Risk, Return and Performance of Equity Funds in Thailand

Main Article Content

Kittipong Lertsettasart
Surang Hensawang

Abstract

The research aims to examine the risk, return, and performance of equity funds in Thailand. The study period was 5 years from 01 January 2013 to 31 December 2017. The results indicated that the equity fund exhibited an average 5 years. Risk measured by standard deviation was 14.45%, which was higher than the Stock Exchange of Thailand (SET), exhibiting of 12.19%. Risk measured by beta was on average of 0.77, which was lower than the Stock Exchange of Thailand (SET) exhibiting of 1. The dividend-adjustedet Asset Value (NAV) return was on average of 14.45%, which was higher than the Stock Exchange of Thailand (SET) exhibiting of 5.5%. These showed that equity funds outperformed the Stock Exchange of Thailand (SET) in terms of higher returns with lower risk measured by beta. Performance measured by the Sharpe ratio, Treynor ratio, Jensen’s alpha, and Information ratio showed an average f 0.05, 17.47, 5.47, and 3.41, respectively. Both Sharpe and Treynor ratios areperformed the Stock Exchange of Thailand, showing 0.37 and 4.50, respectively. Such outperformance confirms that equity fund is a good alternative for investment.

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How to Cite
Lertsettasart, K. ., & Hensawang, S. . (2020). Risk, Return and Performance of Equity Funds in Thailand. Rajapark Journal, 14(32), 201–213. Retrieved from https://so05.tci-thaijo.org/index.php/RJPJ/article/view/201519
Section
Research Article

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