Analysis of the influence of asset allocation policy, investment manager performance, and risk level on the performance of Sharia money market mutual funds in Indonesia

Anisah Firli; Risris Rismayani; Dinna Miftahul Jannah

doi:10.12688/f1000research.109708.1

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Research Article

Analysis of the influence of asset allocation policy, investment manager performance, and risk level on the performance of Sharia money market mutual funds in Indonesia

[version 1; peer review: 1 not approved]

Anisah Firli¹, Risris Rismayani¹, Dinna Miftahul Jannah¹

PUBLISHED 11 Jul 2022

Author details Author details

¹ School of Economics and Business, Telkom University, Telekomunikasi No. 1, Bandung, 40257, Indonesia

Anisah Firli
Roles: Conceptualization, Methodology, Project Administration, Validation, Writing – Original Draft Preparation, Writing – Review & Editing

Risris Rismayani
Roles: Conceptualization, Formal Analysis, Project Administration, Validation, Writing – Original Draft Preparation, Writing – Review & Editing

Dinna Miftahul Jannah
Roles: Conceptualization, Data Curation, Methodology, Software, Writing – Original Draft Preparation

OPEN PEER REVIEW

REVIEWER STATUS

Abstract

Background: Islamic money market mutual funds have become an alternative to conventional investment instruments. This research has novelty in determining the variables of mutual fund performance by combining risk and return factors, asset allocation policy variables, and investment manager performance, which have a high impact on the return and risk level in reducing the risk of loss on investment. In addition, this research was conducted on the performance of Islamic money market mutual funds that have not been studied before.
Methods: This research uses data on Islamic money market mutual funds registered with the Financial Services Authority in Indonesia. The performance of Islamic money market mutual funds was calculated using the Sharpe Method and tested using multiple regression analysis.
Results: The results showed that the asset allocation policy, investment manager performance, and the level of risk simultaneously have a significant effect on the performance of Islamic money market mutual funds in Indonesia; however, partially, there is no significant effect between (1) the asset allocation policy on the performance of Islamic money market mutual funds in Indonesia: (2) investment manager performance on the performance of Islamic money market mutual funds in Indonesia, and (3) the level of risk on the performance of Islamic money market mutual funds in Indonesia.
Conclusions: The results indicated that optimization of returns and risks was needed by considering the composition of asset allocation, choosing the right investment manager, and conducting a good risk level analysis to obtain optimal Islamic money market mutual fund performance.

Keywords

Asset Allocation, Investment Manager, Risk Level, Performance, Money Market, Mutual Fund

Corresponding author: Anisah Firli

Competing interests: No competing interests were disclosed.

Grant information: The author(s) declared that no grants were involved in supporting this work.

Copyright: © 2022 Firli A et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

How to cite: Firli A, Rismayani R and Jannah DM. Analysis of the influence of asset allocation policy, investment manager performance, and risk level on the performance of Sharia money market mutual funds in Indonesia [version 1; peer review: 1 not approved]. F1000Research 2022, 11:768 (https://doi.org/10.12688/f1000research.109708.1) First published: 11 Jul 2022, 11:768 (https://doi.org/10.12688/f1000research.109708.1) Latest published: 11 Jul 2022, 11:768 (https://doi.org/10.12688/f1000research.109708.1)

Introduction

The Otoritas Jasa Keuangan (OJK/Financial Services Authority) stated that Islamic mutual funds in Indonesia had developed significantly from year to year. Initially, in 2013 there were only 50 products, and in 2018 there were 198 products.¹ Numerous investors choose sharia mutual funds as an alternative to conventional mutual funds because the benefits are great, yet the risks received are not higher than conventional mutual funds.² Amid negative sentiment hitting Indonesia's stock and bond markets, money market mutual funds experienced positive performance in 2018, which grew 4.18%.³ Basic assets in deposits and increased interest rates increase the likelihood that returns on money market mutual funds will also rise.⁴ The performance of money market mutual funds will be stable at a positive level if the benchmark interest rate does not decline.⁵ Moreover, money market mutual funds have a smaller risk value than other mutual funds.⁶

A mutual fund has good asset performance with a high asset allocation value.⁷ Researchers have examined the effect of asset allocation policy variables on mutual fund performance in Islamic equity mutual funds,⁸^,⁹ tested the variables of mutual fund investment manager performance,¹⁰ and examined the level of risk as a variable that affects equity fund performance.¹¹^,¹² This current research was conducted using more complete variables by combining the risk and return factors (asset allocation policy, investment manager performance, and risk level). It was carried out on a new object, namely Islamic money market mutual funds, which have not been the focus of previous research.

Research framework

Based on the phenomenon and literature review, to determine that the optimal performance of a mutual fund can be influenced by asset allocation policies, investment manager performance, and the level of risk, hypothesis testing was carried out on the performance of money market mutual funds. Figure 1 illustrate the relationship between the variables. The arguments that drive the relationships of studied research variables are as follows:

(1) Asset allocation policy

Asset allocations refer to various asset classes (e.g., money market securities, bank accounts, long-term bonds, stocks, tangible assets, and others) that are allocated in investment portfolios.¹³ Asset allocation is also defined as various asset classes invested according to their composition and proportion. Hence, performance depends on the allocation of the funds.¹⁴ The Asset Class Factor Model¹⁵ can measure the effectiveness of the asset allocation policy. To gain a greater return for investors, the appropriate allocation of funds is carried out to encourage the performance of Islamic equity funds.¹⁶^,¹⁷ The notion of allocation funds is also supported by research that found that stock mutual funds have positive and significant results influenced by policy.¹⁸^-²⁰ Moreover, findings from another empirical study explained that the asset allocation policy affects the performance of equity funds.¹¹^,²¹

Hypothesis 1:

Asset allocation policy has a significant effect on the performance of Islamic money market mutual funds that are registered with the OJK.

