purpose of this research determine the results of measuring the performance of each type of mutual funds, namely the type of Money Market, Fixed Income and stocks in 2016 - 2020, if using the Sharpe method and the Treynor method and finding the type of Mutual fund with the best performance from these measurements. Sampling technique in this study using purposive sampling technique, totaling 30 samples of mutual funds. The analytical tool used in performance measurement is Microsoft Excel. The result of this performance measurement is the performance measurement of money market mutual funds, resulting in the Sucorinvest Money Market fund with the best performance based on Sharpe and Treynor methods. Fixed income mutual funds with Danamas Stabil that have the best performance based on Sharpe measurements and from stock funds, there are 2 Mutual funds, namely Sucorinvest Equity Fund and Sucorinvest Maxi Fund. The results of these measurements are Danamas Stabil from fixed income mutual funds are able to have the best performance of the 3 types of mutual funds based on Sharpe measurement, while based on the Treynor method, produce money market funds that have the best performance.
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David Ferdinan, Hutagalung, Eko A. Widyanto, and Burhanuddin Burhanuddin. "Pengukuran Reksadana Menggunakan Sharpe dan Treynor Model Jenis Pasar Uang, Pendapatan Tetap dan Saham." Jurnal Indonesia Sosial Sains 3, no. 4 (April 21, 2022): 562–77. http://dx.doi.org/10.36418/jiss.v3i4.567.
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The Purpose of this research determine the results of measuring the performance of each type of mutual funds, namely the type of Money Market, Fixed Income and stocks in 2016 - 2020, if using the Sharpe method and the Treynor method and finding the type of Mutual fund with the best performance from these measurements. Sampling technique in this study using purposive sampling technique, totaling 30 samples of mutual funds. The analytical tool used in performance measurement is Microsoft Excel. The result of this performance measurement is the performance measurement of money market mutual funds, resulting in the Sucorinvest Money Market fund with the best performance based on Sharpe and Treynor methods. Fixed income mutual funds with Danamas Stabil that have the best performance based on Sharpe measurements and from stock funds, there are 2 Mutual funds, namely Sucorinvest Equity Fund and Sucorinvest Maxi Fund. The results of these measurements are Danamas Stabil from fixed income mutual funds are able to have the best performance of the 3 types of mutual funds based on Sharpe measurement, while based on the Treynor method, produce money market funds that have the best performance.
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Dewi Tamara, Ir, and Shintia Revina. "Indonesian Mutual Funds Classification Using Clustering Method." Advanced Science Letters 21, no. 4 (April 1, 2015): 826–29. http://dx.doi.org/10.1166/asl.2015.5892.
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Mutual funds have existed since 1990 as an alternative investment in Indonesia. The objective of this research is to examine the existing classification of mutual funds database. The data of mutual funds is taken from Bloomberg through Portal Reksadana 2013 which covered 690 mutual funds. The existing classification consists of mutual funds fixed income (reksadana pendapatan tetap), equity (reksadana saham), money market (reksadana pasar uang) and structured (reksadana campuran). The existing financial attributes consists of the net asset value, percentage annualized return the last 6 months, 1 year, 3 years, 5 years and year-to-date. This paper uses K-means clustering to propose new classification of Indonesian mutual funds. The result reveals that mutual funds in equity and fixed income belong to its group. However, mutual funds money market is belong to mutual fund fixed income and mutual funds structures are identified to mutual funds equity. Furthermore, we find that in average 43% of Indonesian mutual funds are misclassified in accordance with their attributes. Finally, it is suggested to re-group the mutual funds into smaller classification, which has lower rates of misclassified mutual funds and possibility to achieve better performances in terms of its percentage annualized return.
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Widiarso, Samsidar, and Imron Mawardi. "Perbandingan Reksa Dana Pendapatan Tetap Syariah dan Reksa Dana Saham Syariah Berdasarkan Tingkat Pengembaliannya Pada Periode Januari 2011 - Desember 2014." Jurnal Ekonomi Syariah Teori dan Terapan 4, no. 4 (December 15, 2017): 268. http://dx.doi.org/10.20473/vol4iss20174pp268-280.
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This research aims to know the comparison of the rate of return on fixed income mutual funds stock mutual funds and the Islamic Shariah from January 2011 to December 2014. The research method used is the quantitative approach. Variable used is the return value of the net assets of mutual funds, fixed income and net asset value of mutual fund shares. As for the analytical techniques used are paramatrik statistical hypothesis test using two sample is not paired and test the average difference T-Test.Based on the results of the research there is, normality test variables that are not distributed normally so do test Mann-Whitney on a variable with a result of 757.000 with significance value of 0.039. Then there is asignificant difference in the rate of return fixed income mutual funds stock mutual funds and the Islamic Sharia.
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Droms, William G., and David A. Walker. "Performance persistence of fixed income mutual funds." Journal of Economics and Finance 30, no. 3 (September 2006): 347–55. http://dx.doi.org/10.1007/bf02752740.
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Totgi, Suchita B. "Significant Insights, Value Orientation and Differences Between the Mutual Fund Investment Flow and Indian Stock Market Returns – A Theoretical Assimilation." International Journal of Research Publication and Reviews 03, no. 12 (2022): 2352–56. http://dx.doi.org/10.55248/gengpi.2022.31274.
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Researchers and academicians from all over the world have become interested in the study of the causal relationship between mutual fund investment flow and stock market returns in recent years. But there is currently a contradictory body of empirical data on this matter. Additionally, there are a few studies that take the case of India into account. In order to better understand the dynamics of the relationship between mutual fund investment flow and stock market returns in India from January 2000 to May 2010, the following article will do just that. The Granger causality tests are applied using the Toda and Yamamoto approach, which yields evidence of a one-way causal relationship between stock market returns and mutual fund investment flow. This suggests that the expansion of stock market activity in India draws mutual funds to the stock market. Therefore, the government and monetary authorities should take the necessary actions to reduce the volatility and increase the efficiency of the capital market. By gathering money from households and investing it in the stock and debt markets, mutual funds enable portfolio diversification and relative risk aversion. In India, a specific type of mutual fund called fixed-income funds invests in debt securities that have been issued by businesses, banks, or the government. In India, fixed-income funds are also referred to as debt funds and income funds. The goal of the current study is to assess the performance of a few selected debt or income mutual fund schemes in India based on their daily NAV using various statistical measures. In the past ten years, income schemes have become more and more popular. The securities that were purchased are referred to as the fund's portfolio. There may have been restrictions on rival products, which led to the emergence of money market and (short-term) bond funds. In this study, the performance of several mutual fund types in India was compared and studied. The results showed that equities funds outperformed income funds. The study also found that institutional fund managers can time their investments and that equity fund managers have significant market timing ability, but broker operated funds did not demonstrate this ability. Additionally, empirical research has shown that fund managers possess significant timing ability and can time their investments to match market conditions.
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Zagaglia, Paolo. "International diversification for portfolios of European fixed-income mutual funds." Managerial Finance 43, no. 2 (February 13, 2017): 242–62. http://dx.doi.org/10.1108/mf-01-2015-0026.
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Purpose The purpose of this paper is to study the scope for country diversification in international portfolios of mutual funds for the “core” EMU countries. The author uses a sample of daily returns for country indices of French, German and Italian funds to investigate the quest for international diversification. The author focuses on fixed-income mutual funds during the period of the financial market turmoil since 2007. Design/methodology/approach The author compute optimal portfolio allocations from both unconstrained and constrained mean-variance frameworks that take as input the out-of-sample forecasts for the conditional mean, volatility and correlation of country-level indices for funds returns. The author also applies a portfolio allocation model based on utility maximization with learning about the time-varying conditional moments. The author compares the out-of-sample forecasting performance of 12 multivariate volatility models. Findings The author finds that there is a “core” EMU country also for the mutual fund industry: optimal portfolios allocate the largest portfolio weight to German funds, with Italian funds assigned a lower weight in comparison to French funds. This result is remarkably robust across competing forecasting models and optimal allocation strategies. It is also consistent with the findings from a utility-maximization model that incorporates learning about time-varying conditional moments. Originality/value This is the first study on optimal country-level diversification for a mutual fund investor focused on European countries in the fixed-income space for the turmoil period. The author uses a large array of econometric models that captures the salient features of a period characterized by large changes in volatility and correlation, and compare the performance of different optimal asset allocation models.
