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.

The Investment Strategy of Sector Rotation over Business Cycles in the Indonesia Stock Exchange to Generate Superior Return

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The investment strategy of sector rotation over business cycles is one of the investment strategies in The Indonesia Stock Exchange. The basic philosophy of the investment strategy of sector rotation is to invest assets in sectors that are expected to perform well and avoid sectors that are expected to perform otherwise. In this research, the investment strategy of sector rotation begins with the identification of the business cycle based on Indonesia’s economic growth or GDP data. The business cycle is divided into four stages referring to the movement of the GDP value, namely early contraction, late contraction, early expansion and late expansion. After the four stages of the business cycle the time period is found, the performance of stocks from each sector is calculated by the return and the amount of risk that accompanies it in the format of the average per sector, to find out which sectors have good performance at each stage of the business cycle. Sector performance is assumed to be good if the average rate of return can exceed the performance of the JCI which is used as a benchmark. After successfully identifying sectors that have good performance at each stage of the business cycle, the next step is compiling a portfolio. There are two portfolios formed, namely Portfolio A and Portfolio B. Portfolio A is composed of each sector whose performance is only if it is higher than the JCI and is selected at each stage of the business cycle. Meanwhile Portfolio B is compiled from each sector and selected at each stage of the business cycle whose performance is if and only if it is higher than the JCI and must be positive. Then the performance of the portfolio and the JCI is calculated by calculating the value of the growth rate of return by considering the risk during the period of one business cycle. The calculation results obtained are as follows: Portfolio A grew by 116.52%, Portfolio B 158.41% and JCI – 4.43%. Meanwhile, the Sharpe Ratio for Portfolio A is 2.92, Portfolio B is 4.73 and JCI is – 0.65. From these results it can be seen that the growth in the value of portfolio investment compiled from the investment strategy of sector rotation is quite larger than the growth of the JCI which is used as a benchmark, so it can be said that this strategy produces a superior return.

Implementation of Magic Formula and Acquirer’s Multiple Stock Investment Strategy in The Indonesia Stock Exchange

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The Indonesia Capital Market has experienced a significant increase in investors from 2019 until now. The increase in the number of new Indonesian capital market investors is dominated by people under 30 years who prefer to invest in stocks and mutual funds. This increase in new investors does not follow by high financial literacy. Research regarding financial literacy and investment return in Indonesia showed that financial literacy affects investment return. Therefore, Indonesia’s new investors will most likely experience losses due to their lack of financial literacy. Even though there are equity funds for novice stock investors that help them minimize the error they would make if they invest themselves, they cannot choose the equity funds randomly since most equity funds cannot beat the market benchmark. This study proposed using the Magic Formula and Acquirer’s Multiple as an investment strategy for new investors in Indonesia. Both Magic Formula and Acquirer’s Multiple generated an average annual return greater than the market and Indonesia Equity Funds listed since 2016 with an average return of 26,24% and 26,32% annually. The Sharpe ratio of both methods also generated a higher ratio than the market, where Magic Formula generated an average Sharpe ratio of 0,930 annually, while Acquirer’s Multiple generated an average ratio of 1,038. The acquirer’s Multiple is recommended for novice investors because it outperforms the Magic Formula and the market in terms of actual annual returns and risk-adjusted returns.