Risk and Return of Equity Funds and Exchange-traded Fund: Krungthai Asset Management Company Limited Evidence

Napaporn Nilapornkul, Marisa Suwankhaji

Abstract


This research has attempted to examine risk and return of equity funds and exchange-traded fund (ETFs) under administrated by Krung Thai Asset Management Company Limited. This study focused on the comparison among the relationship of the return rate of equity funds and ETFs funds and the return of security markets (the Stock Exchange of Thailand: SET) by employing Capital Asset Pricing Model (CAPM). The secondary data were used in term of monthly net asset value (NAV) for equity funds, closing price for ETFs and SET index during December 2011 to August 2016. The study included three equity funds: 1) Krung Thai Selective Equity Fund: KTSE, 2) Krung Thai Smart Equity Fund: KTEF and 3) The Krung Thai Dividend Selected Fund: KTSF. In addition, two ETFs were added: 1) THAIDEX SET50 EXCHANGE TRADED FUND: TDEX, and 2) ThaiDEX SET High Dividend ETF:  1DIV. This study employed the rate of one-year Treasury bill as the rate of return of non-risk security. This study found that most of equity funds and ETFs, except KTSE fund, provided rate of return higher than the return of market. However, all funds provided beta coefficient lower than 1.00, reflecting lower risk than overall securities in SET.    

 

Keywords: risk; return; equity fund; ETFs fund, beta coefficient


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References


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