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Syauqiyah, Shafira Sa’adah, and Muhammad Nafik H. R. "PERBANDINGAN KINERJA REKSADANA SYARIAH DAN REKSADANA NON-SYARIAH DI INDONESIA BERDASARKAN RETURN, RESIKO, DAN KOEFISIEN VARIASI." Jurnal Ekonomi Syariah Teori dan Terapan 5, no. 2 (June 13, 2019): 122. http://dx.doi.org/10.20473/vol5iss20182pp122-133.
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This research aims to find out the performance comparison between sharia mutual funds and non-sharia mutual funds in Indonesia during 2013-2015 by using return, risk, and coefficient of variation in the three types of mutual funds; equity mutual fund, mixed mutual fund, and fixed income mutual fund. The approach used is quantitative approach by using independent samples t-test or mann whitney in the test analysis with 5% significant level. The result of this study indicate that there is no significant difference between return, risk, and coefficient of variation of sharia mutual funds and non-sharia mutual funds in Indonesia in three types of mutual funds.
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Sialm, Clemens, Laura Starks, and Hanjiang Zhang. "Defined Contribution Pension Plans: Mutual Fund Asset Allocation Changes." American Economic Review 105, no. 5 (May 1, 2015): 432–36. http://dx.doi.org/10.1257/aer.p20151006.
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In this paper we compare changes in asset allocations between mutual funds held in defined contribution pension plans and funds held by other investors. We investigate how flows into equity and fixed income mutual funds depend on macroeconomic conditions. We find that defined contribution plans react more sensitively to these conditions, suggesting effects on mutual fund managers and other investors.
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Guo, Jiequn. "Fair Value Adjusted Pricing of Mutual Funds Using Treasury Futures." Journal of International Commerce, Economics and Policy 09, no. 01n02 (February 2018): 1850006. http://dx.doi.org/10.1142/s1793993318500060.
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The U.S. Investment Company Act of 1940 requires mutual fund boards to determine fair value of their portfolios. With mutual fund investments on foreign securities, there is a potential market timing issue when markets evolve between foreign and domestic market close. However, there is little research to date relating to fair value pricing procedures for foreign fixed-income securities. In this paper, we discuss the market timing problems and present a statistical approach utilizing treasury futures to fair value pricing of foreign fixed income securities. Timely valuation adjustment of foreign fixed income securities is the best approach to fend off arbitrageurs than raising transaction fees or setting minimum holding period for mutual funds.
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Krishna, Dr V. Murali, Dr T. Hima Bindu, and Dr Ravikumar Gunakala. "A Critical Analysis of Selected Public and Private Mutual Fund Schemes in India." Restaurant Business 118, no. 8 (April 25, 2019): 28–34. http://dx.doi.org/10.26643/rb.v118i8.7207.
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Mutual Fund Industry is one of the emerged dominant financial intermediaries in Indian Capital Market. The main objective of investing in a mutual fund is to diversify risk. Though the mutual fund invests in diversified portfolio, the fund managers take different levels of risk in order to achieve the schemes objectives. Mutual funds allow portfolio diversification and relative risk management through collection of funds from the savers/investors, the same investing in equity and debt stocks. This type of invested funds is managed by professional experts called as fund managers Funds are categorized as income should fixed base in India are a kind of mutual fund which makes investment in debt securities that have been issued to the corporate, banking institutions and to government in general
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Aini, Yulis Nurul, Baroroh Lestari, and Yekie Senja Oktora. "PERFORMANCE ANALYSIS WITH SHARPE INDEX APPROACH IN FIXED INCOME ISLAMIC MUTUAL FUNDS." CASHFLOW : CURRENT ADVANCED RESEARCH ON SHARIA FINANCE AND ECONOMIC WORLDWIDE 2, no. 1 (November 15, 2022): 125–36. http://dx.doi.org/10.55047/cashflow.v2i1.435.
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The purpose of this study is to gain an understanding of how the performance of fixed income sharia mutual funds has fared in the Indonesian Capital Market. The information used in the research came from financial reports and publications that were made available on the Indonesia Stock Exchange. These reports covered the time period 2018-2020. For the purpose of providing an explanation of the performance of fixed income Sharia mutual funds, the financial statement is studied using Index Sharpe. According to the findings of this research, the performance of fixed income sharia mutual funds has a negative performance during the period of 2018-2020.
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Sekarini, Ervani Nur, and Istutik Istutik. "ANALISIS PERBANDINGAN KINERJA REKSA DANA SYARIAH DENGAN KINERJA REKSA DANA KONVENSIONAL." Adbis: Jurnal Administrasi dan Bisnis 13, no. 2 (July 15, 2020): 196. http://dx.doi.org/10.33795/j-adbis.v13i2.79.
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This study aims to determine the difference between the performance of Islamic mutual funds with the performance of conventional, mixed type and fixed income mutual funds with sharpe ratio, treynor ratio and jensen ratio measurement methods.
This type of research is quantitative research, where the source of the data used is secondary data. The population in this study are equity, mixed and fixed income mutual funds found on the official website of PT Bareksa Investment Portal, the sample used is conventional and sharia mutual funds issued by the same and active investment managers during 2015-2017. The data used in the form of Net Asset Value (NAV) data for 2014-2017, Jakarta Islamic Index (JII) and Composite Stock Price Index (CSPI), data on interest rates for Bank Indonesia Certificates (SBI) for the 2015-2017 period. The analytical method used is the Independent Sample t-test, with the SPSS program.
The results showed that there was no significant difference between the performance of Islamic mutual funds and the performance of conventional, mixed, and fixed income types of conventional mutual funds by using sharpe ratio, treynor ratio and jensen ratio measurements.
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Ayadi, Mohamed A., Skander Lazrak, Yusui Liao, and Robert Welch. "Performance of fixed-income mutual funds with regime-switching models." Quarterly Review of Economics and Finance 69 (August 2018): 217–31. http://dx.doi.org/10.1016/j.qref.2018.03.005.
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Mujahid, Mujahid, Rachmat Sugeng, Yasir Yasir, Syamsul Riyadi, and Karima Karima. "Comparative Analysis of The Performance of Syariah Mutual Funds With Conventional Funds." International Journal of Health, Economics, and Social Sciences (IJHESS) 2, no. 2 (April 15, 2020): 71–82. http://dx.doi.org/10.56338/ijhess.v2i2.1254.
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In carrying out investment activities, it is to seek a profit and expect the invested funds to be stored safely and can be retrieved quickly if they want to be needed again, Mutual funds are a new investment vehicle that has minimized risks because the funds that have been collected can be invested in various types of investment vehicles, such as bonds, stocks and money market instruments. In this study aims to determine the "comparative analysis of the performance of Islamic mutual funds with conventional mutual funds through equity mutual funds and fixed income mutual funds.
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Leippold, Markus, and Roger Rueegg. "How Rational and Competitive Is the Market for Mutual Funds?*." Review of Finance 24, no. 3 (June 22, 2019): 579–613. http://dx.doi.org/10.1093/rof/rfz011.
