Mutual Fund Performance and persistence evaluationevidence from Thai local and foreign Luxembourg UCITS

Abstract

This paper aims to compare the performance and persistence of equity Mutual Funds between Luxembourg equity UCITS (Undertakings for Collective Investment in Transferable Securities) and Thai equity Funds that are investing a minimum of 90% of their total portfolio in Thai equity market during a 5 years period (May 2013- April 2018). The tests are conducted via (i) static or unconditional measures including the Sharpe, Treynor, Jensen ratios; (ii) dynamic or conditional measures using Treynor-Mazuy, K. Shukla and Gregory B. van Inwegen indicators; (iii) control - robustness measures with Brown and Goetzmann, Murthi et al. performance persistence indices. The paper is based on monthly data collected from Morningstar including 20 Luxembourg and 151 Thai open-end invested in Thai equity funds. The results show that, on average, Thai and Luxembourg funds perform equally well; still the most statistically significant difference, between the two countries, appears to be linked to the average Beta, as well as the results of DPEI – DEA Portfolio Efficiency Index robustness test which seems to be in line with Murthi (1997) with the correlation between DPEI and the Sharpe ratio while transaction costs variables appear to be significant with fund performance.