การศึกษาผลตอบแทนและความเสี่ยงของกองทุนรวมทองคำ ตามวัฏจักรเศรษฐกิจของประเทศไทย

Tussanee Chanchaichuchit

Authors

Tussanee Chanchaichuchit Faculty of Business Administration, University of the Thai Chamber of Commerce

Keywords:

Gold Mutual Funds, Business Cycles, Investment Returns, Sharpe Ratio, Treynor Ratio, Jensen's Alpha, Appraisal Ratio

Abstract

Although gold mutual funds have been extensively studied as hedging assets, little empirical evidence exists regarding their risk-adjusted performance across Thailand's business cycles. This study examines the risk and return of 15 gold mutual funds that invest in physical gold bullion through master funds with a non-dividend policy and full foreign exchange risk hedging. The analysis utilizes 185 monthly observations of secondary data from January 2010 to June 2025. The economic phases were classified using the Bry and Boschan methodology, identifying periods of economic contraction and expansion based on the turning points of the Coincident Economic Indicator (CEI). Fund performance was evaluated using four risk-adjusted measures—Sharpe Ratio, Treynor Ratio, Jensen's Alpha, and Appraisal Ratio—and statistical differences between the phases were tested using Welch's t-test.

The findings reveal that during economic contractions, gold mutual funds achieved a higher trimmed mean return than the overall market. However, the risk-adjusted performance measures, namely the Sharpe Ratio, Jensen's Alpha, and Appraisal Ratio, were lower during economic contractions compared to expansionary periods, while the Treynor Ratio indicated that the fund returns moved inversely to the overall market. Furthermore, the Welch's t-test results demonstrated no statistically significant difference in the risk-adjusted returns of gold mutual funds between periods of economic contraction and expansion. Ultimately, this study provides vital evidence for strategic asset allocation under different economic regimes.

References

Aljinović, Z., Marasović, B., & Milićević, T. K. (2022). The risk and return of traditional and alternative investments under the impact of COVID-19. Sciendo, 13, 8–22.

Analyst Prep. (2023, September 8). Business cycle and its phases. https://analystprep.com/cfa-level-1-exam/economics/business-cycle-and-its-phases-2/

Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45, 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x

Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34, 1886–1898. https://doi.org/10.1016/j.jbankfin.2009.12.008

Bekiros, S., Boubaker, S., Nguyen, D. K., & Uddin, G. S. (2017). Black swan events and safe havens: The role of gold in globally integrated emerging markets. Journal of International Money and Finance, 73(Part B), 317–334. https://doi.org/10.1016/j.jimonfin.2017.02.010

Bry, G., & Boschan, C. (1971). Cyclical analysis of time series: Selected procedures and computer programs. National Bureau of Economic Research.

Bulut, L., & Rizvanoghlu, I. (2019). Is gold a safe haven? International evidence revisited (MPRA Paper No. 91957). Munich Personal RePEc Archive. https://mpra.ub.uni-muenchen.de/91957/

Chantabthim, P., & Loetkulwat, A. (2023). Factors affecting gold prices in Thailand and international markets. Journal of Graduate Studies Network of Northern Rajabhat Universities, 13(2), 1-19. https://so02.tcithaijo.org/index.php/JGNRU/article/view/260554

Himanshu, Ritika, Mushir, N., & Suryavanshi, R. (2021). Impact of COVID-19 on portfolio allocation decisions of individual investors. National Center for Biotechnology Information. https://pmc.ncbi.nlm.nih.gov/articles/

Isarangkura Na Ayuthaya, T. (2016). Business Cycle Analysis of Macroeconomic Variables Compared with the Manufacturing Production Index. Office of Industrial Economics, Ministry of Industry. https://www.oie.go.th/assets/portals/1/fileups/2/files/Semi-academic%20articles/businesscycle.pdf

National Bureau of Economic Research. (n.d.). Business cycle dating. https://www.nber.org/research/business-cycle-dating

Prasertsoontorn, T., Hongsakulvasu, N., & Somsak, P. (2024). The Study of Spillover Effects of Return and Risk Effects from Gold to Service Industry Stocks, Commerce Sector Stocks, and CP All Public Company Limited Stocks in the Post-COVID Era. RMUTL Journal of Business Administration and Liberal Arts, 12(2), 27-42.

Sangkaew, J. (1999). Investment. Thammasat University Press.

Siksamat, S., & Buranathanang, N. (2000). Early warning system of the economy. Bank of Thailand.

Tiyapornsuwan, P. (2022). Empirical analysis of returns and volatilities of the gold funds in Thailand (Master's thesis, Srinakharinwirot University).

Wongphitthinan, P. (2024). Sector rotation investment strategy in the Stock Exchange of Thailand (Master's thesis, Mahidol University).

Wilcox, R. R. (2011). Introduction to robust estimation and hypothesis testing (3rd ed.). Academic Press.

Zou, Z. F., Zhang, C., & Sun, X. Y. (2024). Risk spillovers among crude oil, gold, and China equity sub-sectors. Cogent Economics & Finance, 12(1). https://doi.org/10.1080/23322039.2024.2431536