ประสิทธิภาพของกองทุนรวมในประชาคมเศรษฐกิจเอเชียตะวันออกเฉียงใต้

Authors

รศ.ดร.สรศาสตร์ สุขเจริญสิน, น.ส.ยุพวดี ชินพฤทธิวงศ์

Published

Chulalongkorn Business Review

Abstract

This paper examines the performance measure of mutual funds in the Southeast Asian region. The Data Envelopment Analysis (DEA) methodology has been used to measure the performance of mutual funds, instead of the traditional performance measures of the Sharpe Index, Treynor Index and Jensen’s Alpha. The net expense ratio is taken into account in measuring the performance of mutual funds in the Southeast Asian Economic Community. The result of the study shows that Singapore Mutual Funds is the most efficient fund .while mutual funds from Malaysia and Thailand are at the lower level of performance each year. When considering the types of mutual funds in each country, it is found that money market mutual funds and fixed-income mutual funds are higher-performance mutual funds compared to other types of mutual funds. The main factors affecting the performance of mutual funds of the three countries are the risk of yields of mutual funds and the net expense ratio. Mutual funds in Thailand have most input slack variables both of risk and net expense ratio. As a result, the mutual funds in Thailand is in the lower performance compared to those of Singapore and Malaysia. The size of the fund is the only factor that contributes to the efficiency of the fund. For the study of determinants of fund performance in the Southeast Asian Economic Community .The correlation between the efficiency scores of the funds from the DEA method and the determinants of the efficiency of the mutual funds were estimated by using the Ordinary Least Square (OLS) model. It is found that Mutual Funds in Malaysia Singapore and Thailand have the characteristics of mutual funds with positive and negative mutual fund performance in different countries. For Malaysia , if the ratings of the Fund increase, the efficiency of the Fund will also increase. The Money Market fund and the Fixed Income fund have more efficiency scores than other types of mutual funds. And Equity fund is a fund with significant lower performance than other types of mutual funds. But for Singapore If the fund has been performed for a long period with higher rating, the efficiency of the fund will increase significantly. However, the bigger size of the fund will have lower performance compared to the funds with smaller size. When considering the types of funds, balanced funds and equity funds have lower performance scores than other types of mutual funds. Mutual funds with foreign investment policies will significantly have a lower return on fund performance than other types of mutual funds. For Thailand, the higher the fund’s rating will lead to the better performance of the fund. If the larger mutual fund is less effective than the smaller one, the mutual fund will be considered as a fund with lower asset performance than other mutual funds. Money market funds have essentially higher performance scores than other types of mutual funds In addition, 1)the study of consistency of fund performance of the three countries from the Transference Matrixes method, 2)relationship of performance score in the past and 3)the present performance scores shows that the three funds are consistent in terms of fund performance such as historical performance scores and current performance scores are positively correlated. And the funds of all three countries are mostly in the quartile. In Malaysia, if the fund is larger, there is a possibility that the mutual fund will be in the same group of performance. However, if the market fund is a factor, it is likely to change the performance group more than other types of mutual funds. For Singapore the higher the rating, the higher the probability of a change in performance. And if it is equity funds. Fixed Income Fund And the mutual fund has the probability of changing the performance group over other types of mutual funds. If the money market fund is likely to be in the same performance group than other types of funds. Similarly, mutual funds with foreign investment policies are more likely to be in the same performance group than mutual funds with a policy of investing in the country. In Thailand If the age of the fund increases, it will have the opportunity to change the performance group. And if the fund is larger, it will give the fund a chance to change its performance. The results of this research are beneficial for the competition policy. And strategies of both investment management companies. The government and private sectors are involved in the investment policy. In order to increase efficiency and develop the potential of each fund in the future. It is also beneficial for investors to invest in mutual funds that are efficient and consistent in their performance in the Southeast Asian Economic Community.

(2562). ประสิทธิภาพของกองทุนรวมในประชาคมเศรษฐกิจเอเชียตะวันออกเฉียงใต้. Chulalongkorn Business Review, 41(160), 1-21.