Measuring Selectivity and Market Timing Performance of Mutual Funds in
                        Indonesia Using Single and Dual Beta Models

Paramita, V. Santi; Sembiring, Ferikawita M.; Safitri, Diah

doi:10.18502/kss.v3i10.3515

Cited by 3 publications

(4 citation statements)

References 9 publications

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“…Thus, positive and significant market timing and selectivity skills were chosen as the best model as a constructed portfolio for individual investors. This was supported by Paramita et al (2018) and Das and Rao (2015), where positive and significant would contribute to investors in achieving superior in market timing and stock selection.…”

Section: Market Timing and Stock Selectionmentioning

confidence: 75%

“…At the same time, Lee and Rahman (1990), showed that there was evidence for market timing and selectivity skill abilities for unit trust level in the US. Low (2012) and Paramita et al (2018), found that fund managers in Malaysia and Indonesia had market timing ability but not superior in selectivity skills. Chang and Lewellen (1984), also stated that mutual funds in the US were superior in market timing ability only which contributed a positive effect in return.…”

Section: Literature Reviewmentioning

confidence: 99%

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Market Timing and Stock Selection Strategies in Shariah- Compliant Stock Portfolio

Halim¹,

Elias²,

Kamil³

2021

JSSH

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This study focuses on market timing and stock selection strategies that could be implemented by individual investors of Shariah-compliant equity using the top ten constituents of the FTSE Bursa Malaysia Hijrah Shariah Index. Investors are assumed to enter and exit the stock market following the buy-and-sell signal from Moving Average Crossover. Meanwhile, for stock selection, this study aims to construct the optimal portfolio using the Sharpe Ratio Maximisation model and Naïve (1/N) portfolio. The level of market timing and selectivity skills of individual investors following the suggested investment strategies will be measured by using the Treynor-Mazuy model. The empirical results showed that the best Moving Average Crossover gave plausible trading frequencies and provided the most return to investors was the (1, 100, 0.01) strategy. Albeit, the stock allocation for the constructed portfolio was less diversified compared to the Naïve (1/N) portfolio, the composition of portfolio weights of the constructed portfolio was able to offer a more than average risk to reward ratio. Furthermore, in the out-of-sample framework, both portfolios outperformed the market benchmark. Unlike previous studies, this study backed tests the strategy and found that it was beneficial for individual investors of Shariah-compliant equities to enhance market timing and selectivity skills in stock investment.

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Section: Market Timing and Stock Selectionmentioning

confidence: 75%

Section: Literature Reviewmentioning

confidence: 99%

Market Timing and Stock Selection Strategies in Shariah- Compliant Stock Portfolio

Halim¹,

Elias²,

Kamil³

2021

JSSH

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“…A comparative study on domestic and foreign equity funds in Indonesia. International Research Journal of Management,IT and Social Sciences,6(4), 54-61. https://doi.org/10.21744/irjmis.v6n4.642 59 Positive and significant stock selection values indicate that equity funds can produce a greater return than market returns (Paramita et al, 2018). As many as 3 (three) domestic investment company stock equity funds that have a positive and significant stock selection capability, while only 1 (one) foreign investment company shares have a positive and significant stock selection capability during the study period.…”

Section: Comparison Of Domestic and Foreign Stock Equity Funds In Indmentioning

confidence: 99%

A comparative study on domestic and foreign equity funds in Indonesia

Suartawan

Artini

2019

irjmis

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The aim of this study is to analyze and compare the performance between domestic and foreign equity funds in Indonesia seen from the Treynor index, market timing, and stock selection ability. The population of this study is all equity funds registered in OJK (Financial Services Authority) in Indonesia, with a sample of 38 domestic equity funds and 25 foreign equity funds during the 2016-2018 period. The samples were collected by using a nonprobability sampling method with a purposive sampling technique. Data were analyzed using the Mann-Whitney U test. The results of this study show that the performance of foreign equity funds is better than the domestic equity funds seen from the Treynor index. The market timing ability of foreign equity funds is better than domestic equity funds. The stock selection ability of domestic equity funds is better than foreign equity funds. The practical implication of this study for investors and capital market players is to provide empirical evidence that there is a significant difference between the domestic and foreign equity funds performance in Indonesia, that can be considered in investment strategies. For investment companies that manage equity funds can be a reference to performance improvement, especially for negative performance.

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“…The theory of modern portfolio investment is minimizing risk and increasing returns by diversifying investment, an investment instrument that applies this principle is Mutual Funds [7]. Mutual funds is a company that pools money from a group of people with investment goals to buy securities in money market or equity market instrument [8]. It embodies professional management, portfolio diversification and low transaction cost [9].…”

Section: Introductionmentioning

confidence: 99%

Analysis of Factors Affecting the Performance of Fixed Income Mutual Funds in Indonesia (Study on RDPT Registered on OJK for the Period 2014-2018)

Kusumawati¹,

Paramita²

2020

Proceedings of the International Conference on Environmental and Technology of Law, Business and Education on Post Covid 19, IC

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Measuring Selectivity and Market Timing Performance of Mutual Funds in Indonesia Using Single and Dual Beta Models

Abstract: .

Cited by 3 publications

References 9 publications

Market Timing and Stock Selection Strategies in Shariah- Compliant Stock Portfolio

Market Timing and Stock Selection Strategies in Shariah- Compliant Stock Portfolio

A comparative study on domestic and foreign equity funds in Indonesia

Analysis of Factors Affecting the Performance of Fixed Income Mutual Funds in Indonesia (Study on RDPT Registered on OJK for the Period 2014-2018)

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