Style analysis: asset allocation and evaluation of sharia equity fund performance / Opi Prisilia and Acong Dewantoro Marsono.

Prisilia, Opi and Marsono, Acong Dewantoro (2020) Style analysis: asset allocation and evaluation of sharia equity fund performance / Opi Prisilia and Acong Dewantoro Marsono. Journal of Emerging Economies & Islamic Research, 8 (2). pp. 1-9. ISSN 2289-2559

Abstract

Knowing the funds' style can reduce investment risk. This paper describes the characteristic style of sharia equity funds in Indonesia. We use the return based style analysis model that consists of ten asset class and eight sharia equity funds. The model run by using quadratic program and rolling window method. The results indicate that fund managers apply a passive strategy to manage sharia equity funds. The managers allocate the fund in all asset class proportionally, but they prefer to allocate most of the fund to the trading asset class. Only 12.5% of the sharia equity fund that actual performance outperforms the style performance. The passive strategy style is the best way to manage the sharia equity fund in Indonesia.

Metadata

Item Type: Article
Creators:
CreatorsID Num. / Email
Prisilia, OpiUNSPECIFIED
Marsono, Acong DewantoroUNSPECIFIED
Subjects: H Social Sciences > HG Finance
H Social Sciences > HG Finance > Investment, capital formation, speculation
Divisions: Universiti Teknologi MARA, Selangor > Puncak Alam Campus > Faculty of Business and Management
Journal or Publication Title: Journal of Emerging Economies & Islamic Research
Journal: UiTM Journal > Journal of Emerging Economies and Islamic Research
ISSN: 2289-2559
Volume: 8
Number: 2
Page Range: pp. 1-9
Item ID: 32108
Uncontrolled Keywords: Style Analysis, Return Based, Style Analysis, Asset Allocation, Sharia Mutual Fund Performance
URI: http://ir.uitm.edu.my/id/eprint/32108

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