(2) Investment manager performance

Prior research affirmed that the measurement of investment manager performance includes assessing the ability to manage investor funds, asset selection, investment timeliness, and diversification through portfolios.¹¹ Investment manager performance can be measured through two abilities, namely the market timing ability (an investment manager’s ability to invest according to the market conditions) and Stock Selection Ability (an investment manager’s ability to determine asset choices and manage investor funds).⁷ Furthermore, empirical research also showed that the investment managers’ abilities include decomposing assets, estimating the predictability of asset performance, market timing, and the portfolio of asset selection.²²

To optimize mutual fund performance and returns, one of the supporting indicators is the performance of investment managers, which includes a composition of market timing abilities and stock selection abilities.⁷ In line with that, further research found that the performance of investment managers has a significant effect on the performance of equity funds.¹⁰

Hypothesis 2:

Investment managers’ ability significantly affects the performance of Islamic money market mutual funds registered with the OJK.

(3) Risk level

A risk is a form of uncertainty about things that will occur later in investment decisions and include interest rate, market risk, inflation risk, business risk, financial risk, liquidity risk, currency exchange risk, and country risk.²³ Risk is also defined as a difference between the expected and actual returns; the greater the difference, the greater the risk.²⁴ According to empirical research, every investment of funds in the form of a portfolio has a risk,²⁵^,²⁶ which means that an investment has a risk that affects the performance of Islamic mutual funds.¹⁶ Further research also concluded that the level of risk influences the performance of equity funds.⁷

Hypothesis 3:

Risk level has a significant effect on the performance of Islamic money market mutual funds that are registered with the OJK.

Hypothesis 4:

Asset allocation policy, investment manager performance, and risk level simultaneously affect the performance of Islamic money market mutual funds registered with the OJK.

Figure 1. Research framework.

Methods

Study design

This study used the quantitative method. The unit of analysis was the organization, and the study object was the shares of companies registered with the OJK. The time dimension used was time series, which involves data collected over several years (2015-2018) that provides an overview of the development of an activity or situation. This research took place in 2019 and was conducted on Islamic money market mutual funds registered with the OJK between 2015 and 2018, with a total sample of 36 Islamic money market mutual funds.

Sampling

This study used purposive sampling with the following criteria: Islamic money market mutual funds operating between January 2015 and December 2018 that their respective investment managers actively manage. The total sample obtained in this study was 36 Islamic money market mutual funds.

Data collection

There is one dependent variable in this research, namely the Islamic money market mutual funds’ performance, and three independent variables: asset allocation policy, investment manager performance, and risk level. Data from funds used in this study were obtained from the official website of the OJK www.ojk.go.id by searching the financial reports, annual reports, and prospectus’ of each mutual fund registered with OJK between 2015-2018.

Mutual fund performance data collected included:

1. Asset allocation, obtained from data on the proportion of assets, including sharia, Sukuk, and mudhabarah deposits, as well as return data from each asset
2. Investment manager performance, obtained from data on return of the portfolio, risk-free assets, and the stock market, as well as regression coefficient data of excess market return or slope when the market is down and regression coefficient that indicates the ability of market timing from the investment manager
3. The level of risk obtained from the return and expected return
4. Performance of Islamic money market mutual funds obtained from the average performance of a certain sub-period Mutual Fund and the average risk-free investment performance of a certain sub-period

We accessed the website https://www.pasardana.id/fund/search and then filtered the type of “sharia”, currency “IDR”, and date (each month of 2015, 2016, 2017, and 2018). The search list was narrowed again by typing the specific name of mutual funds, which were:

• BNI-AM Dana Lancar Syariah
• BNI-AM Dana Pasar Uang Syariah Amerta
• Bahana Likuid Syariah
• Mandiri Kapital Syariah
• Mega Dana Kas Syariah
• PNM Pasar Uang Syariah
• EMCO Barokah Syariah
• Insight Money Syariah
• Trimegah Pundi Kas Syariah

From this search, we obtained the “managed fund” and “participation unit” data for each month of 2015, 2016, 2017, and 2018 for every mutual fund that we listed.²⁸

Analysis

These obtained data were then tabulated in Excel and then calculated using SPSS. The asset allocation policy variable was measured using Sharpe’s Asset Class Factor Model, the investment manager performance using the Treynor-Mazuy Model, the level of risk using the Standard Deviation Formula, and the performance of the Islamic money market mutual funds using the Shape Ratio (Table 1).

Table 1. Variable operationalization.

