ผลการดำเนินงานของกองทุนรวมหุ้นไทยในช่วง 2015 ถึง 2019

Authors

ผศ.ดร.ณัฐวุฒิ เจนวิทยาโรจน์

Published

งานประชุมวิชาการของสถาบัน ประจำปี 2562

Abstract

This study examines the performance of active Thai equity mutual funds during
January 2015 to January 2019, and then compares the performance of these funds during
January 2015-January 2019 with the performance of active Thai equity mutual funds during
1995-2014 from the study of Nattawut (Nattawut Jenwittayaroje, 2017). The results of this

study show that, during January 2015-January 2019, the performance (based on both before-
fee and after-fee returns) of the active Thai equity mutual funds is in tandem with the

performance of the overall Thai stock market. However, during January 2015-January 2019,
based on an after-fee basis, those active Thai equity mutual funds underperform the market
by about 2.2% per year, compared with the underperformance of about 0.47% per year
during 1995-2014. Moreover, based on several risk-adjusted return measures such as Sharpe
ratio, Treynor Index, and Jensen’s Alpha, those active Thai equity mutual funds still
underperform the overall Thai stock market during January 2015-January 2019. The results of
this study, therefore, are consistent with the results of Nattawut (Nattawut Jenwittayaroje,
2017) during 1995-2014.

ผลการดำเนินงานของกองทุนรวมหุ้นไทยในช่วง 2015 ถึง 2019 . สถาบันบัณฑิตพัฒนบริหารศาสตร์ , งานประชุมวิชาการของสถาบัน ประจำปี 2562 (944-956).