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Abstract To explore the rationality and competitiveness of the mutual fund industry, we analyze the alpha of active and index mutual funds from a global sample of more than 60,000 equity and fixed income funds and test the null hypothesis that alphas to investors are zero. We distinguish between institutional and retail investors since there are significant differences in management fees, economies of scale, and information asymmetries between these two groups. Using a new robust statistical test, we cannot reject our null hypothesis for the majority of investment categories. We find that the average active fund has less exposure to traditional risk factors, but higher sensitivity to alternative risk premia. Fund persistence and the impact of size and fees add further support to our conclusion that the mutual fund industry is highly competitive, except for US domestic funds. This set of funds is excessively overfunded compared with other fund categories.
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Schiozer, Rafael Felipe, and Diego Lins de Albuquerque Pennachi Tejerina. "Exposição a Risco e Captação em Fundos de Investimento: os Cotistas Monitoram a Alocação de Ativos?" Brazilian Review of Finance 11, no. 4 (March 17, 2013): 527. http://dx.doi.org/10.12660/rbfin.v11n4.2013.10295.
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This study investigates the impact of asset allocation on the net flow of fixed income funds in the Brazilian market, by exploiting the exogenous variation in the risk perception of bank liabilities (CDs) caused by the financial turmoil that followed Lehman Brothers’ demise in September 2008. The central hypothesis is that the exposure to assets negatively affected by the crisis impacts negatively the fund’s net flow. We find that, for mutual funds, the larger proportion of assets negatively affected by the crisis the larger the net outflow of resources, indicating that shareholders monitor asset allocation and exert disciplining power on fund managers by withdrawing their resources. In exclusive (fundos exclusivos, i.e., funds with a single shareholder), for which the shareholder is presumed to exert more influence on asset reallocation, we find no significant relationship between the exposure to assets negatively affected by the crisis and net flows.
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Banegas, Ayelen, and Christopher Finch. "Interest Rates Expectations and Flow Dynamics in High Yield Corporate Debt Mutual funds." FEDS Notes, no. 2022-06-17 (June 2022): None. http://dx.doi.org/10.17016/2380-7172.3115.
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Fixed-income mutual funds saw massive outflows during the onset of the COVID-19 crisis, with funds investing primarily in high yield debt markets experiencing the largest redemptions, as a percentage of assets. In March 2020 alone, high yield bond (HYB) and bank loan (BL) mutual fund withdrawals reached an estimated 4.1 and 13.6 percent of assets under management (AUM), accounting for close to $10.4 and $11.4 billion, respectively. Following interventions from the Federal Reserve that helped restore credit market conditions and brought U.S. interest rates back to new lows, flow dynamics of HYB and BL funds began to diverge substantially.
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Nurwulandari, Andini. "ANALISIS PENGARUH KURS, SERTIFIKAT BANK INDONESIA DAN INFLASI TERHADAP KINERJA REKSADANA PENDAPATAN TETAP TAHUN 2015-2019." Komitmen: Jurnal Ilmiah Manajemen 1, no. 1 (June 30, 2020): 64–73. http://dx.doi.org/10.15575/jim.v1i1.12480.
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Each type of investment has different risks. However, the general rule is that the higher the likelihood of an investment the greater the risk of the instrument. This study uses a qualitative method with a descriptive analysis approach. The data source is secondary data from the official BI website. OJK and BPS. This research covers all OJK mutual funds between 2015-2019. Sampling was done purposively. Data documentation is used for sampling. The results of the study found that the level of development has a negative effect on the results of fixed-income mutual funds, the lower the SBI, the worse the output of mutual funds that have fixed income will be; and inflation does not affect the FIM, because inflation represents a continuous increase in costs for products and services.
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Charoenrook, Anchada, and Pantisa Pavabutr. "A Window into Thai Mutual Fund Managers’ Perception and Decision-Making Process." Review of Pacific Basin Financial Markets and Policies 20, no. 03 (August 14, 2017): 1750020. http://dx.doi.org/10.1142/s0219091517500205.
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This paper identifies key features of the Thai mutual fund industry and analyzes determinants of those characteristics using unique survey data from 45% of fund managers registered in Thailand in 2012. The Thai mutual fund industry has some unique characteristics. It has experienced rapid growth and is dominated by bank-related funds that are mostly fixed income funds. Equity allocation of the fund industry and our sample funds are below optimal allocation benchmarks. However, country-level allocation is close to optimal, suggesting that Thai investors who invest in equity prefer to do so directly rather than through equity mutual funds. Fund managers perceive that too much regulation, investors’ preference for deposits and insufficient liquidity limit growth in their equity investments. Managers in our survey indicate that investors do not consider expense ratio and management fee important in determining mutual fund investments. This is contrary to general investment recommendations. Thai bank-related fund managers believe that investors place more importance to brand reputation than performance, whereas foreign fund managers view performance as more important. Thai bank fund managers are more concerned about local interest rates than Thai non-bank and foreign fund managers.
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Bank, О. А. "Mutual fund management in the period of financial crisis." Voprosy regionalnoj ekonomiki 31, no. 2 (June 20, 2017): 75–81. http://dx.doi.org/10.21499/2078-4023-2017-31-2-75-81.
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Mutual fund managers do not have full freedom in choosing investment strategies - they are limited both by the laws and by investment declarations of the funds. Investment strategy cannot be fully changed even in financial crisis but it only can be corrected. This fact could not be characterized as a disadvantage because different types of funds are efficient in different time even during the same economic recession. Mutual fund manager should rationally invest funds of their clients: it is better to keep the maximum possible part of the portfolio in cash and instruments with fixed income on the declining market and it is better to keep shares on the rising market. However the choice of bonds also as the choice of shares should pay respect for the features of these instruments during unfavorable economic conditions. Russian mutual fund management differs from fund management in other countries as in stable economic situation so in the circumstances of financial crisis.
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Odutola Omokehinde, Joshua. "Mutual funds behavior and risk-adjusted performance in Nigeria." Investment Management and Financial Innovations 18, no. 3 (September 9, 2021): 277–94. http://dx.doi.org/10.21511/imfi.18(3).2021.24.
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The paper investigates the behavior of mutual funds and their risk-adjusted performance in the financial markets of Nigeria between April 2016 and May 31, 2019, using descriptive statistics, as well as CAPM, Jensen’s alpha, and other risk-adjusted portfolio performance measures such as Sharpe and Treynor ratios, as well as Fama decomposition of return. The descriptive tests revealed that 80.77% of the funds were superior to market returns, while 13.46% were riskier. The market and the fund returns behaved abnormally with asymptotic and leptokurtic characteristics as their skewness and kurtosis varied from the normal requirements. Diagnostically, the normality test by Jacque-Berra showed that the return was not normally distributed at a 1% significance level. The market was more aggressive relative to the funds. The average risk-free rate was 6.75% above the market’s return. The risk-adjusted portfolio returns measured by Sharpe and Treynor ratios showed that 67.31% of the funds underperformed the market compared to 40.38% that outperformed the market using Jensen’s alpha. Fama decomposition of return revealed that the fund managers are risk-averse with 48% superior selection ability and rationally invested over 85% of investors’ funds in schemes with fixed income securities at a given risk-free return that cushioned the negative effects of the systematic and idiosyncratic risks and consequently threw the total returns into positive territories. Overall, the fund managers possessed 52% of inferior selection abilities that only earned 33% of superior risk-adjusted returns and hence, failed to achieve the desired diversification in the relevant period.
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Zaenal Arifin and Sri Mulyati. "Prediction Model for the Persistence of Sharia Mutual Fund Performance in Indonesian Capital Market." International Journal of Business and Society 21, no. 3 (April 23, 2021): 1033–44. http://dx.doi.org/10.33736/ijbs.3309.2020.
