Empirical Analysis of Returns and Volatilities of the Flexible Funds in THAILAND

Abstract

The objective of this study is to analyze the returns and volatilities of the flexible fund in Thailand by using Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Information Ratio and Value at Risk, and then analyze and forecast the volatilities with GARCH(1,1).
Only the greater or equal 5 years age of funds will be considered in this study, find out 31 funds. Data for this study is the daily net asset value of each fund from March 3, 2014, until February 28, 2019, totally 1,221 observations and it’s the secondary data. This study uses the returns on capital gain, exclude dividend.
The results show that the flexible funds in Thailand have the average return at 2.90% annually, the fund with a maximum annual return is LHFL, 8.12% and the fund with a minimum annual return is KFFLEX-D, -7.84%. Besides, the flexible funds in Thailand have average volatilities at 10.56% annually. The fund with maximum and minimum annual volatilities are KFFLEX-D and KFSMUL, 17.42% and 2.65% respectively. The result of examines the performance as follows. For Sharpe ratio, the maximum is KFSMUL and the minimum is KFFLEX-D, also Treynor Ratio. For Jensen’s Alpha, the maximum is LHFL and the minimum is KFFLEX-D. For the Information ratio, the maximum is TISCOAGF and the minimum is KFFLEX-D. For the VaR at 95% confidence interval, the maximum is LHFL and the minimum is TISCOAGF. In part of GARCH(1,1) find that not only the model is available to analyze fund’s volatility since GARCH effect is significant and the large term in variance equation but also predictable. The KFSMUL is the fund that has the lowest RMSE in this forecast and the highest is KFTW2