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The analysis of market timing, exchange rate of us dollar, and inflation to equity fund performance during 2011-2017

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  • Nathalia Angelina Lucas
  • Jenry Cardo Manurung
  • Adler Haymans Manurung
  • Bahtiar Usman

Abstract

The objective of this paper is to explore return of equity fund, impact of market timing, inflation and Exchange rate of US Dollar. Henrikson and Merton as well as Treynor and Mazuy method is used to see return of equity fund, impact of market timing, inflation and Exchange rate of US Dollar. Inflation and exchange rate of US Dollar is added to Henrikson and Merton Model as well as Treynor and Mazuy Model.  The result are equity fund return are affected by market return, market timing abiliy of investment manager are not significantly exist in equity fund. Inflation and exchange rate of US Dollar  affect equity fund return so investor need to pay attention to both variable when investing in equity fund.  JEL classification numbers: G20

Suggested Citation

  • Nathalia Angelina Lucas & Jenry Cardo Manurung & Adler Haymans Manurung & Bahtiar Usman, 2019. "The analysis of market timing, exchange rate of us dollar, and inflation to equity fund performance during 2011-2017," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(5), pages 1-7.
    • Handle: RePEc:spt:apfiba:v:9:y:2019:i:5:f:9_5_7
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    References listed on IDEAS

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    3. Issam Abdalla & Victor Murinde, 1997. "Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 25-35.
    4. Teresa L. Conover, 1997. "A Comparative Analysis of the Market Model and the Multiple‐Factor Market Model," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(5), pages 657-666, June.
    5. Grant, Dwight, 1978. "Market Timing and Portfolio Management," Journal of Finance, American Finance Association, vol. 33(4), pages 1119-1131, September.
    6. Joshua M. Pollet & Mungo Wilson, 2008. "How Does Size Affect Mutual Fund Behavior?," Journal of Finance, American Finance Association, vol. 63(6), pages 2941-2969, December.
    7. Teresa L. Conover, 1997. "A Comparative Analysis of the Market Model and the Multiple-Factor Market Model," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(5), pages 657-666.
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    Cited by:

    1. Nurul Wahyuni Wulandari & Zaenal Arifin, 2021. "Performance of Equity Mutual Fund in Indonesia: The Effect of Mutual Fund and Macroeconomic Factors," International Journal of Research and Scientific Innovation, International Journal of Research and Scientific Innovation (IJRSI), vol. 8(2), pages 105-111, February.

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    More about this item

    Keywords

    market timing; equity fund; return; Inflation; Exchange Rate;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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