Evaluate the capability of mutual funds invested in domestic stocks to be managed and not managed by commercial banks

Abstract

This independent study is to study the capability of mutual funds to invest in domestic stocks that are managed and not managed by commercial banks. A study on the change in net asset value (NAV) monthly, which an active fund management fund (Active Fund) has a no-dividend policy for 5 years for 47 funds by comparing the performance of mutual funds that invest in domestic stocks that are managed and not managed by commercial banks that which fund can operate the fund better performance is measured by finding the rate of return, risk, coefficient of variance. Measure performance based on the Sharpe, Treynor, Jensen model and measure the performance of fund managers on investment timing with the quadratic regression of Treynor and Mazuy and Henriksson & Merton model.

The analysis found that mutual funds managed by commercial banks offer better returns, which averaged 0.5071% or 91.1765%. The Standard deviation (S.D) of mutual funds not managed by commercial banks offer slightly less risk as an average of 5.1164% or 69.2308% consistent with the High Risk High Return theory and every 1% of return that has to be traded for that risk. It was found that mutual funds managed by commercial banks had a lower CV of 94.11765%. Overall the Sharpe, Treynor, and Jensen benchmarks showed the same results. The gauge is a mutual fund managed by commercial banks for performance Sharpe is 0.0074697, Treynor is 0.004186, and Jensen is 0.002991. Each of the gauges is 91.1765% with the capability to it perform better than mutual funds are not managed by commercial banks.

From the performance of the fund keeper, the capability of the timing of the investment using Treynor and Mazuy's quadratic regression model, the fund manager's portfolio selection average had a positive  in both groups, but mutual funds managed by commercial banks had  positive can select better securities, which was at 0.0047 out of 34 funds in the group, 16 funds were found to have the ability to select securities significantly at the confidence level of 95%, representing 47.06%. As for the timing of investment, it was found that both groups both were negative averages. However, it was found that there was one fund with a statistically significant investment timing ability at 0.05, the KFENS50-A fund is  of 1.0300, which was in the mutual fund group managed by commercial banks at 2.94% therefore if considering the positive and statistical significance of 0.05 concluded mutual funds invested in domestic stocks to be managed by commercial banks have a slightly better investment timing ability.

The Henriksson & Merton model found that the fund managers' stock selection averages were positive  in both groups but mutual funds managed by commercial banks are better at selecting securities at 0.0063 of 34 funds in the group found 21 funds with significant stock selection capability at 95% confidence level, representing 61.76%. As for the timing of investment, it was found both groups both were negative averages. However, it was found that there was one fund with a statistically significant investment timing ability at 0.05, the KFENS50-A fund with a value of 0.2686, which was in the mutual fund group managed by commercial banks at 2.94%. Therefore, if considering the positive and statistically significant 0.05 group of funds managed by commercial banks has a slightly better investment timing ability. So it can be concluded mutual funds managed by commercial banks has better fund management capabilities than mutual funds not managed by commercial banks.