Political Science Association of Kasetsart University


Performance Persistence of Fixed Income Funds in Thailand
Type : AAMR

The objective of this research is to study the operational performance and persistence of fixed
income funds in Thailand during 2008 - 2017. The results reveal that the rate of returns of
most fixed income funds give the Underperforming for the case of not considering the risk
factors and measuring the performance by Sharpe Ratio. However, when considering Riskadjusted
Returns by using the Capital Asset Pricing Model (CAPM), the majority of fixed
income funds are found to be able to generate little excessive returns (Alpha) with statistical
significance. Besides, in studying the performance persistence of fixed income funds using
the Winner-Winner, Winner-loser Persistence Test, the results of this research confirm the
results of most researches on foreign fixed income funds that the performance of the Fixed
Income Funds has the persistence at low to moderate level. This demonstrates the empirical
results that fixed income funds are likely to continue to generate Poor Performance
Persistence more than Good Performance Persistence.

Date 02/01/2019 0
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