Variable	Data processing method
Asset allocation policy (X1)	Asset Class Factor Model $R_{it} = [b_{i 1} F_{1 t} + b_{i 2} F_{2 t} + b_{i 3} F_{3 t}] + ε_{it}$
Investment Manager Performance (X2)	$R_{p} - R_{f} = α + β (R_{m} - R_{f}) + γ {(R_{m} - R_{f})}^{2} + ε_{p}$
Risk Level (X3)	$σi = \sqrt{\frac{\sum_{i = 1}^{n} {\{R_{i} - E (R_{i})\}}^{2}}{N}}$
Performance of Islamic Money Market Mutual Funds (Y)	S_RD = $\frac{{Performance}_{RD} - {Performance}_{RF}}{σ}$

Data were tabulated for asset allocation policy variables by calculating the proportion of mutual fund allocation, the rate of return for each mutual fund, and error terms. Tabulated data for investment manager performance was obtained by calculating the return of the portfolio, return of risk-free assets, return for the stock market, and intercept that indicates stock selection from the investment manager. Tabulated risk level data was obtained by calculating return period-i, expected return, and the number of observations. Tabulated mutual fund performance data was obtained by calculating the Sharpe ratio value, the average performance of a certain sub-period Mutual Fund, the average risk-free investment performance of a certain sub-period, and the Mutual Fund standard deviation for a certain sub-period.

Data collection was carried out using the following stages: 1. Calculate the Asset Allocation Method with the following formula

R_{it} = [b_{i 1} F_{1 t} + b_{i 2} F_{2 t} + b_{i 3} F_{3 t}] + ε_{it}

x_{1} = b_{i 1} F_{1 t} = Asset Allocation for Syariah mutual funds

x_{2} = b_{i 2} F_{2 t} = Asset Allocation for Sukuk

x_{3} = b_{i 3} F_{3 t} = Asset Allocation for mudhabarah deposits

Class Factor Model (Sharpe, 1995) Asset allocation policies were analyzed

$R_{it}$ = asset return i for t period

$b_{i 1}$ = proportion for mutual fund i for asset allocation 1, namely syariah

$b_{i 2}$ = proportion for mutual fund I for asset allocation 2, namely Sukuk

$b_{i 3}$ = proportion for mutual fund I for asset allocation 3 yaitu mudhabarah deposits

$F_{1 t}$ = return obtained from asset class index 1, namely ISSI in period t

$F_{2 t}$ = return obtained from asset class index 2, namely the 12-month deposit interest rate in period t

$F_{3 t}$ = return obtained from asset class index 3, namely the 3-month deposit interest rate in period t

$ε_{it}$ = error term (selecting process) including timing and stock picking

2. Calculate Investment Manager Performance using Treynor-Mazuy Model:

R_{P} - R_{F} = α + β (R_{m} - R_{f}) + γ {(R_{m} - R_{f})}^{2} + ε_{p}

R_p = Return of portfolio

R_f = Return of risk-free assets

R_m = Return for stock market

α = Intercept that indicates stock selection from investment manager

β = Regression coefficient of excess market return or slope when the market is down

γ = Regression coefficient that indicates the ability of market timing from investment manager

ε_p = error term

3. Calculate Risk Level using standard deviation:

σ i = \sqrt{\frac{\sum_{i = 1}^{n} {\{R_{i} - E (R_{i})\}}^{2}}{N}}

$σ_{i}$ = Standard Deviation

$R_{i}$ = Return period i

$E (R_{i})$ = Expected return

N = number of observations

4. Performance of Islamic money market mutual funds

Sharpe Ratio:

S_{RD} = \frac{{Performance}_{RD} - {Performance}_{RF}}{σ}

$S_{RD} =$ Sharpe ratio value

${Performance}_{RD}$ = the average performance of a certain sub-period Mutual Fund

${Performance}_{RF}$ = the average risk-free investment performance of a certain sub-period

$σ =$ Mutual Fund standard deviation for a certain sub-period

Hypothesis testing was carried out using Multiple Linear Regression Analysis (F test and t-test) to test the effect simultaneously and partially between variables. The data were tested using classical assumption tests (normality using the Kolmogorov-Smirnov test, multicollinearity using the VIF test, autocorrelation, and heteroscedasticity). The data were processed using SPSS software version 26.

Results and discussion

The asset allocation policy for Islamic money market mutual funds increased from 2015 to 2016 and from 2017 to 2018. During these years, five out of nine sharia money market mutual funds experienced a significant decrease in the average value of their asset allocation policies, while four out of nine Islamic money market mutual funds experienced an average increase of around one point. Meanwhile, from 2016 to 2017, there was a decline. The overall decline in that year is presented in Table 2 below.

Table 2. Asset allocation policy.

No.	Mutual fund name	Years
No.	Mutual fund name	2015	2016	2017	2018
1	BNI-AM Dana Lancar Sy.	4.6037	3.7234	2.7229	3.6031
2	BNI-AM Dana Pasar Uang Sy. Amerta	4.7184	4.7187	2.7183	3.6389
3	Bahana Likuid Sy.	4.6127	3.7967	4.7817	2.8613
4	Mandiri Kapital Sy.	3.7520	4.7182	3.7182	3.6387
5	Mega Dana Kas Sy.	2.5305	2.6775	3.7910	4.6463
6	PNM Pasar Uang Sy.	3.7199	5.7188	2.7181	3.6362
7	EMCO Barokah Sy.	4.7253	2.7280	2.8220	5.5778
8	Insight Money Sy.	2.4884	2.9366	3.9241	3.8090
9	Trimegah Pundi Kas Sy.	2.7183	4.7182	3.7182	4.6357
Mean		3.7633	3.9707	3.4349	4.0052
Maximum		4.7253	5.7188	4.7817	5.5778
Minimum		2.4884	2.6775	2.7181	2.8613
Std. Dev.		0.9686	1.0671	0.7289	0.8058

The performance of Islamic money market investment managers increased on average in three years but decreased in the last year (2017-2018). In that period (2017-2018), the performance of almost all sharia money market mutual fund investment managers experienced a decline except for one company with an increase of 1 point. Thus, this resulted in an overall decline (see Table 3).

