Journal of Applied Finance & Banking

The analysis of market timing, exchange rate of us dollar, and inflation to equity fund performance during 2011-2017

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• Abstract

   

  The objective of this paper is to explore return of equity fund, impact of market timing, inflation and Exchange rate of US Dollar. Henrikson and Merton as well as Treynor and Mazuy method is used to see return of equity fund, impact of market timing, inflation and Exchange rate of US Dollar. Inflation and exchange rate of US Dollar is added to Henrikson and Merton Model as well as  Treynor and Mazuy Model.  The result are equity fund return are affected by market return, market timing abiliy of investment manager are not significantly exist in equity fund. Inflation and exchange rate of US Dollar  affect equity fund return so investor need to pay attention to both variable when investing in equity fund.

   

  JEL classification numbers: G20

  Keywords: market timing, equity fund, return, Inflation, Exchange Rate