A comparative study on passive investment in Equity Index fund and Index ETF

  • กรรณิการ์ นิติเจริญพงศ์
  • ธฤตพน อู่สวัสดิ์
Keywords: ETF, Equity Index Fund, Index ETF, Shape Ratio, Jensen’s Alpha, Tracking Error


Equity index fund and index ETF are the way of passive investment that seeks to create returns based on the index. Currently, index ETFs in Thailand are not as popular as Equity index fund.  Investors are use a variety of information to make decisions about investing in their interest securities. Therefore, we have studied the all past data from 26 August 2011 until 31 December 2019 of Equity index fund and index ETF in order to analyze whether the Equity index fund has superior performance than index ETF or not. The performance parameter used in the study are rate of daily return, Shape ratio, Beta coefficient, Jensen's Alpha and Tracking error. The results show no significant difference in the rate of return, Shape ratio, Beta coefficient and Tracking error between Equity index fund and index ETF. But the Jensen's Alpha of Equity index fund is significantly higher than index ETF.

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