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

Author

Listed:
  • 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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    1. repec:bjc:journl:v:8:y:2021:i:2:p:105-111 is not listed on IDEAS

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    JEL classification:

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

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