MUTUAL FUND PERFORMANCE AND ITS PERSISTENCE: AN EMPIRICAL STUDY OF EQUITY MUTUAL FUNDS IN THAILAND

Abstract

This study intends to analyze Thailand's performance and durability of equities mutual funds. Unlike earlier studies of mutual funds in Thailand, this investigation examines every component using performance persistence and inversion. The sample consists of information from 274 equity mutual funds with a maturity of at least five years by the end of 2020. Sharpe, Treynor, and Jensen's Alpha were utilized to evaluate risk-adjusted performance. According to Sharpe and Jensen's Alpha metrics, equity mutual funds underperform the market by a wide margin. However, using Treynor's metric, the differences are not statistically significant. Inversion is shown instead of repeated when positive and negative returns are considered. In terms of performance relative to the SETTRI market index, the significant loser is more likely to replicate than the considerable winner. In addition, it is uncommon for losers to become winners. The findings indicate that persistence is a transient phenomenon. Moreover, investors should base their decisions on winner vs loser performance.