EFFECT OF STOCK SELECTION ABILITY, MARKET TIMING ABILITY, FUND SIZE, AND IHSG TO MUTUAL FUND PERFORMANCE

Abstract

This study aims to analyze the effect of stock selection ability, market timing ability, fund size, and IHSG on the performance of equity funds registered in the Financial Services Authority {Otoritas Jasa Keuangan) for the period 2015-2019. The data used in this research are stock mutual funds NAV, BI Interest Rate, IHSG, stock mutual fund returns, market return, risk free, and standard deviation of 10 stock mutual funds that meet the purposive sampling criteria. Equity mutual fund performance is measured using the Sharpe Ratio. The data analysis technique used in this study uses panel data analysis which begins with determining the right model by performing the Chow test and Lagrange Multiplier test and based on the results of these tests that the appropriate model used in this study is the common effect model (CEM). The classical assumption test consists of normality test, heteroscedasticity test and multicollinearity test. The method used to test the hypothesis is the t test and the coefficient of determination test is also carried out. The test results show that the variable stock selection ability, market timing ability, and IHSG partially affect the performance of equity funds. Meanwhile, the fund size variable in a partial way has no effect on the performance of equity funds.