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Over the period of 2010 to 2012, the performance of Islamic mutual funds in Indonesia saw a high degree of persistence. However, the persistence rate decreased in the period of 2014 to 2016. Given such fluctuated rate, this research tries to identify the factors that influence the persistence of the mutual fund performance and, based on these factors, creates the predictive modelling of persistence rate. The samples of the study included all sharia mutual funds offered from 2010 to 2016 in Indonesian capital market. To construct the model, we used the Logit equation, while to evaluate the accuracy of the prediction model, we used the Expectation- Prediction Evaluation with a prediction evaluation for success of 0.5. The results of this study indicate that,of the whole mutual fund, the best model is a model involving the following variables: (1) the time interval since the mutual fund was launched, (2) the rank of the mutual funds, whether it was at the top 5 within 1-2 years after the launch, and (3) the number of newcomer funds during persistence testing. The level of accuracy of this model, when it was used to predict the whole sharia mutual fund persistence, was 64%. When the model was used to predict the persistence of equity performance of mutual fund, its level of accuracy rose to 77.78%. Whereas in the use to predict the persistence of fixed income mutual funds the accuracy rate amounted to 70%. The persistence of predictive model for mixed funds was based on different factors of compositions: (1) the number of funds under management, (2) the fact whether the mutual funds are in the top 5 within 1-2 years after the launch, and (3) the number of newly coming funds during persistence testing. This model had an accuracy level of 75%. It is expected that this study be used as a guide for investors wishing to invest in sharia mutual funds.
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Nafisah, Hilyatun, and Supriyono Supriyono. "Analysis of The Effect of Macroeconomics On Net Assets Value (NAV) of Sharia Mutual Funds In Indonesia." International Journal of Islamic Business and Economics (IJIBEC) 4, no. 1 (May 17, 2020): 11. http://dx.doi.org/10.28918/ijibec.v4i1.1527.
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Net Asset Value (NAV) is a measure of investment performance for sharia mutual funds derived from the entire value of the mutual fund portfolio fewer liabilities. This research aims to analyze the effect of the rupiah exchange rate, inflation, Jakarta Islamic Index (JII) and Bank Indonesia Sharia Certificate (SBIS) on Net Asset Value (NAV) of Sharia Mutual Funds. The object in this research consisted of 5 companies registered with the Financial Services Authority (OJK) from 2012-2019. Panel data regression analysis was used to test the hypothesis in this study. A random effect is used to determine the differences in the effect. The result of this study concluded that rupiah exchange rate, inflation and JII and SBIS effect on NAV of sharia mutual funds simultaneously. Partially, an unstable rupiah exchange rate is considered to have an impact on the company's production factors and affect the validity of the stock price; This causes investments no longer be attractive to investors, thereby reducing the value of investments that have an impact on the declining mutual fund NAV. Inflation decreases the real income of people with fixed income will also reduce the value of wealth in the form of money so that people will prefer to invest their money in the form of real assets that will result in reduced investment in the financial and capital markets and lower the NAV value of Islamic Mutual Funds. JII describes the performance of stocks which are one of the portfolios of sharia mutual funds. If the JII index value rises, then the increase in the portfolio of sharia mutual funds that share type will also rise which will have an impact on the increase in the nett asset value of sharia mutual funds. SBIS does not affect the Sharia Mutual Funds NAV. The relationship between SBIS and the Sharia Mutual Fund NAV as well as the relationship between interest rates and stock prices is negative or in the opposite direction. If interest rates rise at an adequate level, investors will try to move their investments from stocks to deposits.
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Briggs, John, and Ejike Nwankpa. "EVALUATION OF THE PERFORMANCE OF COLLECTIVE INVESTMENT SCHEMES IN NIGERIA." International Journal of Development Strategies in Humanities, Management and Social Sciences 12, no. 2 (March 12, 2022): 34–45. http://dx.doi.org/10.48028/iiprds/ijdshmss.v12.i2.03.
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This paper examined the performance of thirteen (13) large-size money market funds in Nigeria based on the net asset values (NAV) as at 31 December 2021. Mutual fund data were obtained from the website of Securities and Exchange Commission, 91-day treasury bills true yield and stop rates which served as proxy for benchmark index and risk-free rates respectively from Central Bank of Nigeria statistical bulletin while returns yielded by the funds were obtained from the audited accounts and factsheets of the mutual funds. The performance evaluation was carried out using Sharpe ratio, Treynor ratio and Jensen’s Alpha for the period January 2018 to December 2021. The result is opposed to previous works that on the average, mutual funds did not generate returns to outperform the market index. All the 13 money market funds recorded positive ratios across all the three measurement ratios. It was observed that mutual funds industry in Nigeria is presently underutilized and underdeveloped. Also, the Nigerian mutual funds sector is heavily concentrated on fixed income investment rather than being widely spread across various investments outlets. The paper points to the need for collaboration between regulators and operators in facilitating awareness and distribution channels while the fund managers are called to select their stocks based on research and analysis as well as to always use risk-adjusted measures in reporting their performance.
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Tchamyou, Venessa S., Simplice A. Asongu, and Jacinta C. Nwachukwu. "Effects of asymmetric information on market timing in the mutual fund industry." International Journal of Managerial Finance 14, no. 5 (October 8, 2018): 542–57. http://dx.doi.org/10.1108/ijmf-09-2017-0187.
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Purpose The purpose of this paper is to investigate the effects of information asymmetry (between the realized return and the expected return) on market timing in the mutual fund industry. Design/methodology/approach For the purpose, the authors use a panel of 1,488 active open-end mutual funds for the period 2004-2013. The authors use fund-specific time-dynamic betas. The information asymmetry is measured as the standard deviation of idiosyncratic risk. The data set is decomposed into five market fundamentals in order to emphasis the policy implications of the findings with respect to: equity, fixed income, allocation, alternative, and tax-preferred mutual funds. The empirical evidence is based on endogeneity-robust difference and system generalized method of moments. Findings The following findings are established. First, the information asymmetry broadly follows the same trend as volatility, with a higher sensitivity to market risk exposure. Second, fund managers tend to raise (cutback) their risk exposure in time of high (low) market liquidity. Third, there is evidence of convergence in equity funds. The authors may, therefore, infer that equity funds with lower market risk exposure are catching-up with their counterparts with higher exposure to fluctuation in market conditions. Originality/value The paper complements the sparse literature on market timing in the mutual fund industry with time-dynamic betas, information asymmetry and an endogeneity-robust empirical approach.
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Stankevičienė, Jelena, and Ieva Petronienė. "Bond Mutual Funds vs. Bond Exchange Traded Funds: Evaluation of Risk Adjusted Performance." Administrative Sciences 9, no. 2 (April 2, 2019): 31. http://dx.doi.org/10.3390/admsci9020031.
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Growing acceptance of passive bond exchange traded funds (ETFs) and actively managed bond mutual funds has exposed the need to find a divide between these two comparatively similar types of instrument. This paper provides a comparative analysis of actively managed bond funds and passive bond ETFs in the context of multiple criteria. The research of risk-adjusted performance of a sampled group of bond funds and ETFs using the TOPSIS multi-criteria decision-making method revealed that actively managed bond funds have a modest advantage over passive bond ETFs. Moreover, the final findings indicate the funds’ performance dependability on portfolio composition by fixed income sector.
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Patel, Mayank, Vinodh Madhavan, and Supratim Das Gupta. "Selection ability, timing ability, and performance persistence of Indian fixed income mutual funds." Journal of Asset Management 23, no. 1 (January 20, 2022): 46–61. http://dx.doi.org/10.1057/s41260-021-00253-x.
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Kidd, Deborah. "Controlling for Fixed-Income Exposure in Portfolio Evaluation: Evidence from Hybrid Mutual Funds." CFA Digest 39, no. 3 (August 2009): 62–64. http://dx.doi.org/10.2469/dig.v39.n3.38.
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Comer, George, Norris Larrymore, and Javier Rodriguez. "Controlling for Fixed-Income Exposure in Portfolio Evaluation: Evidence from Hybrid Mutual Funds." Review of Financial Studies 22, no. 2 (December 20, 2007): 481–507. http://dx.doi.org/10.1093/rfs/hhm087.
