ประสิทธิภาพของกลุ่มหุ้นคุณค่าและกลุ่มหุ้นเติบโต ภายใต้ภาวะตลาดที่แตกต่างกัน

Abstract

The objective of this independent study, ‘Performance of Value and Growth Stock Portfolios under Different Market Conditions’ aimed to study and analyze performance (Return and Risk) of Value and Growth Stock Portfolios by analyzing with market conditions (Bull and Bear Markets). Measure their performances by using portfolios performance measurement indices which combine risk and return performance into a single value (risk-adjusted return). In this study, Sharp’s Ratio Trenor’s Ratio and Jensen’s Alpha are applied. The past six years of secondary data source are used, totally 72 months (6 years) started from January 2008 to December 2013. This study categorizes and groups stocks by using P/E and P/BV, separating total stocks in SET Index to Value Stock and Growth Stock Portfolios. Then, each monthly stock return is computed by using monthly close price and dividend. After that, portfolio’s monthly return is calculated base on the Equally Weight Approach. Moreover, the author classifies market conditions by comparing market return and risk free rate of return. Lastly, SET Index is used to represent the market rate of return and the interest rate from 2008 to 2013 is used to represent risk-free rate. When computing only return and risk and comparing between value and growth stock portfolios, the study result found that, the return and total risk (Standard Deviation) of value stock portfolio is higher than those of growth stock portfolio but, value stock portfolio has lower systematic risk (Beta) than growth stock portfolio. However, When return and risk of Value and Growth Stock Portfolios are analyzed and measured the hypothesis by applying Sharp’s Ratio Trenor’s Ratio and Jensen’s Alpha, it is indicated that the performance of both Value and Growth Stock Portfolios are not different even in bull market or bear market conditions. The result of three methods confirms the same conclusion. Furthermore, the stock portfolios (both value and growth stock) in bull market condition generate higher return than in bear market condition. In conclusion, even the value factor and market conditions factors do not have any effect on the performance of value and growth stock portfolios and does not make the return of both kind of stock portfolio to be different. But, the market conditions affect directly on the performance of the overall stocks in the market. Portfolio’s returns in the bull market and bear market condition are significantly different.