Table 3. Investment manager performance.

No.	Mutual fund name	Years
No.	Mutual fund name	2015	2016	2017	2018
1	BNI-AM Dana Lancar Sy.	2.5875	2.7234	2.7227	2.6163
2	BNI-AM Dana Pasar Uang Sy. Amerta	2.7186	2.7186	2.7181	2.6282
3	Bahana Likuid Sy.	2.5760	2.8045	2.7559	2.8627
4	Mandiri Kapital Sy.	2.6701	2.7182	2.7180	2.6282
5	Mega Dana Kas Sy.	2.4915	2.6511	2.7558	2.6574
6	PNM Pasar Uang Sy.	2.7415	2.7187	2.7179	2.6258
7	EMCO Barokah Sy.	2.7237	2.7223	2.8316	2.5863
8	Insight Money Sy.	2.3377	2.9697	2.8421	2.7972
9	Trimegah Pundi Kas Sy.	2.7196	2.7182	2.7179	2.6283
Mean		2.6185	2.7494	2.7533	2.6700
Maximum		2.7415	2.9697	2.8421	2.8627
Minimum		2.3377	2.6511	2.7179	2.5863
Std. Dev.		0.1355	0.0911	0.0499	0.0939

The level of risk in the Islamic money market increased in three years but decreased last year (2017-2018) (Table 4). This result is similar to the average value of investment managers. The decrease in the average value of investment managers for one year was also in line with the increased level of risk.

Table 4. Risk level.

No.	Mutual fund name	Years
No.	Mutual fund name	2015	2016	2017	2018
1	BNI-AM Dana Lancar Sy.	0.4513	0.5458	0.3579	0.3643
2	BNI-AM Dana Pasar Uang Sy. Amerta	0.6539	0.3527	0.4763	0.2456
3	Bahana Likuid Sy.	0.3113	0.2244	0.3241	0.4922
4	Mandiri Kapital Sy.	0.4236	0.3423	0.5904	0.2457
5	Mega Dana Kas Sy.	0.8278	0.3762	0.1850	0.2207
6	PNM Pasar Uang Sy.	0.0322	0.0414	0.0567	0.2552
7	EMCO Barokah Sy.	0.3634	0.5114	0.2809	0.4389
8	Insight Money Sy.	0.4478	0.7352	0.6264	0.3189
9	Trimegah Pundi Kas Sy.	0.3248	0.0433	0.3563	0.2454
Mean		0.4262	0.3525	0.3616	0.3141
Maximum		0.8278	0.7352	0.6264	0.4922
Minimum		0.0322	0.0414	0.0567	0.2207
Std. Dev.		0.2227	0.2287	0.1829	0.0975

The performance of Islamic money market mutual funds was proxied using a shape ratio, the calculation result of the return, the Bank Indonesia Certificate, and standard deviation. The performance of Islamic money market mutual funds decreased from 2015 to 2018 (see Table 5).

Table 5. Islamic money market mutual funds performance.

No.	Mutual fund name	Years
No.	Mutual fund name	2015	2016	2017	2018
1	BNI-AM Dana Lancar Sy.	-0.6100	3.1844	3.0570	-0.3844
2	BNI-AM Dana Pasar Uang Sy. Amerta	-1.1950	-2.5837	-1.8060	-0.3180
3	Bahana Likuid Sy.	3.2379	2.6423	2.1782	2.3213
4	Mandiri Kapital Sy.	3.0935	-5.7458	-2.3204	-2.3180
5	Mega Dana Kas Sy.	2.2151	-1.0927	2.3237	-3.2763
6	PNM Pasar Uang Sy.	-1.0746	-3.8494	-2.0134	-3.3315
7	EMCO Barokah Sy.	2.0467	3.0476	3.1741	-0.5254
8	Insight Money Sy.	-0.5687	2.4237	1.4237	1.1364
9	Trimegah Pundi Kas Sy.	2.1364	-2.2667	-2.0235	-0.3178
Mean		1.0313	-0.4712	0.4437	-0.7793
Maximum		3.2379	3.1844	3.1741	2.3213
Minimum		-1.1950	-5.7458	-2.3204	-3.3315
Std. Dev.		1.8514	3.3750	2.4139	1.9055

The normality test was carried out using the Kolmogorov-Smirnov test with a result of 0.2, which is higher than 0.05. It can be concluded that the data is normally distributed. The multicollinearity test showed that all independent variables have VIF results of less than 10. It can be concluded that there is no multicollinearity. The autocorrelation test was carried out by looking at the obtained Durbin-Waston value of 1.484, within the range of 1.654 and 2.346. Therefore, it can be concluded that there is no autocorrelation. The Heteroscedasticity test was performed using the Glejser test and showed a number greater than 0.05, namely 0.345 for asset allocation, 0.635 for operations manager performance, and 0.886 for the level of risk. Hence, heteroscedasticity did not occur.

