Evaluation of Administration of Investment in Mutual Funds in Thailand: Case Study of Application of Security Selection Approach to Predict Marketing Conditions to Improve Market Timing and Mixed Active Portfolio with Passive Portfolio during 2010 - 2014

  • ณัฐณิชา กลีบบัวบาน
  • บัณฑิต ผังนิรันดร์
Keywords: evaluation of the administration of investment, security selection prediction of market timing, mixed active portfolio with a passive portfolio approach

Abstract

           The objectives of this research were as follows: First, to facilitate the performance appraisal for the open-ended mutual funds in Thailand, applying the Sharpe, Treynor, Jensen and the Information Ration; Secondly, to provide for the mutual funds managers' performance in respect of market timing under Treynor-Mazuy concepts and Henriksson–Merton model; Finally, to make the comparative assessment concerning the active portfolio management and the passive one, under the Treynor-Black model. The study two hundred samples utilized consisted of the data on the monthly net asset value of the mutual funds for sixty periods over
           2010-2015; the studied mutual funds had the performance intervals of no less than five years. The analysis of data made use of multiple regression analysis.
           The results of the analysis were as follows: First, based on the Sharpe and Treynor measures, the mutual fund under investigation of more than fifty percent did obtain the abnormal rates of return. Besides, the performance of the one hundred and thirty-three mutual funds had positive Jensen Alpha; similarly, for the Information Ratio, this indicated that the mutual fund managers had effective skills is the fund manager. Secondly, it was found that fund managers under the sample studied were successful in using the market timing strategy. Finally, this study found that most of the mutual fund managers were able to attain their abnormal return by adopting active portfolio management rather than the passive one.

Author Biographies

ณัฐณิชา กลีบบัวบาน

Natnichar Kleebbuabam
College of Innovation and Management, Suan Sunandha Rajabhat University

บัณฑิต ผังนิรันดร์

Bundit Pungnirund
College of Innovation and Management, Suan Sunandha Rajabhat University

References

สมาคมบริษัทจัดการลงทุน-มูลค่าสินทรัพย์สุทธิกองทุนรวมภายใต้การจัดการ (ออนไลน์: http://oldweb.aimc. or.th/21_overview_detail.php?nid=10&subid=0&ntype=2 )

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Published
2019-05-31
Section
Research Articles