Relative Short-Term Persistence and Absolute Short-Term Persistence of Islamic Mutual Funds in Indonesia

DOI

10.2991/miceb-17.2018.15How to use a DOI?

Keywords

sharia mutual funds, short-term performance, persistence, relative performance persistence, absolute performance persistence

Abstract

The development of Islamic mutual funds in Indonesia is quite rapid, but unfortunately there is currently no islamic/sharia mutual fund investment model that helps investors choose the right sharia mutual funds. Therefore, we conduct a study to find investment model of Islamic mutual fund in Indonesia. The first step in creating a mutual fund investment model is to test the persistence level of Islamic mutual fund performance. In this study, we tested the relative short-term persistence and absolute short-term persistence. Relative persistence is done by looking at whether the existing funds in the top five in a given month remain in the top five in the following months. Absolute persistence is tested with the Autoregressive Moving Average (ARMA) time series model. By using Sharia mutual fund samples from 2010 to 2016 this study found the following three points. First, stock mutual funds and mixed mutual funds have relatively high relative-short-term-persistence in the early period of the research year (2010-2012) but then decline thereafter but fixed income mutual funds have an up-and-down pattern of persistence. Second, in general, stock mutual funds have the highest relative-short-term -persistence, followed by mixed mutual funds, and fixed income mutual funds. Third, judging from absolute-short-term -persistence, only fixed income mutual funds have persistent performance. The results of this study are expected to contribute to the study of Islamic investment, especially in order to find a model of investing in Islamic mutual funds.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Zaenal Arifin
AU  - Sri Mulyati
PY  - 2017/10
DA  - 2017/10
TI  - Relative Short-Term Persistence and Absolute Short-Term Persistence of Islamic Mutual Funds in Indonesia
BT  - Proceedings of the Mulawarman International Conference on Economics and Business (MICEB 2017)
PB  - Atlantis Press
SP  - 94
EP  - 100
SN  - 2352-5428
UR  - https://doi.org/10.2991/miceb-17.2018.15
DO  - 10.2991/miceb-17.2018.15
ID  - Arifin2017/10
ER  -