The result of multiple linear analysis in this research is as follows:

KR = - 11.863 - 0.777 (AA) + 5.055 (KMI) + 3.383 (TR) + e

in which:

KR = Mutual Fund Performance

AA = Asset Allocation

KMI = Investment Manager Performance

TR = Risk Level

e = error

Table 6 shows the results of the F test (simultaneous), which gains the significance value of 0.031. It can be concluded that the asset allocation policy, investment manager performance, and risk level simultaneously affect the performance of Islamic mutual funds on the Islamic money market registered with the OJK.

Table 6. F test results.

ANOVA^a
Model		Sum of squares	df	Mean square	F	Sig.
1	Regression	50.868	3	16.956	3.349	.031^b
	Residual	162.032	32	5.063
	Total	212.900	35

a Dependent Variable: Mutual Fund Performance.

b Predictors: (Constant), Risk Level, Investment Manager Performance, Asset Allocation.

Based on Table 7, the results of the t-test (partial) show that the significance value of the asset allocation policy is 0.9, the investment manager's performance is 0.156, and the risk level is 0.156. All variables have a significant value above 0.05; hence the asset allocation, investment manager performance, and risk level partially do not have a significant effect on the performance of sharia mutual funds registered with the OJK.

Table 7. t-Test results.

Coefficients^a
Model		Unstandardized B	Coefficients Std. error	Standardized coefficients beta	t	Sig.
1	(Constant)	-11.863	9.649		-1.229	.228
	Asset allocation	-.777	.445	-.281	-1.748	.090
	Investment manager performance	5.055	3.477	.224	1.454	.156
	Risk level	3.383	2.128	.256	1.590	.122

a Dependent Variable: Mutual Fund Performance.

The asset allocation policy does not have a significant effect on the performance of Islamic money market mutual funds. This result aligns with prior research on stock market investment⁷ while contradicting another study that showed that the allocation asset policy and risk level have no significant partial effect on the performance of money market mutual funds in Indonesia.⁸

The investment manager's performance does not have a significant effect on the performance of Islamic money market mutual funds. Changing market conditions can cause investment managers to have no consensus in predicting the future. Therefore, improving investment management performance may not necessarily improve the expected investment performance. This result aligns with prior research conducted in other markets.¹⁶^,²⁷ In contrast, another study regarding the influence between investment manager performance and allocation of assets on money market mutual funds performance in Indonesia conducted by Paramitha and Purnawati (2017) provided a different view, arguing that investment manager performance has a significant effect on the performance of money market mutual funds in Indonesia.¹⁰

The risk level does not have a significant effect on the performance of Islamic money market mutual funds. Previous research conducted by Hariyono & Tamsil (2015) that showed the risk level has a significant impact on money market mutual funds performance supported this result,⁹ while Handayani et al. (2015) found there is a significant impact between risk level and Islamic money market mutual funds.¹⁶

Table 8 shows that the R Square value is 0.239. Viewed in a percentage, the asset allocation variable, the investment manager performance, and the risk level have a 23.9% contribution or effect on the performance of mutual funds. The remaining 76.1% is influenced by other factors not examined in this research.

Table 8. Coefficient of determination.

Model summary
Model	R	R square	Adjusted R square	Std. error of the estimate	Durbin-Watson
1	.489^a	.239	.168	2.2502190	1.484

a Predictors: (Constant), Risk Level, Investment Manager Performance, Asset Allocation.

b Dependent Variable: Mutual Fund Performance.

Conclusions

Asset allocation policy, investment manager performance, and risk level simultaneously have a significant effect on the performance of Islamic money market mutual funds in Indonesia, but partially there is no significant effect. These results imply that the produce a high performance of the Islamic money market is affected by the combination of optimized asset allocation policies, the right investment manager, and a suitable risk level analysis. If one of these variables (asset allocation policies, the right investment manager, and a suitable risk level analysis) is not applied, the desired Islamic money market mutual performance will not be achieved effectively. The actual influence of the dependent variable on the independent variable is 23.9%. Further research is expected to add other variables such as mutual fund size, mutual fund age, portfolio turnover, stock price index, mutual fund operating costs, and total mutual fund assets on the Islamic money market to enrich the research results.

A strength of this study is its use of a different object from previous works of literature. This study uses Islamic money market mutual funds, focusing on Indonesia. Using a complete combination of variables compared to previous research can contribute to the existing literature, namely that asset allocation policy, investment manager performance, and the level of risk simultaneously have a significant effect on the performance of Islamic money market mutual funds in Indonesia. Investors, companies, and governments are expected to focus on asset allocation policies, investment manager performance, and the level of risk in order to improve the performance of Islamic money market mutual funds in Indonesia. A limitation of this study is the low number of samples because Islamic mutual funds only started in 2015.¹ To analyze data using the regression method, we need to reach a minimum of 30 samples. The Financial Services Authority of Indonesia stated that Islamic mutual funds in Indonesia had only a variety of 50 products in 2013 and increased to 198 products in 2018.¹ Based on our data collection, we only have a total sample of 36 Islamic money market mutual funds conducted during 2019. However, the study results can be generalized for Islamic mutual funds' performance in Indonesia.

Data availability

Underlying data

Figshare: Dataset - F1000-109708.xlsx. https://doi.org/10.6084/m9.figshare.19241982.v2²⁸

This project contains the following underlying data:

• Dataset - F1000-109708.xlsx
(Data of Indonesian Sharia Mutual fund asset allocation, risk level, mutual fund performance, and investment manager performance for the last four years).

Data are available under the terms of the Creative Commons Attribution 4.0 International license (CC-BY 4.0).

