Performance Analysis of Mutual Funds Based on Market Timing Ability and Stock Selection Skill during COVID-19 Pandemic in Indonesia

Abstract

This research aims to analyze the effect of market timing ability and stock selection skills on the performance of stock mutual funds during the Covid-19 pandemic in Indonesia. The Treynor-Mazuy Unconditional model and Treynor-Mazuy Conditional model are used to calculate market timing ability and stock selection skill, considering the account macroeconomic variables named inflation and the rupiah exchange rate. The type of this research is a quantitative descriptive study with a sample of 55 stock mutual funds with assets above IDR 500 billion. The data analysis technique used is multiple linear regressions using STATA 16 analysis tool. The result shows that market timing ability and stock selection skill unconditional model have a significant effect on the performance of stock mutual funds. The calculation of the unconditional model produces a positive value. Investment managers of equity mutual funds in Indonesia do not yet have good market timing skills, while the ability to choose stocks is better. The conditional model shows insignificant results on the performance of equity mutual funds. The market timing conditional model produces a positive number, while the ability to choose the stock produces a negative number. This shows that when considering the economic conditions of a country, the performance ability of investment managers in market timing will increase, while the ability of stock selection will reduce the performance of a stock mutual fund. The level of volatility during the pandemic creates uncertainty so that macroeconomic variables as control variables need to be considered in making investment decisions. Keyword: Mutual fund performance, market timing ability, stock selection skill, Treynor Mazur Unconditional Model, Treynor Mazur Conditional Model.