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Kiymaz, Halil. "Performance Evaluation of SRI Funds: An Analysis of Fund Types." Accounting and Finance Research 8, no. 1 (February 22, 2019): 212. http://dx.doi.org/10.5430/afr.v8n1p212.
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Socially responsible investing (SRI) continues to get the attention of both practitioners and academicians as the demands for these funds increased sharply during the last decade. This study provides additional evidence on performances of SRI in mutual funds. The empirical findings show that although SRI funds experience lower average returns relative to the non-SRI control sample and various benchmarks, they provide higher returns relative to the control group and benchmarks using various risk adjusted measures. Among the subgroups analyzed, SRI Fixed Income funds offer the highest risk adjusted returns to investors while SRI Global funds provide the lowest returns. Finally, using Jensen’s alpha for individual funds, we find that about half of the funds experience negative alphas and 20 percent of SRI funds have statistically significant negative alphas compared to 7 percent of funds with that of positive alphas. Overall, the findings show mixed results concerning SRIs performance.
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Sherrill, D. Eli, and Kate Upton. "Actively managed ETFs vs actively managed mutual funds." Managerial Finance 44, no. 3 (March 12, 2018): 303–25. http://dx.doi.org/10.1108/mf-03-2017-0067.
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Purpose The purpose of this paper is to study if actively managed exchange-traded funds (AMETFs) and actively managed mutual funds (AMMFs) are complements or substitutes. It also tests if there are tax or liquidity clientele effects. Design/methodology/approach The study investigates the relation between individual AMMF flows and aggregate AMETF flows as well as individual AMETF flows and aggregate AMMF flows. A 2013 tax change is used to analyze if a tax clientele effect exists between the AMETF and AMMF markets. The authors use differences in investor groups for institutional vs retail fund share classes to test for liquidity clientele effects. Findings The authors find that equity and mixed AMETFs and AMMFs are substitutes, although not perfect substitutes. Taxation-related differences between the two products create a clientele effect for fixed income and mixed funds where tax-sensitive investors are more likely to substitute AMETFs for AMMFs surrounding tax increases. There is weak evidence that institutional investors may prefer AMETFs more than retail investors because of their enhanced liquidity. Originality/value This is the first study to investigate the flow relation between AMETFs and AMMFs. The fast-paced growth of the AMETF area coupled with the substitutability between the two products and tax advantages of AMETFs has the capability to gain significant market share from AMMFs in the future.
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Khandani, Amir E., and Andrew W. Lo. "Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios." Quarterly Journal of Finance 01, no. 02 (June 2011): 205–64. http://dx.doi.org/10.1142/s2010139211000080.
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We establish a link between illiquidity and positive autocorrelation in asset returns among a sample of hedge funds, mutual funds, and various equity portfolios. For hedge funds, this link can be confirmed by comparing the return autocorrelations of funds with shorter vs. longer redemption-notice periods. We also document significant positive return-autocorrelation in portfolios of securities that are generally considered less liquid, e.g., small-cap stocks, corporate bonds, mortgage-backed securities, and emerging-market investments. Using a sample of 2,927 hedge funds, 15,654 mutual funds, and 100 size- and book-to-market-sorted portfolios of US common stocks, we construct autocorrelation-sorted long/short portfolios and conclude that illiquidity premia are generally positive and significant, ranging from 2.74% to 9.91% per year among the various hedge funds and fixed-income mutual funds. We do not find evidence for this premium among equity and asset-allocation mutual funds, or among the 100 US equity portfolios. The time variation in our aggregated illiquidity premium shows that while 1998 was a difficult year for most funds with large illiquidity exposure, the following four years yielded significantly higher illiquidity premia that led to greater competition in credit markets, contributing to much lower illiquidity premia in the years leading up to the Financial Crisis of 2007–2008.
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JebahShanthi, P., and G. Bhuvaneshwari. "Investment Pattern in Indonesia – An Overview." Restaurant Business 118, no. 4 (April 24, 2019): 146–52. http://dx.doi.org/10.26643/rb.v118i4.7995.
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As consumption varies across income groups, so does savings and investment pattern vary among investors.The Consumer Spending in Indonesia has increased from 1440498.70 IDR Billion in the third quarter of 2018 to 1441814 IDR Billion in the fourth quarter of 2018. The average consumer spending in Indonesia was 1168680.44 IDR Billion from 2010 until 2018, reaching an all-time high of 1441814 IDR Billion in the fourth quarter of 2018 and a record low of 926097.50 IDR Billion in the first quarter of 2010. This paper aims to examine the preferred investment avenues by Indonesians in Jakarta, Indonesia. The various avenues for investment in Indonesiaare share market, mutual funds, foreign exchange, properties, government bonds and fixed deposit in banks. The development of Islamic mutual funds (sharia) also plays a great role in Indonesia as the performance of Islamic mutual funds being pretty good. One of the reasons why People invest in sharia funds is that,it has got compatibility with Islamic ethics, which people strongly believe in as a part of their culture.
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Kusuma, Agung Jaya, and Mas Rahmah. "Perlindungan Hukum Bagi Investor Pemegang Unit Penyertaan Reksa Dana yang Memperjanjikan Fix Return." Jurist-Diction 4, no. 4 (July 1, 2021): 1285. http://dx.doi.org/10.20473/jd.v4i4.28438.
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AbstractWith the increasing number of people who develop mutual fund investment products, competition between Investment Managers as mutual fund managers is increasing. As a result, several investment managers commit fraud in the marketing of mutual fund product sales, one of which is offering Fix-Return Mutual Fund products. To analysis the problem, this research will review the validity of the mutual fund marketing which is offering a Fix Return income according to the Indonesian regulations, and the Liability of Investment Managers who sale the fixed-income mutual funds by promising a Fix Return. The type of this research is normative legal research with the statutory and conceptual approach. The results show that although the marketing of mutual fund products with Fix Return is formally regulated in the provisions of article 37 letter (d), Financial Services Authority Regulation Number:39/POJK.04/2014. However, investment managers who sale fix return mutual fund products may be punished by civil, administrative and criminal sanction because of their faud and misconduct. Keywords: Protection; Mutual Fund Participation Units; Fix Return.AbstrakDengan semakin maraknya masyarakat yang berinvestasi pada produk investasi reksa dana, membuat persaingan antar Manajer Investasi sebagai pihak pengelola reksa dana semakin meningkat. Akibatnya terdapat beberapa manajer investasi yang melakukan kecurangan dalam pemasaran penjualan produk reksa dananya, salah satunya yaitu dengan menjanjikan suatu imbal hasil pasti pada produk reksa dananya, atau juga dikenal dengan istilah Fix Return. Untuk menganalisis masalah tersebut, penelitian ini akan mengkaji validitas pemasaran reksa dana yang menawarkan pendapatan Fix Return menurut peraturan perundang-undangan di Indonesia dan Tanggung gugat Manajer Investasi yang memasarkan reksa dana jenis reksa dana pendapatan tetap dengan memperjanjikan Fix Return. Tipe penelitian yang digunakan dalam penelitian ini adalah penelitian hukum normatif dengan pendekatan perundang-undangan dan pendekatan konseptual. Hasil dari penelitian ini menunjukkan bahwa meskipun pemasaran produk reksa dana dengan Fix Return diatur dalam ketentuan pasal 37 huruf (d), Peraturan Otoritas Jasa Keuangan Nomor:39/POJK.04/2014, namun apabila Manajer Investasi memasarkan produk reksa dana dengan Fix Return, Manajer investasi dapat dikenakan sanksi perdata, administratif dan pidana apabila terbukti memasarkan produknya dengan Fix Return. Kata Kunci: Perlindungan Hukum; Unit Penyertaan Reksa Dana; Fix Return.
