Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
ผลกระทบของลักษณะผู้จัดการกองทุนต่อผลการดำเนินงานของกองทุนรวมของหุ้นสามัญภายในประเทศไทย
Year (A.D.)
2023
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.2023.353
Abstract
This paper aims to reconsider whether mutual funds managers’ characteristics, including gender, working experience (tenure), and CFA designation, affect the fund risk-adjusted performance, using the Thai open-ended domestic equity funds from 2018 to 2023. The first objective is to examine whether each fund manager characteristic impacts the fund risk-adjusted performance (alpha), including Jensen’s, 3-factor Fama French, and 5-factor Fama French alpha, using the pooled ordinary least square (OLS) regression. The alphas are estimated over the 24-month rolling window. The second objective of the study, as the extension of the first objective, is to examine the fund performance persistence over the next 12 months and 24 months following the initial ranking period for each fund manager's characteristic, including male, female, longer working experience, shorter working experience, CFA charter holder designation, and non-CFA charterholder designation manager’s fund. I determined that however, on average, fund managers tend to generate negative alphas for their investors, there is a significant positive relationship between female, less experienced, and/or CFA-designated fund managers and risk-adjusted performance, which supports the behavioral finance as the overconfidence and too risky managed portfolio of male fund managers, the survivorship in the mutual fund industry for the less experienced fund manager which needs to work harder than more experienced fund manager, and more knowledge in the investment management industry to obtain the CFA designation. Regarding the fund performance persistence, the 12-month performance persistence mainly occurs in most characteristics, except the female manager’s fund. For 24-month performance persistence, the persistence more explicitly exists in males, with longer working experience, and/or non-CFA designated manager’s fund.
Other Abstract (Other language abstract of ETD)
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Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Rathanit, Krisana, "Impact of fund manager characteristics on Thailand domestic equity mutual fund performance" (2023). Chulalongkorn University Theses and Dissertations (Chula ETD). 11182.
https://digital.car.chula.ac.th/chulaetd/11182
