Risk, return and performance of equity funds in Thailand

Name: Kittipong Lertsettasart

LCSH: Kasetsart University -- Theses. M.B.A. 2019

Classification :.LCCS: HG5750.55.A35

LCSH: Kasetsart University. -- Department of Business Administration -- Theses

LCSH: Mutual funds -- Thailand

LCSH: Rate of return

Abstract: Equity fund has been becoming popular over the decades in Thailand due to favorable return on investment and tax deduction. Therefore, the research aims to examine risk, return, and performance of equity funds. The study period covered five years from 1 January 2013 to 31 December 2017. The risk was measured through standard deviation and beta. Additionally, return was computed as Net Asset Value (NAV) dividend adjusted return. Fund performance was analyzed through Sharpe ratio, Treynor ratio, Jensen’s alpha, and Information ratio. The results indicated that equity fund exhibited average 5-years risk measured by standard deviation at 14.45% which was higher than the Stock Exchange of Thailand (SET) exhibiting at 12.19%. In addition, risk measured by beta showed the average risk of equity funds at 0.77, indicating lower risk compared to the risk of the SET. NAV dividend adjusted return was focused on average at 14.45% which was higher than the NAV of the SET, exhibiting at 5.5% which showed that equity fund outperformed the SET in terms of higher return with lower risk measured by beta. Considering performance measured by Sharpe ratio, Treynor ratio, Jensen’s alpha, and Information ratio, the result revealed the average ratios at 0.05, 17.47, 5.47, and 3.41, respectively. Both Sharpe ratio and Treynor ratio of equity fund outperformed the ratios of the SET, showing at 0.37 and 4.5, respectively. Such outperformance confirmed that equity fund is a good alternative choice for investment.

Kasetsart University. Office of the University Library

Address: Bangkok

Email: tdckulib@ku.ac.th

Name: Surang Hensawang

Role: Thesis Advisor

Created: 2019

Modified: 2025-07-03

Issued: 2025-07-03

วิทยานิพนธ์/Thesis

application/pdf

URL: https://www.lib.ku.ac.th/KUthesis/2562/kittipong-ler-all.pdf

CallNumber: HG5750.55.A35 .K58

eng

Spatial: Thailand

DegreeName: Master of Business Administration

Level: Master's Degree

Descipline: Business Administration

Grantor: Kasetsart University

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