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Lemeshko, Oleksandra, and Oldřich Rejnuš. "Modeling the Size of the Mutual Fund Industry in Countries of Central and Eastern Europe." Financial Assets and Investing 6, no. 1 (January 31, 2015): 7–34. http://dx.doi.org/10.5817/fai2015-1-1.
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The rapid growth and development of the mutual fund industry throughout the world stimulated vast contemporary studies focusing on a wide range of issues predominantly of microeconomic character, such as fund performance, timing ability, fees and fund flows, thus leaving determinants and attributes of mutual fund industry development beyond their research. The rare relevant studies predict that development of the mutual fund industry depends on a number of factors among which the predominant role belongs to development of the economic and financial systems, and quality of governance and regulatory basis. One essential condition of validity of this prediction is that it is based upon a sample of developed economies, thus leaving a space for the likelihood that under condition of developing or middle-income economies some expectations may substantially deviate from the predication. This paper aims to reevaluate the significance of the impact of individual macro- and microeconomic factors, which were identified in previous studies, on size of asset under management in the sample of high- and middle-income economies of Central and Eastern Europe by means of regressing the total size of the mutual fund industry and size of its separate components, such as equity, fixed income and money market asset management over a number of independent variables. The obtained results indicate that out of a wide range of factors, the high explanatory power of which was stressed by earlier studies, only a small group of them turned out to be significant in our research. In particular, it was found that the size of the CEE mutual fund industry in general and the sizes of its particular segments respond positively on increase of country openness to trade and capital inflows, development and stability of local financial and capital markets, improvement of quality of governance and regulatory basis. Also some controversial evidence was obtained on the role of change in government indebtedness for explaining the size of the mutual fund industry – in general, there is a significantly positive impact of a decrease of central government debt on the size of CEE asset management, however its sign is not consistent across all subcategories of funds. Although the chosen sample does not cover as large a number of countries as previous studies, it provides brief insight into the CEE mutual fund industry, documenting important country and regional characteristics.
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Dalimunthe, Ibram Pinondang, and Ajeng Desni Lestari. "EFFECT OF INFLATION AND PRICE INDEX ON EQUITY ASSETS." EAJ (ECONOMICS AND ACCOUNTING JOURNAL) 2, no. 1 (April 4, 2019): 42. http://dx.doi.org/10.32493/eaj.v2i1.y2019.p42-51.
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The purpose of this study is to determine the effect of inflation and the equity price index on the net asset value of the Islamic Fixed Income Mutual Funds registered with the Financial Services Authority for the period from from 2011 to 2016. The type of search used is associative search. The data in this study are secondary historical data using Net Asset Value (NAV) and the share price index published by the Financial Services Authority (OJK), as well as inflation data published by Bank Indonesia for the period 2011-2016. The method used in this study uses regression analysis with panel data. The results show that inflation has a negative and significant impact on the net asset value. The equity price index has a positive and significant influence on the net asset value. Inflation and the equity price index simultaneously have a significant effect on the net asset value of Sharia mutual funds.
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Singh, Rudra Pratap. "A Study of Investors’ Perception on The Preference Over Tax Savings Options." Stallion Journal for Multidisciplinary Associated Research Studies 1, no. 1 (February 28, 2022): 1–8. http://dx.doi.org/10.55544/sjmars.1.1.1.
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For both salaried and businesspeople, the tax-saving season begins on April 1st. As a wise investor, you should seek out tax-saving assets that not only give tax benefits but also allow you to generate tax-free income. With the plethora of investment options available for investors for tax saving, it becomes increasingly difficult to choose a right option. Tax preparation, on the other hand, is a do-it-later issue for the majority of investors. Tax saving is the legitimate way to save the tax out go and every income tax assesse should exercise the option to increase their wealth. The paper aims to analyse the invertors’ perception towards tax saving options from most popular 80C and 80 (CCD) 1B from Gujarat region. The tax saving options considered are Tax saving fixed deposit, National saving certificates, public provident fund, Tax saving mutual funds, Life insurance, National Pension System (NPS), pension policies and Sukanya Samriddhi Yojana (SSY). The study revealed that life insurance, PPF and fixed deposit are the most preferred investment options and NPS and SSY are the least preferred options for tax saving.
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Flores, Francis Amim, Carlos Heitor Campani, and Raphael Moses Roquete. "The impact of alternative assets on the performance of Brazilian private pension funds." Revista Contabilidade & Finanças 32, no. 86 (August 2021): 314–30. http://dx.doi.org/10.1590/1808-057x202111870.
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ABSTRACT This article assesses the impact of alternative assets on the performance of Brazilian private pension funds. Few studies touch on this topic in Brazil and most only investigate the addition of alternative assets and their impact on the performance. The market of open private pension funds in Brazil has been growing rapidly in recent years and gaining much relevance, especially after the announcement of the reformulation of the Brazilian pension system. In 2018, the Free Benefit Generating Plan (PGBL) and the Free Benefit Generating Life (VGBL) represented more than 94% of total assets in their sector. The Brazilian specially constituted investment funds (FIEs) of PGBL and VGBL private pension plans are characterized by their dependence on fixed income assets. Brazil currently faces an unprecedent low interest rate scenario - which, following a worldwide panorama, seems to be set for a long time - and pension fund managers must search for alternative investments that aggregate both risk premia and diversification. The results of this study may support managers in this little-discussed matter. We compare the performance of FIEs without additional alternative assets versus the portfolio with alternative assets, adding a hedge fund index, an equity mutual funds index, a commodity index, an electric power index, a public utilities index, a gold index, and a real estate index. Several performance measures were used, considering Brazilian regulations and a rebalancing strategy. Our results showed that almost all alternative assets used in this study improved the performance of the Brazilian FIEs of PGBL and VGBL private pension plans, especially the public utilities index and the hedge fund index. Some even improved the portfolio tail risk.
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Inayati, Arni Dini, and Imron Mawardi. "Pengaruh Tracking Error dan Risiko terhadap Kinerja Reksa Dana Indeks Syariah di Indonesia." Jurnal Ekonomi Syariah Teori dan Terapan 9, no. 3 (May 31, 2022): 325–37. http://dx.doi.org/10.20473/vol9iss20223pp325-337.
