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The Treynor-Mazuy Conditional Model: Overview of Market Timing and Stock Selection on Equity Mutual Funds Performance

Musdalifah Azis, Rusdiah Iskandar, Lusiana Desy Ariswati, I Made Surya Negara Sudirman and Dio Caisar Darma
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Musdalifah Azis: Faculty of Economics and Business, Universitas Mulawarman, Indonesia
Rusdiah Iskandar: Faculty of Economics and Business, Universitas Mulawarman, Indonesia
Lusiana Desy Ariswati: Faculty of Economics and Business, Universitas Mulawarman, Indonesia
I Made Surya Negara Sudirman: Faculty of Economics and Business, Universitas Udayana, Indonesia
Dio Caisar Darma: Department of Management, Sekolah Tinggi Ilmu Ekonomi Samarinda, Indonesia

Economic Alternatives, 2022, issue 2, 252-263

Abstract: This study explores market timing and stock selection by investment managers during the Covid-19 in Indonesia. By applying several sample criteria to the population of mutual funds registered at OJK, we found 55 stock mutual funds using the purposive sampling. We processed data using the STATA16 computer program. The Treynor-Mazuy conditional inflation and exchange rate model, according to the findings of this study, can show that market timing and stock selection for mutual fund managers have a positive and significant impact on improving the performance of equity fund portfolios during the pandemic in Indonesia. In Indonesia, there are 5 equities mutual funds having positive or market timing skills, accounting for 9.09 percent of all equity mutual funds, whereas the remaining 90.91 percent do not. The positive coefficient of the gamma variable shows that the investment manager’s ability to market time is expected to result in higher stock mutual fund returns. Positive or stock selectivity characteristics are available in 45 equity mutual funds, or 81.18 percent. The contribution of this study focuses on exchange rate and inflation. However, there needs to be a relevant followup comparison before the pandemic occurs. In addition, it is necessary to consider other elements in the macro-economy.

Keywords: inflation; exchange rate; Treynor Mazuy; market timing; stock selection (search for similar items in EconPapers)
JEL-codes: A11 C24 C52 E31 E64 (search for similar items in EconPapers)
Date: 2022
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