i STRUCTURAL ANALYSIS OF INDEX FUND INVESTMENT MODEL: APPLICATION OF MIXED METHODS FOR ANALYSIS INDEX FUND FLOW AND PERFORMANCE DISSERTATION In partial fulfilment of the requirements for the Degree of Doctor of Philosophy from Institut Teknologi Bandung By NANANG ROSIDIN Student ID: 39022008 (Doctoral Program in Management Science) INSTITUT TEKNOLOGI BANDUNG March 2025 ii iii ABSTRACT STRUCTURAL ANALYSIS OF INDEX FUND INVESTMENT MODEL: APPLICATION OF MIXED METHODS FOR ANALYSIS OF INDEX FUND FLOW AND PERFORMANCE By Nanang Rosidin Student ID: 39022008 (Doctoral Program in Management Science) Index Funds and Exchange-Traded Funds in the US had grown to USD 9.9 trillion by the end of 2020. They accounted for 40% of assets in the long-term funds, while it was accounted for only 19% at the year-end of 2010. The rapid growth of these particular assets also happened in Indonesia, showing an average asset increase of 42% between 2015 and 2020, reaching IDR 15,88 trillion by the end of the period. On the contrary, although an index fund is a long-term investment vehicle, in the last eight year, almost one-third of index fund products were no longer available for investment. Although some index funds invest in the same underlying asset, they have different performance and attract fund flow differently. The differences in index fund’s performance and survivability are related to factors derived from endogenous factors and exogenous issues which intertwined as a complex system. Current literature is lacking in capturing the complex structure and dynamic nature of these funds. Our study fills this gap by modeling the structure that drives fund performance and flow behavior. This study expands the literature by providing a novel framework based on systems thinking and system dynamics approach, given that fund flows and investor's decisions are dynamic (changes over time). The framework incorporates interdependent causal relationships between variables within the fund management process and variables related to the investor's decision- making process. The simulation provides a more holistic approach in understanding the phenomena and allow for scenario analysis for potential policy intervention of interest to managers and investors who are willing to improve their returns. Moreover, the generative capabilities of the structural analysis approach allow its iv application to other investment domains, such as Hajj fund management, offering more nuanced and context-specific solutions. Keywords - index funds, investment model, causal structure, system dynamics. v vi ABSTRAK ANALISIS STRUKTURAL MODEL INVESTASI REKSA DANA INDEKS: APLIKASI METODE CAMPURAN UNTUK ANALISIS ARUS DAN KINERJA REKSA DANA INDEKS By Nanang Rosidin Student ID: 39022008 (Doctoral Program in Management Science) Reksa dana indeks dan ETF di Amerika Serikat mengalami pertumbuhan yang signifikan, mencapai nilai 9,9 triliun dolar AS pada akhir tahun 2020. Proporsi keduanya terhadap total aset reksa dana meningkat menjadi 40%, dibandingkan hanya 19% pada akhir tahun 2010. Pertumbuhan pesat serupa juga terjadi di Indonesia, dengan rata-rata peningkatan sebesar 42% dalam periode 2015 hingga 2020, mencapai nilai 15,88 triliun rupiah pada akhir periode tersebut. Namun, meski reksa dana indeks dianggap sebagai instrumen investasi jangka panjang, hampir sepertiga dari produk reksa dana indeks tidak bertahan dalam delapan tahun terakhir. Meski beberapa reksa dana indeks berinvestasi pada aset dengan indeks pembanding yang sama, kinerja dan arus dana yang diterima oleh masing-masing reksa dana tersebut berbeda. Perbedaan kinerja dan kelangsungan reksa dana indeks terkait dengan faktor-faktor internal dan external yang saling berhubungan dalam suatu sistem yang kompleks. Literatur yang ada saat ini belum sepenuhnya menjelaskan struktur yang kompleks dan sifat dinamis dari reksa dana indeks. Penelitian ditujukan untuk mengisi kesenjangan tersebut dengan memodelkan struktur yang mempengaruhi kinerja dan arus dana reksa dana indeks. Penelitian ini memperkaya literatur dengan menyediakan kerangka kerja baru berdasarkan pemikiran sistem dan pendekatan dinamika sistem, mengingat arus dana dan keputusan investor bersifat dinamis dan berubah seiring waktu. Kerangka ini mengintegrasikan hubungan kausalitas yang saling bergantung antara variabel- variabel dalam proses pengelolaan reksa dana dan variabel-variabel terkait proses pengambilan keputusan investor. Simulasi yang dilakukan membantu memberikan pendekatan yang lebih holistik dalam memahami fenomena tersebut, sekaligus vii memungkinkan analisis skenario untuk intervensi kebijakan/strategi yang dapat menarik perhatian manajer investasi dan investor yang ingin meningkatkan imbal hasil investasinya. Lebih jauh lagi, kemampuan generatif dari pendekatan analisis struktural ini memungkinkan penerapannya pada domain pengelolaan investasi lainnya, seperti pengelolaan dana haji, sehingga menghasilkan solusi yang lebih kontekstual. Keywords – Reksa dana indeks, model investasi, struktur sebab akibat, dinamika sistem. viii STRUCTURAL ANALYSIS OF INDEX FUND INVESTMENT MODEL: APPLICATION OF MIXED METHODS FOR ANALYSIS INDEX FUND FLOW AND PERFORMANCE ALAMAN PEN GESAHAN By Nanang Rosidin Student ID: 39022008 Doctor of Science in Management Program Institut Teknologi Bandung Approved 16 April 2025 Principal Supervisor Prof. Dr. Ir. Sudarso Kaderi Wiryono, D.E.A. ……………………………… Co-Supervisor Oktofa Yudha Sudrajad, S.T., M.S.M., Ph.D ……………………………… Examiners Dr. Ir. Subiakto Sukarno, MBA. ……………………………… Prof. Donald Crestofel Lantu, S.T., M.B.A., Ph.D. ……………………………… Dr. Agus Sugiarto ……………………………… ix x xi THE GUIDANCE FOR USING THE DISSERTATION Unpublished doctoral dissertation is registered and available in the Library of Institut Teknologi Bandung, and is open for public, provided that the author owns the copyright in accordance with the intellectual property rights that are applicable in the Library of Institut Teknologi Bandung. Bibliographical references are allowed to be use in a limited manner; however the citation and summarization can only be proceeded upon the author’s permission and must include the scientific norm of stating this dissertation as the source. This dissertation has to be cited as: Rosidin, Nanang. (2024): Structural Analysis of Index Fund Investment Model: Application of Mixed Methods for Analysis Index Fund Flow and Performance, Doctoral Dissertation, Institut Teknologi Bandung. Reproduction or publication of parts or whole of the dissertation must be under the consent of the dean of The Graduate School, Institut Teknologi Bandung. xii xiii This dissertation is dedicated to: To my parents for their dreams and dedication to facilitating the highest education for their children. To my wife for her support and patience. To my daughter and son with high hope you will be better than us in the future. xiv.