Chulalongkorn University Theses and Dissertations (Chula ETD)

Other Title (Parallel Title in Other Language of ETD)

การประเมินผลการดำเนินงานกองทุนรวมด้วยเกณฑ์เปรียบเทียบเชิงรุก ของกองทุนหุ้นในประเทศของประเทศไทย

Year (A.D.)

2021

Document Type

Independent Study

First Advisor

Anirut Pisedtasalasai

Faculty/College

Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline

Finance

DOI

10.58837/CHULA.IS.2021.82

Abstract

We use the active peer benchmarks (APB) methodology suggested by Hunter et al. (2014) to capture commonalities or common idiosyncratic noise in fund strategies. These commonalities cannot be captured by the Carhart 4-factor model and it also decreases the accuracy in fund performance evaluation. Firstly, we examine the efficiency of the APB methodology compared with the Carhart 4-factor model. Then we also use the APB methodology to evaluate the performance of actively managed Thai open-end domestic equity funds from January 2006 through December 2020. In the APB methodology, we focus on two dimensions: fund returns and the fund’s investment objectives. Our study applies the Carhart 4-factor model with the added benchmark that indicates an equal investment in each fund included in the category as a whole. We call this additional benchmark an "active peer benchmark" (APB). We discover that the active peer benchmark (APB) methodology is able to decrease the average time series pair-wise residual correlations between individual funds in the same APB category when we add the APB factors to the Carhart 4-factor model, which increases the accuracy in fund performance assessment. This active peer benchmarks methodology is also able to determine which mutual funds within each peer group are performing the best.

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