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Abstract:
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The risk analysis of mutual funds investing in bonds aims to estimate the value-at-risk of mutual funds that invest in bonds and to compare the level of risk invested in fixed income markets (bonds) as decision-making information that benefits the investors before investing. The Secondary Data has been used as an analysis tool, which includes the net asset value (NAV) of 5 mutual funds, which are K Fixed Income Fund (K-FIXED), TMB Aggregate Bond Fund (TMBABF), Krung Thai 1Y-3Y Fixed Income Fund (KTFIX-1Y3Y), Krugsri Star Multiple Fund (KFSMUL), and SCB Fixed Income Plus Fund (SCBFP). All data had been collected on a daily-basis since 5th January 2015 until 29th December 2017. The study is to calculate the value-at-risk by using the Delta Normal Approach, Historical Simulation Method and Weighted Historical Simulation Method. It is found that the calculation of the value-at-risk (VaR) of 5 mutual funds by using the Delta Normal Approach had given higher numbers of the value-at-risk (VaR) more than the calculation by using Historical Simulation Method and Weighted Historical Simulation Method. However, the calculation of the value-at-risk (VaR) of both Historical Simulation Method and Weighted Historical Simulation Method had shown only slightly different numbers of the value at risk. The comparison of back-testing results of the value-at-risk (VaR) calculated from 5 exanimating mutual funds, shows that using Historical Simulation Method and Weighted Historical Simulation Method had resulted in a high level of precise prediction, which reached 99 percent of the confidence level. It shows only 95 percent of the confidence level on the SCB Fixed Income Plus Fund (SCBFP). On the other hand, using the Delta Normal Approach had shown the divergent numbers of the value-at-risk (VaR) unlike the other methods. It is resulted in no prediction accuracy at both confidence level of 95 percent and 99 percent. Hence, the Delta Normal Approach has been considered as a non-recommended forecast model used to calculate the value-at-risk (VaR) of the mutual funds investing in bonds.
Keywords: Analysis, Value at Risk, Mutual Fund, Fixed Income Fund
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