Article

GSTF Journal on Business Review (GBR)

, 4:16

First online:

Open Access This content is freely available online to anyone, anywhere at any time.

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

  • Sylviana Maya DamayantiAffiliated withSchool of Business and Management, Institut Teknologi BandungUniversity of Padjadjaran
  • , Cici CintyawatiAffiliated withProgram in School of Business Management, Bandung Institute of Technology

Abstract

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

Keywords

Equity Mutual Funds Performance Determinants of Mutual Funds Sharpe (key words)