The performance of Thai equity mutual funds during the Covid-19 crisis
Keywords:
Thai equity mutual funds, Covid-19 crisis, Active investing, Alpha, Economic recessionAbstract
This research examines the performance of 274 actively-managed Thai equity funds during the period of Covid-19 crisis. The results show that during the Covid crisis period, where stock prices abruptly plummeted and were highly volatile, and economic conditions became worse from 2 January 2020 to 30 April 2020, all those funds under study earned an average return of 3.86% per year below the market return, and an alpha from CAPM (Capital Asset Pricing Model) of -6.87% per year. Our results are not consistent with the empirical evidence in international markets that, although equity funds underperformed unconditionally, they tend to outperform during the period of economic recessions. The results are also in contrast to the Glode (2011)’s model prediction that equity funds tend to outperform during economic recessions as a hedge for investors.
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