An Analysis and Comparison of Returns and Risks of Mutual Funds in Thailand, China, and USA

Abstract

This research aimed to provide evidence of the comparison of mutual funds’ returns and risks among Thailand, China, and the USA utilizing Jensen’s Model metric to measure the ability to beat the market of the mutual funds in the three countries. The main data of the study were daily net asset values of 60 mutual funds in a 3 years’ interval. The results demonstrated that mutual funds with the highest market-beating return rate were ones in China, the USA, and Thailand, respectively. However, considering the constant Alpha (α) based on Jensen’s Model, mutual funds in China produced the highest market-beating returns, followed by the USA and Thailand. Finally, the correlation beta (β) test using t-Stat at a 95% confidence level illustrated that there was a significant association among fund yields and returns in Thailand, China, and the USA