THE COMPARISONS OF SELECTIVITY PERFORMANCE AND MARKET TIMING PERFORMANCE BETWEEN RETIREMENT MUTUAL FUNDS (RMF) AND LONG-TERM EQUITY FUNDS (LTF) IN THAILAND

Abstract

This research aimed to examine the 1) selectivity performance 2) market timing performance and 3) the comparison of differences between RMF and LTF performances. Treynor (1965), Sharpe (1966) and Jensen (1968) measures were applied to examine the Selectivity Performance. Treynor and Mazuy (1966) and Henriksson and Merton (1981) measures were used to examine the Market Timing Performance. The weekly data of 109 funds were used. Binomial test and t-test were used as inferential statistics at the 0.05 significant levels respectively.

RMF Selectivity Performance as measured by Treynor model results strongly confirmed that the majority of RMF underperformed at the market benchmark. Moreover, LTF Selectivity Performance as measured by Treynor and Sharpe models indicated that the majority of LTF underperformed at the market benchmark as well. Furthermore, RMF and LTF Market Timing Performance as measured by Treynor and Mazuy models, and Henriksson and Merton models, indicated that the majority of RMF and LTF underperformed at the market benchmark with the level of significance at 0.01. On the other hand, the comparison of fund performance (Selectivity and Market Timing) between RMF and LTF funds confirmed that the performance of RMF funds were higher than performance of LTF at the level of significance of 0.05 and 0.01.