A STUDY ON PERSISTENCE AND PERFORMANCE OF MUTUAL FUNDS IN THAILAND.

Jaithip  Klongdee; Prajya  Ngamjan

Jaithip Klongdee Graduate Student of Kasetsart University, Thailand
Prajya Ngamjan Department of Business Management, Faculty of Liberal Arts and Management Science, Kasetsart University, Thailand

Keywords: information ratio, Jensen’s Alpha, mutual fund performance persistence, portfolio performance, Sharpe ratio, Spearman's Rank correlation coefficient, tracking error ratio, Treynor ratio

Abstract

This study investigated portfolio performance and performance persistence of 74 equity funds (EQs)and foreign investment funds (FIFs) in Thailand during 2014-2018. Portfolio performance was evaluated by employing Sharpe, Treynor, Jensen, Information and Tracking error ratios. Portfolio performance persistence was assessed via Spearman's Rank correlation coefficient. The study found that, after adjusting for risk and return, the EQs and the FIFs significantly outperformed and underperformed the market, respectively. Regarding performance persistence, Spearman's Rank correlation coefficients indicated that the performance of both equity and foreign investment funds was not persistent. Particularly, during 2015-2016, the performance of FIFs was significantly negatively correlated, implying that the 2015 winner (loser) would turn loser (winner) in 2016.In terms of ability to persistently beat the market, most funds that could beat the market in the previous year were not able to continuously beat the market for more than two consecutive years. In addition, the study found that the number of funds that could continuously beat the market was highest during the period of 2017-2018.