An Evaluation of Risk Adjusted Measurements for Thai Mutual Funds

Risk adjusted measurements can be used to measure risk and volatility that are involved in investment returns. They are of great interest to investors. This paper focuses on evaluation of the risk adjusted measurements and aims to find the measurements that are most suitable for evaluating the performance of Thai mutual funds. Three popular risk adjusted measurements, i.e., Sharpe ratio, Treynor ratio, and Jensen's alpha ratio, are used. Data from all funds in the bond asset class, the real estate asset class, and the equity asset class, from January 2013 to the end of December 2018 are used for the evaluation. The analysis shows that Jensen's alpha ratio outperforms the other measurements in all the three asset classes.