Author contributions

Conceptualization, A.F., R.R., D.M.J.; methodology, A.F., D.M.J.; software, D.M.J.; data curation, A.F., D.M.J.; visualization, D.M.J.; validation, A.F., R.R.; analysis, A.F., D.M.J.; writing – original draft preparation, R.R., D.M.J.; writing – review & editing, A.F., R.R., D.M.J.; project administration, R.R.; supervision, A.F. All authors have read and agreed to the published version of the manuscript.

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7. Sari APN, Purwanto A: Analisis Kebijakan Alokasi Aset, Kinerja Manajer Investasi dan Tingkat Risiko terhadap Kinerja Reksadana Saham di Indonesia. PhD Thesis, Fakultas Ekonomika dan Bisnis.2012.
8. Yanti NI: Pengaruh Kebijakan Alokasi Aset, Pemilihan Saham Dan Tingkat Risiko Terhadap Kinerja Reksadana Campuran Periode 2010-201. Jurnal Ilmu Manajemen (JIM). 2017; 5(4).
9. Handoyo S, Tamsir Y: Pengaruh Kebijakan Alokasi Aset, Tingkat Risiko, Pemilihan Saham Dan Market Timing Terhadap Kinerja Reksa Dana Saham Syariah Di Indonesia.2015. Accessed: Jan. 10, 2022.Reference Source
10. Paramitha ASPP, Purnawati NK: Pengaruh Kinerja Manajer Investasi dan Kebijakan Alokasi Aset terhadap Kinerja Reksa Dana Saham di Indonesia, PhD Thesis, Udayana University.2017.
11. Nurcahya Enka GP: Reksadana di Indonesia: Analisis Kebijakan Alokasi Aset, Pemilihan Saham dan Tingkat Risiko. Universitas Jendral Soedirman Purwokerto. Simposium Nasional Akuntansi XIII. Purwokerto. 2010.
12. Yolanda P, Anggraini F, Darmayanti Y: Analisis Pemilihan Saham dan Tingkat Risiko terhadap Kinerja Reksa Dana Saham. Jurnal Kajian Akuntansi dan Auditing. 2019; 14(2): 113–121. Publisher Full Text
13. Bodie Z, Kane A, Marcus AJ: Manajemen Portofolio dan Investasi. Salemba Empat;2014.
14. Pratomo EP: Reksa dana: solusi perencanaan investasi di era modern. Gramedia Pustaka Utama;2001.
15. Sharpe WF: The sharpe ratio. Journal of Portfolio Management. 1994; 21(1): 49–58. Publisher Full Text
16. Handayani W, Yuhelmi Y, Desiyanti R: Analisis Kebijakan Alokasi Aset, Kemampuan Manajer Investasi, Dan Tingkat Risiko Terhadap Kinerja Reksadana Saham Syariah Yang Terdaftar Di Bursa Efek Indonesia. Abstract of Undergraduate Research, Faculty of Economics, Bung Hatta University. 2015; 6(2).
17. Alexandri MB, Laiela F: PERFORMANCE OF ISLAMIC MUTUAL FUNDS IN INDONESIA. Jurnal Masyarakat dan Filantropi Islam. 2019; 2(1): 37–43.
18. Agung J, Wirasedana IWP: Analisis Kinerja Reksadana Saham di Indonesia. E-Jurnal Akuntansi Universitas Udayana. 2014; 7(1): 250–265.
19. Drobetz W, Köhler F: The contribution of asset allocation policy to portfolio performance. Financial Markets and Portfolio Management. 2002; 16(2): 219–233. Publisher Full Text
20. Tokat Y, Wicas N, Kinniry FM: The asset allocation debate: A review and reconciliation. Journal of Financial Planning-Denver. 2006; 19(10): 52.
21. Baş NK, Sarıoğlu SE: The Importance of Asset Allocation, Investment Policy and Active Management in Explaining Turkish Pension Fund Return Variations. IJBSS. 2018; 9(8). Publisher Full Text
22. Ramayanti TP, Purnamasari K: Kemampuan Pemilihan Saham dan Penetapan Waktu Pada Manajer investasi Reksa Dana Saham di Indonesia. Esensi: Jurnal Bisnis dan Manajemen. 2018; 8(1). Publisher Full Text
23. Fahmi I: Pengantar teori portofolio dan analisis investasi. 1st ed.Bandung:Alfabeta;2015.
24. Tandelilin E: Analisis investasi dan manajemen portofolio. Yogyakarta:BPFE-Yogyakarta;2001.
25. Dangl T, Randl O, Zechner J:Risk control in asset management: Motives and concepts. Innovations in Quantitative Risk Management. Cham:Springer; 2015; pp. 239–266.
26. Connor G, Korajczyk RA: Risk management in asset management. The Growth of Risk Management: A History. 2003.
27. Anita A: KINERJA MANAJER INVESTASI REKSADANA SAHAM SYARIAH DI INDONESIA. Al-Masraf: Jurnal Lembaga Keuangan dan Perbankan. 2019; 4(1): 1–6. Publisher Full Text
28. Firli A, Rismayani R, Jannah DM: Dataset - F1000-109708.xlsx. figshare. Dataset. 2022. Publisher Full Text

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Author details Author details

¹ School of Economics and Business, Telkom University, Telekomunikasi No. 1, Bandung, 40257, Indonesia

Anisah Firli
Roles: Conceptualization, Methodology, Project Administration, Validation, Writing – Original Draft Preparation, Writing – Review & Editing

Risris Rismayani
Roles: Conceptualization, Formal Analysis, Project Administration, Validation, Writing – Original Draft Preparation, Writing – Review & Editing

Dinna Miftahul Jannah
Roles: Conceptualization, Data Curation, Methodology, Software, Writing – Original Draft Preparation

Competing interests

No competing interests were disclosed.

