Factors influencing equity fund performance: evidence from Indonesia
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Author(s)Sigit SanjayaLink to ORCID Index: https://orcid.org/0000-0001-6278-6465
,
Yosi Yulia
,
ElfiswandiLink to ORCID Index: https://orcid.org/0000-0002-4798-9675
,
Zerni Melmusi
,
Faradilla Suretno
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DOIhttp://dx.doi.org/10.21511/imfi.17(1).2020.14
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Article InfoVolume 17 2020, Issue #1, pp. 156-164
- 995 Views
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143 Downloads
This work is licensed under a
Creative Commons Attribution 4.0 International License
This study aims to discover the factors that affect equity fund performance in companies listed on the Indonesia Stock Exchange (IDX) during 2015–2018. This research is quantitative. Past performance, stock selection skills, market timing abilities, fund size, fund age are independent variables, while fund performance is the dependent variable. The population in this study was 73 equity funds. A total of 21 equity funds were selected as the sample by the purposive sampling method. The analytical method used is panel data regression analysis using the EViews program. Hypotheses were tested using a t-test with a significance level of alpha 0.05. The results show that equity fund past performance, stock selection skill, market timing ability, fund size, fund age and IDX composite index simultaneously have a significant effect on equity fund performance. Stock selection skill and IDX composite index partially have a positive and significant effect on equity fund performance. However, past performance, market timing ability, fund size and fund age have no positive and significant effect on equity fund performance.
Acknowledgment
All authors would like to thank Universitas Putra Indonesia YPTK Padang and Yayasan Perguruan Tinggi Komputer for financial support. Any remaining errors are our own.
- Keywords
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JEL Classification (Paper profile tab)G23, G32
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References34
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Tables10
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Figures1
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- Figure 1. Normality test
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- Table 1. Sample selection
- Table 2. Descriptive statistics
- Table 3. F-test and R-squared result
- Table 4. t-test result
- Table A1. Chow test result
- Table A2. Hausman test result
- Table A3. Lagrange multiplier test
- Table A4. Heteroskedasticity test by using Glejser test
- Table A5. Multicolinearity test
- Table A6. Autocorrelation test
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Factors affecting equity mutual fund performance: evidence from Indonesia
Gusni ,
Silviana ,
Faisal Hamdani
doi: http://dx.doi.org/10.21511/imfi.15(1).2018.01
Investment Management and Financial Innovations Volume 15, 2018 Issue #1 pp. 1-9 Views: 2846 Downloads: 787 TO CITE АНОТАЦІЯThe evaluation of equity mutual fund performance and identification factors that affect mutual fund performance is of great interest to an investor in Indonesia. This study investigates the performance of equity mutual fund by using risk-adjusted performance proposed by Treynor (1965) and examines factors affecting mutual fund performance by using the ability of investment manager (market timing and stock selection skill), fund size, and inflation. To achieve the objectives of this study, a total of 19 equity mutual funds was selected using purposive sampling method from the period from 2011 to 2015. A panel data analysis method has been used to analyze the effect of those factors on the equity mutual fund performance. The result showed that equity mutual fund performance tends to fluctuate in Indonesia. Equity mutual fund performance influenced by stock selection skill and inflation, meanwhile, market timing skill and fund size have no significant effect on the equity mutual fund performance.
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Investigating key funds characteristics influencing their investment performance in Saudi Arabia: A dynamic panel data approach
Samira Ben Belgacem ,
Wafa Ghardallou ,
Razan Alshebel
doi: http://dx.doi.org/10.21511/imfi.18(2).2021.24
Investment Management and Financial Innovations Volume 18, 2021 Issue #2 pp. 298-311 Views: 1343 Downloads: 383 TO CITE АНОТАЦІЯThe study examines if specific characteristics of funds influence the performance of Saudi equity mutual funds. Previous research has explored various aspects of mutual funds. However, the Saudi Arabia literature focuses on evaluating the funds’ performance. Hence, this study seeks to close this gap by providing a framework to explain the equity fund performance. Several risks adjusted performance measures are applied such as Jensen’s alpha, lower partial moment alpha, Sharpe ratio, LPM-Sharpe ratio using the dynamic panel specification over the period 2010–2019. Based on the LPM alpha, the risk-adjusted return analysis reveals that the Saudi equity funds outperformed their benchmark over the full sample period. The empirical results show that major fund-specific characteristics such as fund size, past performance, and flow explain future performance. Besides, the evidence confirms that Saudi funds benefit from the economies of scale and expertise, while funds requiring higher levels of initial investment tend to exhibit lower performance levels. These findings provide investors and fund managers with useful information to make the optimal investment decisions in the mutual fund industry.