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ABSTRAK Penelitian ini bertujuan untuk menganalisis pengaruh tracking error dan risiko terhadap kinerja reksa dana indeks syariah di Indonesia. Penelitian ini melakukan pengujian analisis regresi linier berganda pada lima sampel dengan menggunakan data nilai aktiva bersih dan return JII dan reksa dana indeks syariah yang terdaftar pada Otoritas Jasa Keuangan sampai Desember 2019. Hasil pengujian menunjukkan bahwa tracking error tidak memiliki pengaruh signifikan terhadap kinerja reksa dana indeks syariah dan tingkat risiko berpengaruh positif dan signifikan terhadap kinerja reksa dana indeks syariah. Kata kunci: Kinerja reksa dana indeks syariah, Tracking error, Risiko, Analisis regresi linier berganda. ABSTRACT This study aims to analyze the impact of tracking error and risk on Islamic index mutual fund performance in Indonesia. This study ran multiple linear regression analyses on five samples using the net asset values and returns of JII and Islamic index mutual funds that are listed in the Financial Services Authority using data until December 2019. The result showed that tracking error had no significant effect on the performance of Islamic index mutual funds, while the level of risk had a significant positive effect on the performance of Islamic index funds. Keywords: Islamic index mutual fund performance, Tracking error, Risk, Multiple linear regression analysis. DAFTAR PUSTAKA Adhi, N., Aji, D. P., & Winarni, W. (2021). Reksadana syariah dan konvensional di Indonesia. Jurnal Keunis (Keuangan Dan Bisnis), 9(2), 120-131. https://doi.org/10.32497/keunis.v9i2.2629 Agapova, A. (2011). Conventional mutual index funds versus exchange trade fund. Journal of Financial Markets, 14(2), 323–343. https://doi.org/10.1016/j.finmar.2010.10.005 Alam, N. (2013). A comparative performance analysis of conventional and Islamic exchange-traded funds. Journal of Asset Management, 14(1), 27–36. https://doi.org/10.1057/jam.2012.23 Anggara, A. W., & Yulianto, A. (2017). Analisis kinerja reksa dana saham dengan metode sharpe, treynor, dan jensen. Management Analysis Journal, 6(1), 13–22. Arifin, E. S. (2017). Kinerja reksadana saham syariah di Indonesia. Jurnal Ekonomi dan Bisnis, 17(1), 82–86. https://doi.org/10.30811/.v17i1.363 Asmoro, R. M. S., & Syaichu, M. (2022). Analisis pengaruh umur reksa dana, tingkat risiko, expense ratio, turnover ratio, dan market timing ability terhadap kinerja reksa dana saham syariah periode 2016-2020. Diponegoro Journal of Management, 11(2), 1–12. Basya, M. M., & Utami, B. S. A. (2021). Pengaruh alokasi aset, pemilihan saham dan tingkat risiko terhadap reksadana saham syariah di indonesia tahun 2015-2019. Al-Muraqabah: Journal of Management and Sharia Business, 1(1), 1–15. Benjelloun, H., & Abdullah A. M. A. (2009). Index funds and diversification in Saudi Arabia. International Journal of Islamic and Middle Eastern Finance and Management, 2(3), 201–212. https://doi.org/10.1108/17538390910986335 Biswas, S. (2015). Assessing market risk of Indian index funds. Global Business Review, 16(3), 511–523. https://doi.org/10.1177/0069966715569938 Charteris, A., & McCullough K. (2020). Tracking error Vs tracking difference: Does it matter?. Investment Analysts Journal, 49(3), 268–287. https://doi.org/10.1080/10293523.2020.1806480 Dorocáková, M. (2017). Comparison of ETF´s performance related to the tracking error. Journal of International Studies, 10(4), 154–165. https://doi.org/10.14254/2071-8330.2017/10-4/1 DSN MUI. (200). Fatwa DSN MUI No. 20/DSN-MUI/IX/2000 tentang pedoman pelaksanaan investasi untuk reksa dana syariah. Retrieved from http://mui.or.id/wp-content/uploads/files/fatwa/20-Pedoman_Investasi_Reksa_Dana.pdf Elton, E. J., Gruber, M. J., & Busse, J. A. (2004). Are investors rational? Choices among index funds. The Journal of Finance, 59(1), 261–288. https://doi.org/10.1111/j.1540-6261.2004.00633.x Fama, E. F., & French, K. R. (2010). Luck versus skill in the cross-section of mutual fund returns. Journal of Finance, 65(5), 1915–1947. https://doi.org/10.1111/j.1540-6261.2010.01598.x Frino A., & Gallagher D. R. (2001) Tracking S&P 500 index funds. Journal of Portfolio Management, 28(1), 44–55. https://doi.org/10.3905/jpm.2001.319822 Gani, I., & Amalia S. (2018). Alat analisis data: Aplikasi statistik untuk penelitian bidang ekonomi dan sosial. Yogyakarta: Andi. Iman, N. (2008). Panduan singkat dan praktis: Memulai investasi reksa dana. Jakarta: Elex Media Komputindo. Johnson, B., Bioy H., Kellet A., & Davidson L. (2013). On the right track: Measuring tracking efficiency in ETFs. Journal of Index Investing, 4(3), 35–41. https://doi.org/10.3905/jii.2013.4.3.035 Kandarisa, A. (2014). Perkembangan dan hambatan reksadana syariah di Indonesia: Suatu kajian teori. Jurnal Akuntansi AKUNESA, 2(2), 1–18. Kostovetsky, L. (2003). Index mutual funds and exchange-traded funds. The Journal of Portfolio Management Summer, 29(4), 80–92. https://doi.org/10.3905/jpm.2003.319897 Kusumastiti, F., & Ryandono, M. N. H. (2019). Pengaruh risiko sistematis, market timing dan ukuran dana terhadap kinerja reksa dana pendapatan tetap syariah di Indonesia Periode 2014-1018. Jurnal Ekonomi Syariah Teori dan Terapan, 6(12), 2409–2421. https://doi.org/10.20473/vol6iss201912pp2409-2421 Lestari, W. R. (2015). Kinerja reksadana saham syariah dan reksadana saham konvensional. Jurnal Magister Manajemen, 1(1), 116–128. Mawikere, J. C. (2021). 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. International Journal of Economics, Business and Accounting Research, 5(4), 636-655. Muhammad. (2014). Dasar-dasar keuangan syariah. Yogyakarta: Ekonisia. Negoro W, E. D., Widiyanti, M., Andriana, I., & Taufik, T. (2022). Analisis perbandingan kinerja reksa dana saham konvensional dan reksa dana saham syariah pada reksa dana yang terdaftar di Otoritas Jasa Keuangan. Jurnal Manajemen dan Bisnis Sriwijaya, 19(4), 203–218. https://doi.org/10.29259/jmbs.v19i4.15868 Ojih, J. (2014). Index fund factor: The view beyond the wall. Open Journal of Social Sciences, 2(9), 193–198. http://dx.doi.org/10.4236/jss.2014.29033 Paliwal, R. (2014). Tracking errors of exchange traded funds and index funds. WCOT Working Papers, 1–24. Rivai, V., & Veithzal A. P. (2008). Islamic financial management. Jakarta: RajaGrafindo Persada. Rompotis, G. G. (2009). Interfamily competition on index tracking: The case of the vanguard ETFs and index funds. Journal of Asset Management, 10(4), 263–278. http://dx.doi.org/10.1057/jam.2009.11 Rudiyanto. (2016). Seri panduan investasi: Reksa dana untuk pemula. Jakarta: Elex Media Komputindo. Saritas, H. (2004). Indexing and index fund. Dokuz Eylul Universitesi Iktisadi ve Idari Bilimler Dergisi, 19(1), 31–44. Samsul, M. (2006). Pasar modal dan manajemen portofolio. Surabaya: Erlangga. Sarkar, S. S., Dutta S., & Dutta P. (2013). A review of Indian index funds. Global Business Review, 14(1), 89–98. https://doi.org/10.1177/0972150912466445 Sart, C. F. D., & Vuuren, G. W. V. (2021). Comparing the performance and composition of tracking error constrained and unconstrained portfolios. Quarterly Review of Economics and Finance, 81, 276–287. https://doi.org/10.1016/j.qref.2021.06.019 Sivakumar, S. (2017). A comparative study on the performance of index funds. International Journal of Current Research, 9(10), 60007–60011. Soemitra, A. (2009). Bank dan lembaga keuangan syariah. Jakarta: Kencana. Strydom, B., Charteris A., & McCullough K. (2016). The relative tracking ability of South African exchange traded funds and index funds. 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Kambali, Muhammad. "MEKANISME PENGELOLAAN DANA TABARRU’ ASURANSI SYARIAH PRUDENTIAL LIFE ASSURANCE." JES (Jurnal Ekonomi Syariah) 2, no. 1 (September 4, 2017): 91–101. http://dx.doi.org/10.30736/jes.v2i1.30.