Grant information

The author(s) declared that no grants were involved in supporting this work.

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Firli A, Rismayani R and Jannah DM. Analysis of the influence of asset allocation policy, investment manager performance, and risk level on the performance of Sharia money market mutual funds in Indonesia [version 1; peer review: 1 not approved]. F1000Research 2022, 11:768 (https://doi.org/10.12688/f1000research.109708.1)

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Reviewer Report 23 Dec 2022

Muhammad Najib Razali, Faculty of Built Environment and Surveying, Centre of Environmental Sustainability and Water Security, Universiti Teknologi Malaysia, Johor Bahru, Malaysia

Not Approved

https://doi.org/10.5256/f1000research.121248.r151773

Since this is a quantitative analysis, hypothesis number two does not sound legit. We cannot measure the manager’s ability by assessing the market or company’s performance.
The phrase "registered with the OJK" can

Since this is a quantitative analysis, hypothesis number two does not sound legit. We cannot measure the manager’s ability by assessing the market or company’s performance.
The phrase "registered with the OJK" can be deleted for all hypotheses. It is sufficient to mention this in the introduction as well as in the methodology.
The sampling technique is not relevant here as the study uses time series data. All data in the time series have the same characteristics.
To correlate investment manager performance to the risk-free rate, return, and the stock market is wrong. Please have more readings regarding this topic.
This paper needs some significant corrections in terms of methodology and purpose. Please read more academic articles on this research topic.

Is the work clearly and accurately presented and does it cite the current literature?

No
Is the study design appropriate and is the work technically sound?

No
Are sufficient details of methods and analysis provided to allow replication by others?

Partly
If applicable, is the statistical analysis and its interpretation appropriate?

Yes
Are all the source data underlying the results available to ensure full reproducibility?

Yes
Are the conclusions drawn adequately supported by the results?

No

Competing Interests: No competing interests were disclosed.

Reviewer Expertise: Investment and Finance

I confirm that I have read this submission and believe that I have an appropriate level of expertise to state that I do not consider it to be of an acceptable scientific standard, for reasons outlined above.

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Muhammad Najib Razali, Universiti Teknologi Malaysia, Johor Bahru, Malaysia

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23 Dec 2022 | for Version 1

Muhammad Najib Razali, Faculty of Built Environment and Surveying, Centre of Environmental Sustainability and Water Security, Universiti Teknologi Malaysia, Johor Bahru, Malaysia

15 Views Cite this report Responses(0)

Not Approved

Since this is a quantitative analysis, hypothesis number two does not sound legit. We cannot measure the manager’s ability by assessing the market or company’s performance.
The phrase "registered with the OJK" can be deleted for all hypotheses. It is sufficient to mention this in the introduction as well as in the methodology.
The sampling technique is not relevant here as the study uses time series data. All data in the time series have the same characteristics.
To correlate investment manager performance to the risk-free rate, return, and the stock market is wrong. Please have more readings regarding this topic.
This paper needs some significant corrections in terms of methodology and purpose. Please read more academic articles on this research topic.

Is the work clearly and accurately presented and does it cite the current literature?

No
Is the study design appropriate and is the work technically sound?

No
Are sufficient details of methods and analysis provided to allow replication by others?

Partly
If applicable, is the statistical analysis and its interpretation appropriate?

Yes
Are all the source data underlying the results available to ensure full reproducibility?

Yes
Are the conclusions drawn adequately supported by the results?

No

Competing Interests

No competing interests were disclosed.

Reviewer Expertise

Investment and Finance

I confirm that I have read this submission and believe that I have an appropriate level of expertise to state that I do not consider it to be of an acceptable scientific standard, for reasons outlined above.

Respond to this report

Responses (0)

[1] 1. Otoritas Jasa Keuangan Indonesia: Statistik Reksa Dana Syariah 2018 Juni. Otoritas Jasa Keuangan Indonesia. 2018.Reference Source

[2] 2. Kontan: Dana kelolaan reksadana syariah makin merekah. Kontan.co.id. 2018.Reference Source

[3] 3. Hendrayana W: Kilas Balik Industri Reksadana 2018. Infovesta. 2019. Reference Source

[4] 4. Kontan: Per September, kinerja reksadana campuran paling rendah. Kontan.co.id. 2018.Reference Source

[5] 5. Kontan: Reksadana pasar uang berpotensi membukukan return 6% di tahun ini. Kontan.co.id. 2019.Reference Source

[6] 6. Wardhani RT, Juanda A, Syam D: Analisis Kinerja Reksadana Syariah di Pasar Modal Indonesia Menggunakan Metode Sharpe. Jurnal Akademi Akuntansi. 2018; 1(1). Publisher Full Text

[7] 7. Sari APN, Purwanto A: Analisis Kebijakan Alokasi Aset, Kinerja Manajer Investasi dan Tingkat Risiko terhadap Kinerja Reksadana Saham di Indonesia. PhD Thesis, Fakultas Ekonomika dan Bisnis.2012.

