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International Journal of Business and Society
Article . 2021 . Peer-reviewed
License: CC BY NC SA
Data sources: Crossref
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International Journal of Business and Society
Article
License: CC BY NC SA
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Prediction Model for the Persistence of Sharia Mutual Fund Performance in Indonesian Capital Market

Authors: null Zaenal Arifin; null Sri Mulyati;

Prediction Model for the Persistence of Sharia Mutual Fund Performance in Indonesian Capital Market

Abstract

Over the period of 2010 to 2012, the performance of Islamic mutual funds in Indonesia saw a high degree of persistence. However, the persistence rate decreased in the period of 2014 to 2016. Given such fluctuated rate, this research tries to identify the factors that influence the persistence of the mutual fund performance and, based on these factors, creates the predictive modelling of persistence rate. The samples of the study included all sharia mutual funds offered from 2010 to 2016 in Indonesian capital market. To construct the model, we used the Logit equation, while to evaluate the accuracy of the prediction model, we used the Expectation- Prediction Evaluation with a prediction evaluation for success of 0.5. The results of this study indicate that,of the whole mutual fund, the best model is a model involving the following variables: (1) the time interval since the mutual fund was launched, (2) the rank of the mutual funds, whether it was at the top 5 within 1-2 years after the launch, and (3) the number of newcomer funds during persistence testing. The level of accuracy of this model, when it was used to predict the whole sharia mutual fund persistence, was 64%. When the model was used to predict the persistence of equity performance of mutual fund, its level of accuracy rose to 77.78%. Whereas in the use to predict the persistence of fixed income mutual funds the accuracy rate amounted to 70%. The persistence of predictive model for mixed funds was based on different factors of compositions: (1) the number of funds under management, (2) the fact whether the mutual funds are in the top 5 within 1-2 years after the launch, and (3) the number of newly coming funds during persistence testing. This model had an accuracy level of 75%. It is expected that this study be used as a guide for investors wishing to invest in sharia mutual funds.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
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