Effect of Mutual Fund Fundamentals and Characteristics on Their Performance: An Empirical Study of Thai Equity Mutual Funds

Abstract

As equities mutual funds are a popular option among investors, it is advantageous to discover performance factors. This analysis incorporates fund fundamentals, features, and external factors as determinants. The objective is to analyze the impact of such factors on the performance of equities mutual funds in Thailand. Return and risk-adjusted performance metrics like the Sharpe ratio, Treynor ratio, and Jensen's alpha are used to evaluate performance. Between 2016 and 2020, 216 equity mutual funds were chosen using a random sample. To examine the effect, multiple linear regression is used. The results demonstrate that liquidity and volatility are detrimental to return. The effects of fund age, market return, and consumer price index change on risk-adjusted performance are negative. Return, and Sharpe ratio are positively affected by GDP. Money supply influences return, Sharpe ratio, and Jensen's alpha positively. The effect of asset turnover, equity debt, return on equity, management fees, the unit trust sold, and fund size is insignificant. The study supports risk-adjusted performance because the effects are instantaneous and need no lag time.