A comparison of returns and risk between Thai foreign-equity funds and Thai funds of funds

Abstract

This empirical study has been conducted for the comparisons of returns and risks of investments in foreign equity mutual funds between the mutual fund management companies and the foreign fund management companies. The objective for this study is not only the comparisons of the returns and the operational risks between mutual fund management companies and the foreign fund management companies, but also, the comparisons of foreign investment returns and risks in Thailand from the short term to the long-term, which period can make better return for the investors.  In this study, we utilize 28 foreign equity funds of funds with more than 5 years of maturity and currently, they are still open for trading with employing analytical tools such as Returns, β - Beta, Alpha (α - Alpha), Treynor Ratio and Sharpe Ratio. The consequences of the study will be divided into 2 parts. Part 1 is the comparison of returns and risks between foreign investment funds and SET Index from 2016 - 2020 in conclusion foreign investment funds are in the same direction as the SET Index but it gives more returns than SET Index for both the average yearly period and over a period of 5 years and overseas investment funds with a 5-year returns are greater than their average annual returns. Part 2 is the comparison of returns and risk between Thai foreign-equity funds and Thai funds of funds company from 2016 to 2020 in conclusion the average yearly period and over a period of 5 years Thai foreign-equity funds and Thai funds of funds going in the same direction as the SET Index but Thai funds of funds better than Thai foreign-equity funds and Thai foreign-equity funds and Thai funds of funds over a period of 5 years offer higher returns over an average yearly period.