COMPARE OPERATING PERFORMANCE OF DOMESTIC EQUITY FUND AND FOREIGN EQUITY FUND

Abstract

       The purpose of this study was to compare the performance of domestic equity funds and foreign equity funds by using of Sharpe Ratio, Treynor Ratio and Jensen Ratio by selecting the SET TRI and MSCI All Country World Equity Index as market representatives. The research included 52 domestic equity funds and 70 foreign equity funds during the period from January 1, 2017 to December 30, 2021, divided into before the COVID-19 crisis period and during the COVID-19 crisis period.

        The results of this research shows that domestic equity fund has lower rate of return and risk than foreign long term equity fund Performance evaluated by Sharpe Ratio, Treynor Ratio and Jensen Ratio show consistent results, domestic equity funds has superior performance than foreign equity funds.

From average five-year study, it was found that, The best performing fund by Sharpe Ratio and Jensen Ratio was ONE-UGG-RA and Treynor Ratio was ABAG, both are foreign equity funds. Before the COVID-19 crisis period the best performing fund by Sharpe Ratio and Jensen Ratio is TMBCOF, by Treynor Ratio is ABAG, both of which are foreign equity funds. During the COVID-19 crisis period found that the best performing funds by Sharpe Ratio Treynor Ratio and Jensen Ratio were UOBSCI-N, ABAG, and ONE-UGG-RA. respectively, which are foreign equity funds