Murhadi, Werner-Ria (2010): Performance Evaluation Of Mutual Funds In Indonesia. Published in: ProceedingsThe 3rd National Conference on Management Research , Vol. March, No. 3rd (9. March 2010): pp. 1-12.
Download (116kB) | Preview
This paper is an empirical assessment of the performance of mutual fund managers in terms of “market timing” and “selectivity”, within the framework suggested by Treynor and Mazuy (1966) and Henriksson and Merton (1981). The relevant data set is a balanced panel of fifty five mutual funds, over a seventeen-month period beginning on February 2008 until June 2009. The result find that only four mutual fund have a good performance in market timing and four mutual fund have a good performance in stock selection. Both methods have a good indicator to reflect mutual funds performance.
|Item Type:||MPRA Paper|
|Original Title:||Performance Evaluation Of Mutual Funds In Indonesia|
|Keywords:||market timing, stock selection, mutual funds|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions
G - Financial Economics > G2 - Financial Institutions and Services > G20 - General
|Depositing User:||werner murhadi|
|Date Deposited:||28. Sep 2010 20:45|
|Last Modified:||30. Dec 2015 20:46|
Athanassakos, G., P. Carayannopoulus and M. Racine, 2002, How Effective is Aggressive Portfolio Management, Canadian Investment Review, Fall, p. 39- 49. Becker, C., W. Ferson, D. Myers, and M. Schill, 1999, Conditional market timing with benchmark investors, Journal of Financial Economics 52, 119-148 Bello, Z.Y., and V. Janjigian, 1997, A Re-examination of The Market Timing and Security Selection Performance on Mutual Funds, Financial Analyst Journal, 53, p.24-30 Andiel, K., M. Grinbaltt, S. Titman and R. Wermers, 1997, Measuring Mutual Fund Performance with Characteristics Based Benchmark, Journal of Finance, 52(3), p.1035-1058. Elton, E., M. Gruber, S. Das, and M. Hlavka, 1993, Efficiency with Costly Infonnation: A Reinterpretation of Evidence from Managed Portfolios, Review of Financial Studies, Vol. 6(1), p.l-22 Fama, E., 1972, Component of Investment Performance, Journal of Finance, Vol. 27(3), p.551-567. Friend, I., and D. Vickers, 1965, Portfolio Selection and Investment Performance, The Journal of Finance, Vol. XX, No.3, p.391-415. Gallagher, D.R., 2001, Attribution of Investment Performance: An Analysis of Australian Pooled Superannuation Funds, Journal Accounting and Finance, Vol. 41 (1&2), p. 41-62. Gallagher, D.R., 2002, Investment Performance Evaluation, Working Papers, Sirca. Grinblatt, Market & Sheridin Titman, 1989, Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings, Journal of Business, Vol.62, No.3, pp. 393- 416. Hallahan, T., and R. Faff, 1999, An examination of Australian equity trusts for selectivity and market timing performance, Journal of Multinational Financial Management , 9, 387-402 Henriksson, R., 1984, Market timing and investment performance: An empirical investigation, Journal of Business 57(1), 73-96 Henriksson, Roy D., and Robert C. Merton, 1981, On Market Timing and Investment performance II: Statistical procedures for Evaluating Forecasting Skills, Journal of Business. Jensen, Michael C., 1968, The Performance of Mutual Funds in the period 1945- 1964, Journal of Finance, 23. Jensen, M.C., 1972, Optimal Utilization of Market Forecast and The Evaluation of Investment Performance, Mathematical Methods in Investment and Finance, Amsterdam, North Holland. Lintner, J., 1965, The Valuation of Risk Assets and The Selection of Risky Investment in Stock Portfolios and Capital Budget, Review of Economics and Statictics, Vol. 47, p.13-37. Mossin, J., 1966, Equilibrium in Capital Asset Market, Econometrica, Vol. 34(4), p.768-783. Phillipas, N., 2002, Market Timing and Selectivity: An Empirical Investigation into the Features of Greek Mutual Funds Manager, The Journal of Applied Business Research, Vol.18(3), p.97-108. Treynor, Jack L., and Kay K. Mazuy, 1966, Can Mutual Funds Outguess the Markets, Harvard Business Review ,44, July-August,pp.131-136. Tripathy, N.P., 2006, Market Timing Abilities and Mutual Fund Performance: An Empirical Investigation into Equity Linked Saving Schemes, Working Paper, Indian Institute ofManagement Sharpe, William L., 1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risks, Journal of Finance, Vol. 19(3), p.425-442. Sharpe, William L., 1966, Mutual Fund Performance, Journal of Business, Vol.39(2), p.119-138. Sinclair, N., 1990, Market timing ability of pooled superannuation funds January 1981 to December 1987, Journal Accounting & Finance, 30, 511-565 William F. Sharpe, 1966, Mutual Fund Performance, Journal of Business, 39, No.1, Jan, pp. 119-138.