Comparing Risk-Adjusted Return and Market timing ability of Equity Fund in Thailand under the Application of Both Active and Passive investment policy strategies

  • ธีรกิจ ศิรินิกรวงศ์
  • สมพร ปั่นโภชา
Keywords: Risk-Adjusted Return, Market timing ability, Mutual fund with Active policy, Mutual fund with Passive policy


This independent study aims to a study and evaluation of Mutual fund management in Thailand under the application of both active and passive investment policy strategies   in terms of Risk-Adjusted Return by using 3 Ratios such as 1) Sharpe Ratio, 2) Treynor Ratio and 3) Sortino Ratio and also in terms of Market timing ability by using 2 models which were 1) Treynor & Mazuy and 2) Henriksson & Merton models. The data which used in the study collected from 18 Mutual funds (a monthly data from January 2014 to December 2019). The overall amount was 72 data.

From the study, we found that the Risk-Adjusted Return of any mutual fund with all 3 Ratios has the same direction i.e., if any Mutual fund has the Sharpe Ratio high the both of Treynor Ratio and Sortino Ratio are also high. So, all 3 Ratios are suitable financial instrument to evaluate the Risk-Adjusted Return. In addition, a Mutual fund which using Active policy had higher average rate of Risk-Adjusted Return than both of a Mutual fund with Passive policy and the market return. As for the study of Market timing ability, we found that most Mutual funds were lack of Market timing ability. There were only 3 funds which had Market timing ability which are all a Mutual fund with Active policy. And the Mutual funds which have Market timing ability will have higher return than the market


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