THE RELATIONSHIP BETWEEN THE PERFORMANCE AND THE AVERAGE RATE OF RETURN COMPARE RISK OF MUTUAL FUNDS IN THAILAND

Authors

  • นภัสนันท์ บรัศไพบูลย์ Khon Kaen University
  • สุรชัย จันทร์จรัส Khon Kaen University

Keywords:

Performance of mutual fund, Sharpe ratio

Abstract

This research purposes was to compared the performance of funds and Sharpe ratio’s funds. The assumption of the funds have Sharpe ratio more than 1 are the higher performance funds. This study
selected 122 mutual funds are over five year from 14 companies by Data Envelopment Analysis (DEA) model. Results from this proposed model show 6 mutual funds: SCBPGF invested in equity funds, ABCC invested in money market, ABEG invested in foreign investment fund, ABSI-RMF invested in Retirement Mutual Fund, 3MR(A) invested in fixed income funds and BCARE invested in foreign investment fund have efficiency score1(highest performance funds) and only BCARE funds has Sharpe ratio more than 1. The result shown performance and Sharpe ratio’s aren’t relationship 

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Published

2018-03-30

How to Cite

บรัศไพบูลย์ น., & จันทร์จรัส ส. (2018). THE RELATIONSHIP BETWEEN THE PERFORMANCE AND THE AVERAGE RATE OF RETURN COMPARE RISK OF MUTUAL FUNDS IN THAILAND. Modern Management Journal, 14(1), 41–50. Retrieved from https://so04.tci-thaijo.org/index.php/stou-sms-pr/article/view/40167

Issue

Vol. 14 No. 1 (2016): มกราคม-มิถุนายน 2559

Section

Research Articles