[8] 8. Yanti NI: Pengaruh Kebijakan Alokasi Aset, Pemilihan Saham Dan Tingkat Risiko Terhadap Kinerja Reksadana Campuran Periode 2010-201. Jurnal Ilmu Manajemen (JIM). 2017; 5(4).

[9] 9. Handoyo S, Tamsir Y: Pengaruh Kebijakan Alokasi Aset, Tingkat Risiko, Pemilihan Saham Dan Market Timing Terhadap Kinerja Reksa Dana Saham Syariah Di Indonesia.2015. Accessed: Jan. 10, 2022.Reference Source

[10] 10. Paramitha ASPP, Purnawati NK: Pengaruh Kinerja Manajer Investasi dan Kebijakan Alokasi Aset terhadap Kinerja Reksa Dana Saham di Indonesia, PhD Thesis, Udayana University.2017.

[11] 11. Nurcahya Enka GP: Reksadana di Indonesia: Analisis Kebijakan Alokasi Aset, Pemilihan Saham dan Tingkat Risiko. Universitas Jendral Soedirman Purwokerto. Simposium Nasional Akuntansi XIII. Purwokerto. 2010.

[12] 12. Yolanda P, Anggraini F, Darmayanti Y: Analisis Pemilihan Saham dan Tingkat Risiko terhadap Kinerja Reksa Dana Saham. Jurnal Kajian Akuntansi dan Auditing. 2019; 14(2): 113–121. Publisher Full Text

[13] 13. Bodie Z, Kane A, Marcus AJ: Manajemen Portofolio dan Investasi. Salemba Empat;2014.

[14] 14. Pratomo EP: Reksa dana: solusi perencanaan investasi di era modern. Gramedia Pustaka Utama;2001.

[15] 15. Sharpe WF: The sharpe ratio. Journal of Portfolio Management. 1994; 21(1): 49–58. Publisher Full Text

[16] 16. Handayani W, Yuhelmi Y, Desiyanti R: Analisis Kebijakan Alokasi Aset, Kemampuan Manajer Investasi, Dan Tingkat Risiko Terhadap Kinerja Reksadana Saham Syariah Yang Terdaftar Di Bursa Efek Indonesia. Abstract of Undergraduate Research, Faculty of Economics, Bung Hatta University. 2015; 6(2).

[17] 17. Alexandri MB, Laiela F: PERFORMANCE OF ISLAMIC MUTUAL FUNDS IN INDONESIA. Jurnal Masyarakat dan Filantropi Islam. 2019; 2(1): 37–43.

[18] 18. Agung J, Wirasedana IWP: Analisis Kinerja Reksadana Saham di Indonesia. E-Jurnal Akuntansi Universitas Udayana. 2014; 7(1): 250–265.

[19] 19. Drobetz W, Köhler F: The contribution of asset allocation policy to portfolio performance. Financial Markets and Portfolio Management. 2002; 16(2): 219–233. Publisher Full Text

[20] 20. Tokat Y, Wicas N, Kinniry FM: The asset allocation debate: A review and reconciliation. Journal of Financial Planning-Denver. 2006; 19(10): 52.

[21] 21. Baş NK, Sarıoğlu SE: The Importance of Asset Allocation, Investment Policy and Active Management in Explaining Turkish Pension Fund Return Variations. IJBSS. 2018; 9(8). Publisher Full Text

[22] 22. Ramayanti TP, Purnamasari K: Kemampuan Pemilihan Saham dan Penetapan Waktu Pada Manajer investasi Reksa Dana Saham di Indonesia. Esensi: Jurnal Bisnis dan Manajemen. 2018; 8(1). Publisher Full Text

[23] 23. Fahmi I: Pengantar teori portofolio dan analisis investasi. 1st ed.Bandung:Alfabeta;2015.

[24] 24. Tandelilin E: Analisis investasi dan manajemen portofolio. Yogyakarta:BPFE-Yogyakarta;2001.

[25] 25. Dangl T, Randl O, Zechner J:Risk control in asset management: Motives and concepts. Innovations in Quantitative Risk Management. Cham:Springer; 2015; pp. 239–266.

[26] 26. Connor G, Korajczyk RA: Risk management in asset management. The Growth of Risk Management: A History. 2003.

[27] 27. Anita A: KINERJA MANAJER INVESTASI REKSADANA SAHAM SYARIAH DI INDONESIA. Al-Masraf: Jurnal Lembaga Keuangan dan Perbankan. 2019; 4(1): 1–6. Publisher Full Text

[28] 28. Firli A, Rismayani R, Jannah DM: Dataset - F1000-109708.xlsx. figshare. Dataset. 2022. Publisher Full Text

Analysis of the influence of asset allocation policy, investment manager performance, and risk level on the performance of Sharia money market mutual funds in Indonesia

Abstract

Keywords

Introduction

Research framework

Hypothesis 1:

Hypothesis 2:

Hypothesis 3:

Hypothesis 4:

Figure 1. Research framework.

Methods

Study design

Sampling

Data collection

Analysis

Table 1. Variable operationalization.

Results and discussion

Table 2. Asset allocation policy.

Table 3. Investment manager performance.

Table 4. Risk level.

Table 5. Islamic money market mutual funds performance.

Table 6. F test results.

Table 7. t-Test results.

Table 8. Coefficient of determination.

Conclusions

Data availability

Underlying data

Author contributions

References

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