การจัดสรรเงินลงทุนในกองทุนรวมเพื่อการเลี้ยงชีพและกองทุนรวมหุ้นระยะยาว

Abstract

The objective of this research is to compare the methods of asset allocations in six retirement mutual funds and long-term equity funds, namely IN-RMF, BFLRMF, PRINCIPAL-AARMF, SCBLT1, CG-LTF and KFLTF50. The four investment allocation methods consist of equal allocation, parity risk allocation, minimum variance allocation and Markowitz’s allocation methods.     The criteria for comparison are the risk, mean of returns and Sharpe ratio. The results found that the risks from the 4 allocation methods was significantly different under a significance level of 0.01. The method provides the lowest risk is the minimum risk allocation method. The method with the highest risk is the equal allocation method. The Markowitz allocation method has the highest Sharpe ratio. After that, it is the equal allocation; parity risk allocation and minimum risk allocation corresponding to the percentage of average annualized returns are 9.00080, 7.21210, 5.46170 and 2.55320, respectively.