Performance Evaluation of Foreign Investment Funds in Healthcare Sector

Abstract

This study aims to analyze the rate of return, risk and to evaluate efficiency, as well as to compare the performance of 21 foreign investment funds investing in healthcare sectors. The daily net asset value and dividend were used to calculate risk and return of funds. The analysis composed of 3 parts: 1. Performance measurement using the average standard – variance 2.Performance measurement using the theory of capital assets pricing model 3.Performance measurement using Stochastic Dominance. According to the Mean-Variance Analysis, funds with the highest rate of return may not be the best because such funds do not have the lowest standard deviation and most of the rate of return is low. The analysis by CAPM may cause calculation results that are inflated and lead to false analysis, because the Skewness and Kurtosis are usually found in the data. Therefore, this study used Stochastic Dominance analysis, which is a comparison between two alternatives by using the utility theory and analyze the decision using the probability distribution of data. The results showed that the K-Global Healthcare Equity Fund and the K-Global Healthcare RMF Fund are the dominates and can provide satisfaction to investors more than the others.