การศึกษาปัจจัยที่มีผลต่อประสิทธิภาพของกองทุนรวมที่ลงทุน ในตลาดหลักทรัพย์แห่งประเทศไทย / สรณ์สิริ กาญจนสุข=A study on factors that affect mutual fund's performance investing in the stock exchange of Thailand / Sornsiri Karnchanasook
Since there is no clear evidence on which attributes have an effect on mutual fund performance measured by risk adjusted return. Therefore, this individual study project was conducted to study on the performance of open-ended equity mutual funds that invest in the stock exchange of Thailand (SET). The study period are from January of 2013 to December of 2018 with a total number of 186 funds in scope. This study uses Treynor ratio and Jensen’s alpha as a measure of fund’s performance and then run a linear regression analysis model to test a hypotheses of relationship between selected fund’s attributes and fund’s performance. These attributes include net asset value (NAV), age, management fee, and bank’s affiliate status of a fund issuer. The result indicates that fund’s size has a positive relationship while management fee and bank’s affiliate status has a negative relationship with fund’s performance and fund’s age has no significant relationship. From this empirical result, we can conclude that a larger size and a lower management fee would enhance the fund’s performance, but being a bank affiliated fund would not enhance the fund’s performance. Given all others factors constant.