Analysis of the return and risk of Retirement Mutual Fund in Thailand

Abstract

The objective of this independent study was to analyze the returns and volatilities of Retirement Mutual Fund (RMF) in Thailand by using Sharpe Ratio, Treynor Ratio, Information Ratio and Value at Risk, and then analyze and forecast the volatilities with GARCH(1,1). Only equal 5 years age of funds and no dividends will consider in this study, find out 49 funds. Data for this study is the daily net asset value of each fund from January 4, 2013, until December 30, 2020, totally 1,220 observations.

The results show that the mutual fund Retirement Mutual Fund has the maximum Sharpe Ratio is TMBCORMF, maximum Treynor Ratio is TMBCORMF and maximum Information Ratio is KMSRMF. For the VaR at 95% and the VaR at 99% confidence interval, the maximum is T-LowBetaRMF. In part of GARCH(1,1) the BSIRIRMF is the fund that has the lowest RMSE in this forecast and the highest is SCBRMJP.

From study analyze of Retirement Mutual Fund investment policy in foreign funds such as TMBCORMF, TMBGQGRMF and TMBAGLRMF of TMBAM Eastspring asset management company is a mutual fund to invest for investors who want high returns and not afraid of taking risks. And overview found most mutual funds better than the market from the average return of the market value is 0.13% (42 funds from 49 funds receiving the average return more than the market).