การศึกษาเปรียบเทียบอัตราผลตอบแทนและความเสี่ยงจากการลงทุนผ่านกองทุนรวมหุ้นระยะยาว โดยพิจารณาผ่านมาตรวัด Treynor, Sharpe และ Jensen / พัชรา ศิลานุกิจ = The comparative study of return and risk on long-term equity fund through Treynor, Sharpe and Jensen measures / Patchara Silanukij
The objective of this study is to evaluate returns, risks and performance of fifty-two long-term equity funds (LTFs). The data consists of Net Asset Value (NAV) of each individual fund from October 2004 to December 2011. The comparison and evaluation of funding performance are calculated by using the conceptual framework of Treynor, Sharpe and Jensen measures. The result of the LTF performance comparison through those 3 measures during the period of 1 month, 3 months, 6 months and 12 months shows that there were 3 consistently outperforming funds. They are Bualuang Long-Term Equity Fund 75/25, Bualuang Long-Term Equity Fund and MFC Islamic Long-Term Equity Fund with average return during 2011 approximately 13.76%, 16.43% and 17.75%, respectively. At confidence level of 95%, all three measures are significantly different. Most measures show that group of long-term equity fund which has standard asset allocation and has no dividend payment policy has the best performance with Treynor ratio. The group of long-term equity fund which has asset allocation less than SEC standard and has no dividend payment policy possess the second performance. With Sharpe ratio and Jensen ratio, the group of long-term equity fund which has standard asset allocation and has dividend payment policy presents the lowest performance. Aberdeen Asset Management Limited has outstanding performance with Treynor, Sharpe, and Jensen ratios, especially Jensen ratio indicating an excess return over the market of approximately 4.2% per year.