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Sharia Insurance according to a binding ruling in religious matters (fatwa) of the National Shari'ah Board of the Indonesian Ulama Council no: 21 /DSN-MUI/ X / 2001 is a mutual effort to help among a number of people/parties through investment in assets or tabarru' which provides a pattern of return to face certain risks through engagement in accordance with the sharia. PRUlink sharia is an insurance product associated with sharia-based investment. PRUlink Syariah is designed to meet the society's need for future financial designs in accordance with Islamic principles of sharia. There are two types of product of PRUlink Syariah insurance, namely PRUlink Syariah Investor Account and PRUlink Syariah Assurance Account. Kind of Product in PRUlink Syariah is contract between policy holders using contract of tabarru which is called hibah and the owner of the policy/participant premises sharia insurance company using contract of tijarah called wakalah bin ujrah. In sharia insurance there is a surplus sharing that will be distributed to customers calculated at the end of the calendar year. This can be obtained if there are more funds than tabarru' accounts that have been reduced by claims and debt to the company if any. How is PRUlinksyariah managed in Prudential? The result of the research shows that PRUsyariah premium management in Prudential is separated by two accounts, namely tabarru' account and investment account. The own fund is managed by Eastpring Investment, that is manager company from Asia prudential, while allocation of fund is invested in stocks and obligation which is in accordance with sharia principles contained in the Jakarta Stock Exchange. For the choice of investment in PRUsariah, there are three options of investment, namely Sharia-Rupiah Equity Fund, Sharia-Rupiah Managed Fund or Sharia-Rupiah fixed Income fund, in accordance with the choice of the next participant. From the investment result the participant agrees to pay tabarru’ contribution directly input into tabarru' account. Tabarru’ funds are fully owned by participants and used to pay claims participants claim at any time, but if there is tabaaru’ funds excess with claims total in one year as of 31 December paid, then tabarru’ surplus or that is called surplus will be distributed participants that meet the requirements to get the surplus.
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Shaikh, Salman Ahmed. "Incorporating Private Savings Behavior in Product Offerings: A Case Study of Pakistan." Signifikan: Jurnal Ilmu Ekonomi 10, no. 2 (July 23, 2021): 247–58. http://dx.doi.org/10.15408/sjie.v10i2.20139.
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In order to enhance understanding about the actual savings behaviour and impulses which drive savings behaviour, it is interesting to study the micro foundations of savings behaviour. Collecting micro data through filled questionnaire from households in urban areas, this study identifies the motives of savings and the instruments and channels where the savings are invested in Pakistan. The results reveal that investment motive, higher income and greater frequency of household members joining labor force for earning incomes enhance the monthly savings rate. The results can be used to offer Islamic investment deposits in an attractive way. If the investment deposits are pitched properly by highlighting the stable ex-post investment returns and low ex-post volatility, then people with an investment motive parking their savings in fixed income mutual funds would be attracted towards Islamic investment deposits. Likewise, incremental long term savings plans wherein periodic investments increase over a period of time can be offered given that monthly savings rate are found to be positively associated with income. Finally, joint investment accounts can be offered given the finding that monthly savings rate is higher in households with greater number of earning members in family.JEL Classification: G11, G21, G23How to Cite:Shaikh, S. A. (2021). Incorporating Private Savings Behavior in Product Offerings: A Case Study of Pakistan. Signifikan: Jurnal Ilmu Ekonomi, 10(2), 247-258. https://doi.org/10.15408/sjie.v10i2.20139.
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Highsmith, Doug. "The Street.com Ratings' Guide to Common Stocks: A Quarterly Compilation of Ratings and Analyses Covering Common Stocks Traded on the NYSE, AMEX and NASDAQ; The Street.com Ratings' Guide to Stock Mutual Funds: A Quarterly Compilation of Investment Ratings and Analyses Covering Equity and Balanced Mutual Funds; The Street.com Ratings' Guide to Bond and Money Market Mutual Funds: A Quarterly Compilation of Investment Ratings and Analyses Covering Fixed Income Funds; The Street.com Ratings' Guide to Exchange-Traded Funds: A Quarterly Compilation of Investment Ratings and Analyses Covering ETFs and Other Closed-End Mutual Funds; The Street.com Ratings' Guide to Banks and Thrifts: A Quarterly Compilation of Financial Institutions Ratings and Analyses." Journal of Business & Finance Librarianship 13, no. 4 (August 2008): 525–28. http://dx.doi.org/10.1080/08963560802202466.
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Du, Ding, Zhaodan Huang, and Peter J. Blanchfield. "Do fixed income mutual fund managers have managerial skills?" Quarterly Review of Economics and Finance 49, no. 2 (May 2009): 378–97. http://dx.doi.org/10.1016/j.qref.2008.02.005.
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Kuzmin, V. N. "Experience in supporting viticulture in the European Union." Horticulture and viticulture, no. 1 (April 20, 2020): 49–57. http://dx.doi.org/10.31676/0235-2591-2020-1-49-57.
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In connection with the creation of the subprogram for the development of viticulture in the framework of the Federal scientific and technical program for the development of agriculture for 2017-2025 the analysis of foreign experience in supporting this sub-sector is relevant. The countries of the European Union (EU) are collectively the main producers, consumers and exporters of grape wine in the world. The goal of the EU viticulture support system is to bring the wine-growing and wine-making sector to structural change that are protected from a permanent market crisis. Each EU member-state has a budget set by the EU and can choose from the eight areas of support provided (promotion of wine products within the EU and in third-country markets – up to 50 % of regulated expenses; restructuring and rearrangement of wine yards – up to 50-75%; investment in tangible or intangible fixed assets, processing plants, wine infrastructure, marketing structures and tools for the production or sale of wine products – up to 40-75 %; innovation – supports material or non-material investments aimed at developing new products, procedures and technologies that improve the marketing and competitiveness of EU wine products – up to 50-75 % of regulated costs; distillation of by-products of wine in order to eliminate them and thus improve the quality of wines; “green” harvest-destruction of part or complete destruction of unripe grapes in a certain area-up to 50 % of the direct costs of destruction plus loss of income associated with destruction or disposal; mutual funds – for farmers who want to insure against market fluctuations; crop insurance), which must be applied within the framework of national programs to support agricultural industries for a period of five years. Goals, planned results, the range of organizations that can receive this support, the application procedure, eligibility criteria, subsidized and non-subsidized expenses, standard (normative) unit costs, the procedure for selecting applications, priority criteria and appropriate weighting, the timing of payment of subsidies, and advances are defined for each support area.
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Thukral, Shagun, Sunder Korivi, Dipasha Sharma, and Dipali Krishnakumar. "Too little, too late? Role of credit rating agencies in the Amtek AUTO default." Emerald Emerging Markets Case Studies 7, no. 4 (November 13, 2017): 1–22. http://dx.doi.org/10.1108/eemcs-09-2016-0195.
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Subject area Fixed Income markets, Financial Markets and Institutions. Study level/applicability This case can be used in a postgraduate finance course such as an MBA and executive program for courses such as Fixed Income Markets and Financial Markets and Institutions. Case overview In late August 2015, the sudden downgrade and eventual default of Amtek AUTO Ltd (Amtek) on its debentures upset mutual fund investors and regulators. Questions were raised about the credit rating agencies and their lack of timely action as well as about the independent credit analysis followed by fund houses to protect the interests of investors. One such investor, Suresh Nair, decided to gather all possible available information on Amtek to determine whether it was sheer negligence on the part of all parties involved or if Amtek was in fact in a situation of sudden distress. The case seeks to highlight the credit analysis process, while looking out for red flags to identify potential default or financial stress in a company. Expected learning outcomes To understand the credit analysis process through a fundamental analysis process. To analyze and interpret the financial position of the company through various financial ratios. Identifying “red flags” while evaluating a potential credit that pose as “risks” to credit assessment. Understanding the role and relevance of credit rating agencies in the bond market. Supplementary materials Teaching Notes are available for educators only. Please contact your library to gain login details or email support@emeraldinsight.com to request teaching notes. Subject code CSS 1: Accounting and Finance
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Mawikere, Jessica Claudia. "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." International Journal of Economics, Business and Accounting Research (IJEBAR) 5, no. 4 (January 16, 2022). http://dx.doi.org/10.29040/ijebar.v5i4.3401.
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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.