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Kinerja Pengelolaan Dana Pada Pasar Modal Indonesia
The mutual fund is a fast growing, flexible and sizely attainable product, hence make it as favourable choice for the investors. As in other developing countries, however, the management of the fund invested in mutual fund is done by pointed fund manager. This paper raises and answers the question of how efficient the fund management is. This paper ustilizes the decomposition return model on the monthly data set from 2002-2006 in Indonesia. The model derived, enable us to trace and decompose the management performance into (i) the allocation policy skill, (ii) the security selection skill and (iii) the market timing strategy or the tactical asset allocation abilty. The model estimation result shows significant management capabilities on allocating the fund into suitable asset class. We record that the best asset allocation policy was on February 2002, June 2004, August 2004 and February 2006. Inline with this, another result shows the negatif contribution of the short term-tactical asset allocation as conformed by several previous studies; Treynor-Mazuy (1996), Wardhani (2003), and Henriksson (1984) among others. There is an exception for February 2006 where a successful market timing strategy contributed an additional 7.34% return. The security selection strategy is confirmed to have a positive and significant impact on the mutual fund performance. During the observation period, the best security selection strategy was achieved on February, March and July 2002, September 2003, and March, October, and December 2005. For these certain period, the security selection activities gave more than 2% additional monthly return..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| BEMP1004 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Jakarta Bank Indonesia., |
|---|---|
| Edisi | - |
| Subjek | Market timing Mutual fund Asset allocation Security selection period specific estimation financial investment. |
| ISBN/ISSN | 14108046 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |