A COMPARISON OF PORTFOLIO DIVERSIFICATION OF THAI EQUITY FUNDS
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Abstract
Bank-affiliated equity funds have more business opportunity than nonbank-affiliated equity funds because the first group can implement its selling strategy via their commercial bank branches. This research compared the investment performance using portfolio diversification and characteristics of assets held between bank-affiliated and nonbank-affiliated equity funds that implemented the similar growth and value investing strategies. Statistics for data analysis were descriptive statistics with t-test for statistical difference test, analysis of variance, and regression analysis. Overall, bank-affiliated (42 funds) and nonbank-affiliated (24 funds) equity funds did not have any significant difference in investment performance. Both groups invested in large stocks about 90% of their asset values, while top-ten stocks occupied about 52-56% in their portfolios. For portfolio diversification, bank-affiliated and nonbank-affiliated equity funds had unsystematic risk of 28.22% and 33.54%, respectively. Therefore, both equity funds groups have administered approximately similar level of internal risk. Concerning the characteristics of assets held, a slight difference is evidenced where bank-affiliated equity funds have chosen to invest in smaller stocks, although their fund sizes are larger.
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