Study Performance and Ranking of Mutual Fund From investment in Index Funds in Thailand

  • สรรพวัฒน์ อารีกุล
  • สมพร ปั่นโภชา
  • ธนโชติ บุญวรโชติ
Keywords: Mutual Funds, Index Fund

Abstract

Ranking performance is a very necessary information for retail investors for investment in mutual funds that continually grows in Thailand.
The objective of this research paper is to select an appropriate model to analyze fund performance in different scenarios of return distribution. Data of Ranking performance of 9 funds will be compared from 1 January 2014 until 28 December 2018. Empirical findings strongly suggest the non-normal return distributions and the Fat-tail emerge distinctly in all return distributions. Return on Modified VaR (RoMod. VaR) is a measure capable of including FatTail effect into ranking performance hence it is an applicable option in this scenario. Other significant performance measures, i.e. Sharpe Ratio, Return on VaR (RoVaR), will also be utilized for model comparisons and a 99% confidence interval level is used for all models. Sharpe Ratio and RoVar generate appear to be the same in ranking because they use volatility as a risk proxy. Their rankings differ from that of RoMod.VaR because the latter includes Skewness and Kurtosis as extremely risky. Therefore, a proper study in selecting a model is very essential in determining performance ranking under different scenarios for return distribution.

Published
2020-01-30

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