The Comparative Study of The Rate of Return on Gold Mutual Funds with Oil Mutual Funds

  • สันติภาพ เพียรวนิช
  • บรรเจิดศักดิ์ สัณหภักดี
Keywords: Gold Mutual Fund, Oil Mutual Fund, Risk of fund, Risk-free rate asset

Abstract

Comparison of study the rate of return on investment through gold and oil Mutual funds in the investment policy 80% of investing in offshore Gold and Oil Mutual fund. To study the relationship by Correlation Analysis and Liner Regression Analysis Model with NAV of the four gold Mutual fund such as MFC-GOLD, TMB-GOLD, K-GOLD, SCBGOLD, SPDR Gold and four oil Mutual funds such as MFC-OIL, TMB-OIL, K-OIL, TISCO-OIL, PowerShares DB Oil. To bring data for comparative of the return by method of Shape and Treynor-Black. Period of study in January to December in 2012. The study of calculation to had the results follow as Equation’s Pearson to found the relation of four Gold Mutual fund. They had been relation between fund to fund as High level, and associated with SPDR Gold and London PM as High levels but correlated inversely with the Exchange rate per U.S. dollar, the baht, in Moderate to high levels ( Table 4.1). The relation of 4 Oil Mutual fund, they had relation between fund to fund was High level, and associated with PSDB Oil in High level. The relationship varies according to the fund PSDB Oil level is correlated with variation in the London PM gold price low to moderate but correlated inversely with the Exchange rate per U.S. dollar currency low to moderate (Table 4.2). The analysis of the linear regression in the form of a chart (Figure 4.1 to 4.4 ) The fourth gold Mutual fund to showed linear trends reflect the positive (+) or a trend upward during the calculation. But the variance (R2) close to zero, or highly variation of NAV. (Figure 4.5 to 4.8) The fourth Oil fund showed linear trends reflect the slope is negative (-) or the trend downward during the calculation. However, the variances (R2) middle level, or moderate variation of NAV. The study compared the rate of return on investment in gold and oil funds per the risk of the fund by follow with models of Sharpe measuring and model of Treynor-Black measuring to applies with gold fund and oil fund. The results obtained from the calculation based on the model of the Shape the gold in all 4 Mutual funds and oil all four fund all eight funds, the calculated values are in the same direction is negative , or the return on the risk of the fund. interest rates on government bonds under one year of age , according to the calculated values of the Shape of the gold is between -0.0143 to -0.0286 and oil is between -0.0031 to -0.0122. (Table 4.3 , 4.4) The results obtained by calculation of Treynor-Black Model. Find all four gold Mutual funds shows positive +0.3785 and all four oil Mutual funds show negative -0.0004 that mean the returns of oil Mutual fund was lower than the returns of oil fund of benchmark. Values calculated by the model of Treynor-Black. In gold is between +0.3763 to +0.3790 and oil is between -0.0004 to -0.0004 (Table 4.5, 4.6). The study to found investing fund in 4 gold Mutual fund or 4 oil Mutual fund as found K-Gold and K-Oil, they were the best of value in the Sharp model during period of the study. The 4 gold Mutual fund to found SCB-Gold was the best of value in the Treynor – Black model. The all oil Mutual fund calculation were same value of them in The Treynor – Black to negative. So, on the consideration period should not invest in any gold and oil fund.

Published
2014-06-02
How to Cite
เพียรวนิชส., & สัณหภักดีบ. (2014). The Comparative Study of The Rate of Return on Gold Mutual Funds with Oil Mutual Funds. Business Review Journal, 6(1), 85-102. Retrieved from https://www.tci-thaijo.org/index.php/bahcuojs/article/view/143764
Section
Research Articles

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