Articles

Investment Strategy, Manager Characteristics, and Corporate Governance Effects on Mutual Fund Performance: A Study of PT Asuransi Jiwasraya (Persero) During Period of 2013-2018

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This study aims to examine the relationships between investment strategies, investment manager characteristics, and corporate governance on the investment performance of PT Asuransi Jiwasraya (Persero)’s mutual funds investment from 2013 to 2018. The year 2013 marked the introduction of a new bancassurance product, which necessitated PT AJS to generate higher returns on investment in a short-term period. The sudden change in management in 2018 brought the mismanagement case to public attention. The analysis utilized a cross-sectional multilinear regression approach, allowing for the examination of multiple independent variables and their relationship with the dependent variable. Data for the study is collected from various sources, including annual reports, financial reports, prospectuses, and court documents. The relationships are assessed using seven regression models, with measures such as mean return, standard deviation, beta, Sharpe ratio, Treynor ratio, Jensen’s Alpha, and state loss as the dependent variables. The regression models are estimated using SPSS software, and assumptions of linearity, independence of errors, homoscedasticity, and absence of multicollinearity are checked to ensure the validity of the analysis. Hypothesis testing is conducted to determine the statistical significance of the relationships, and measures such as R-squared, adjusted R-squared, and F-statistic are used to assess the overall goodness-of-fit of the models. The findings indicate that the models for mean return, Treynor ratio, Jensen’s Alpha, and state loss are statistically significant, demonstrating a strong correlation and high explanatory power. The results suggest that value investing and smaller market capitalization of constituent stocks have a positive association with investment performance. Additionally, reducing the presence of dividend-paying and suspect stocks is beneficial for investment performance. Factors such as management fees, education background, and years of experience show significant positive relationships, while investment horizon, asset size, and past performance have significant negative relationships with investment performance. The age of the investment manager does not exhibit a significant relationship. Furthermore, corporate governance demonstrates a negative relationship with investment performance. These findings provide valuable insights for improving investment performance and offer important lessons to prevent similar cases of mismanagement of investment funds in the future.

A Study on Behavioural Bias & Investment Decision from Perspective of Indonesia’s Cryptocurrency Investors

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Cryptocurrency, an innovative asset class that is widely adopted by investors around the world. Indonesia is no exception to this, increasing the investor adoption up to 12 million investors in 2022. This number is very significant compared to Indonesia stock market investors that is only around 7 million investors. Various literatures have covered cryptocurrency in terms of pricing strategy and technicalities, so this paper extends the understanding of cryptocurrency dynamics from a behavioral finance perspective that is still less developed in Indonesia. This paper aims to explore the relationship between financial literacy, behavioral bias as well as its implication on the investment decision making process and investment performance from the perspective of investors based on Indonesia’s cryptocurrency investors at online communities. This paper used Structural Equation Modeling (SEM) to predict the relation between variables. Our results show that financial literacy has an impact on each behavioral bias. While the behavioral biases that investigate in this study have different result in term of impact on decision-making process and the investment performance. Overconfidence, herding and anchoring are the biases that significantly influence invertor’s decision making in scope of cryptocurrency market in Indonesia. This study outcome may help investors understand and increase the awareness of investor’s investment behavior and decision-making process, and parallel to that the regulators and other stakeholders may use the insight to improve investor’s protection.