Comparing Return, Risk, and Efficiency between Portfolios using the Value Investing Approach and Equity Mutual Funds

Main Article Content

Sirikarn Saksomboon
Panadda Intraprom

Abstract

This paper aims to study return, risk and efficiency between 2 asset groups. The first group, we build stock portfolio using Magic Formula which an investment technique that uses the principles of value investing. The second group, we pick 40 mutual funds which have similar principle. And then finding mean, return of investment, standard deviation and shape ratio for each group to test the hypothesis and describe differences in data by using T-test at 95 percent confidence interval. The study found that stock portfolio using value investing approach had a higher rate of investment return when compared to equity mutual fund however equity mutual fund had a lower risk with the level of significance at 0.05. On the other hand, equity mutual fund had a higher efficiency than stock portfolio using value investing approach with the level of significance at 0.1. The equity mutual fund had limited risk and diversification however it generated average return but had a higher efficiency than stock portfolio using Magic Formula which is a well-known approach and popular for investors.


 

Downloads

Download data is not yet available.

Article Details

How to Cite
Saksomboon, S., & Intraprom, P. (2019). Comparing Return, Risk, and Efficiency between Portfolios using the Value Investing Approach and Equity Mutual Funds. Rajapark Journal, 13(29), 76–89. Retrieved from https://so05.tci-thaijo.org/index.php/RJPJ/article/view/131331
Section
Research Article

References

Buranarat, N. (2000). Statistics for research 1. Songkhla: Supakarn printing and services.

Greenblatt, J. (2006). The Little Book that beats the market. New York: John Wiley & Sons.

Lo-uthai, P. (2007). Analysis on return, risk and valuation of stocks in energy sector by using CAPM approach. Master of Economics thesis, Chiang Mai University.

Phungwattanapong, S. (2010). Risk and return rate of investment in property funds (Division 1). Thesis, M.Ed.
(Business Administration). Bangkok: Graduate School Srinakharinwirot University.

Rojana-arpa, C. (2011). Investment Talk-Investment style (2). Fund Manager Talk, Retrieved November 11,
2017, from http://fundmanagertalk.com/investment-talk-investment-style-2/

Sareewiwatthana, P. (2005). Value Investment in Thailand: Optimal Number of Stocks and Holding Period. Nida Business Journal, 16, 5-25.

The Stock Exchange of Thailand. (2003). Equity valuation. (4th ed.). Bangkok: Tewa Creation.