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The objectives of this research were to study 1) risk and return of Investment on Equity Fund in The SET50 Index. And 2) the relationship between return and risk of Investment on Equity Fund in The SET50 Index under Capital Asset Pricing Model.
Data in this study consisted of equity fund in the SET50 index. The closing price of the Fund on the last business day of the month during January 1, 2012 to December 31, 2016 were used in this study including 12 equity funds namely TMB50, 1AMSET50, KFLTF50, K-SET50, KFLTFA50-D, M-S50, KFENSET50, CIMB-SET50, ASP-SET50, SCBSET50, SCBRMS50 and TMB50DV were studied, The relationship between return and risk was investigated by using Capital Asset Pricing Model in order to guide for investment decisions.
The results showed that 1) equity funds in the SET50 index have systematic risk values between 0.004746 and 0.051976. The highest risk is TMB50 and the lowest risk is TMB50DV. The expected return is between 0.2354 and 0.2562. The highest yield is TMB50 and the lowest is TMB50DV, which corresponds to high risk high return. 2) Under the Capital Asset Pricing Model (CAPM), 12 mutual funds have a lower rate of return than return rate of the stock market at the same level of risk, or called over valued. It meant that the market fund prices were higher than their real values.