การเปรียบเทียบผลการดำเนินงานของกลุ่มหลักทรัพย์ที่กำหนดให้ความเสี่ยงของสินทรัพย์ลงทุนอยู่ในระดับที่เท่ากัน และกลุ่มหลักทรัพย์แบบดั้งเดิม

Abstract

The objective of this study is to allocate investment assets and to compare a performance among risk parity portfolio, naive risk parity portfolio, and Markowitz minimum variance portfolio. The 3 portfolios consist of SET 100 stock, property funds, gold, corporate bonds with credit rating at least BBB+, and government bonds. The research divides study period into three sub-period as follows; the first investment period (April 1st, 2009to April 2nd, 2019), the second investment period (April 1st, 2009to April to April 1st, 2014), and the third investment period (April 2nd, 2014to April 2nd, 2019). The three portfolios are evaluated using six performance measurements; 1) rate of returns, 2) risks, 3) financial performances, 4) diversification, 5) investment concentration, and 6) turnover ratio. Results show that risk parity portfolio yields higher non risk-adjusted returns than that of naive risk parity portfolio and Markowitz minimum variance portfolio. However, when portfolios are measured using risk-adjusted returns, the returns of risk parity portfolio do not higher than the two portfolios, in all periods. In addition, this research finds that risk parity portfolio has less rebalancing frequency leading to cost saving of financial transactions.