| Author | Tarinee Jearanaiwongkul |
| Call Number | AIT RSPR no.SM-15-03 |
| Subject(s) | Mutual funds--Thailand
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| Note | A research study submitted in partial fulfi l lment of the requirements for the degree of Master of Business Administration in Business Administration - MBA |
| Publisher | Asian Institute of Technology |
| Series Statement | Research studies project report ; no. SM-15-03 |
| Abstract | Over the past decade, mutual funds play significantly role in financial market. Due to their benefits, mutual funds are becoming popular alternative choice for investors. Most investors are looking NAV. However, it is not enough. Investors have to concern in other aspect. Fund managers, who manipulate portfolio and get paid from management fee by investors, should be assessed by looking on their abilities. In order to examine fund manage r performance, it has to consider for two aspects. First is stock selection skill which reveals how well of fund managers to diversify and choose stock for their portfolios. Another skill is market timing which represent how well of fund managers tim e the market and reallocate their portfolios regard to market movement. This research examine fund manager performances based on Shape ratio, Treynor ratio, Jensen’s Alpha, Treynor and Mazuy model, and Henriksson and Merton model. Moreo ver, the previous models are used to evaluate large - cap equity fund in Thailand during period of 5 years. For the selectivity, the results of Sharpe and Traynor ratio reveal there is little evidence that fund managers have stock selection skill. In contra st, by looking at Jensen’s Alpha, it has been found that there is no evidence for selectivity skills which consistent with result from Treynor and Mazuy model, and Henriksson and Merton model. For market timing, the results, which applying by Treynor and Mazuy model and Henriksson and Merton model, are being consistent and show little evidence that fund managers have timing skill. |
| Year | 2015 |
| Corresponding Series Added Entry | Asian Institute of Technology. Research studies project report ; no. SM-15-03 |
| Type | Research Study Project Report (RSPR) |
| School | School of Management |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Master of Business Administration (MBA) (Publication code=SM) |
| Chairperson(s) | Supasith Chonglerttham; |
| Examination Committee(s) | Juthathip Jongwanich;Yuosre Badir; |
| Scholarship Donor(s) | Royal Thai Government Fellowship; |
| Degree | Research report (M.B.A.) - Asian Institute of Technology, 2015 |