การวิเคราะห์อัตราผลตอบแทนและความเสี่ยงของกองทุนรวมตราสารแห่งทุนที่บริหารจัดการโดยบริษัท หลักทรัพย์จัดการกองทุน ยูโอบี (ประเทศไทย) จำกัด

Abstract

This study aims to analyze the yield of 11 equity funds managed by UOB Asset Management (Thailand) Public Company Limited by comparing with United Singapore Growth Fund (UOBUGFI) managed by UOB Asset Management (Singapore). Eleven equity funds of UOBAM (Thai) include Kamrai Permpoon Open-ended Fund (KPLUS), Kamrai Permpoon Open-ended Fund 2 (KPLUS2), Thai Dragon Fund (TDF), Kiatnakin Fund (KKF), Thai Equity Fund (TEF), Thai Equity – Dividend Fund (TEF-DIV), UOB Smart Active SET 100 Fund (UOBSAS100), UOB Smart Active SET 100 Dividend Fund (UOBSAS100D), UOB Smart Dividend-Focused Equity Fund (UOBSDF), UOB Smart SET50 Fund (UOBSET50), and Thai Value Focus Equity-Dividend Fund (VFOCUS-D). The analysis applies Stochastic Dominance Model to be the guideline for investors’ decision in the investment by using daily time-series data about the yield of Net Asset Value (NAV) on September 7, 2012 – March 31, 2015 (628 observations ). The test applying Augmented Dickey-Fuller Test (ADF-test) of Unit root test to analyze 12 equity funds reveals that the observation of all data are stationary with the level of statistical significance of 0.01% . There are several kinds of results from the test, including non- intercept and trend test, intercept test, and intercept and trend test. These results can later be used to find the yield of Net Asset Value (NAV) based on Stochastic Dominance Model. Results from Stochastic Dominance Model show that Thai Dragon Fund (TDF) provides the most satisfying yield due to its dominate quality with providing the yield for 13 times, followed by United Singapore Growth Fund (UOBUGFI) with providing the yield for 11 times. The equity fund that the investors are satisfied with its yield the least is UOB Smart Dividend-Focused Equity Fund (UOBSDF) with its recessive qualities for 13 times, followed by Thai Equity Fund (TEF) and UOB Smart SET50 Fund (UOBSET50) with the recessive qualities for 12 times. To sum up, the best equity fund that has no recessive quality is United Singapore Growth Fund (UOBUGFI). In addition, the equity funds that have no dominated quality are Thai Equity Fund (TEF) and UOB Smart SET50 Fund (UOBSET50).