The iShares MSCI Thailand Capped Investable Market Index Fund (NYSEArca: THD) was once one of the highest fliers among emerging markets ETFs. Since the March 2009 market bottom, THD has been one of the best-performing non-leveraged ETFs on the market. Even the first quarter of this year and into April, THD printed a series of new all-time highs as ETFs tracking larger emerging markets such as Brazil, China and Russia wilted.

THD hit a roadblock last month on concerns that easy money from years of loose monetary policies will soon come to an end, diminishing risk appetite in the process. The rising baht has also weighed on Thailand’s export-driven economy, something the Bank of Thailand tried to combat with a late May interest rate cut. However, the Bank of Thailand disappointed markets with an interest rate cut of 25 basis points to 2.5% while many market participants hoped for a 50-basis point cut. [Thailand ETF Falls as Rate Cut Disappoints]

Headwinds for THD have been palpable as the ETF has plunged about 12% in the past month. Since May 20, investors have pulled over $21 million from the ETF, according to Index Universe data.

Of course, THD’s negative price action comes by virtue of its holdings, a group that includes a 37.3% weight to financials and a 17.3% weight to energy names. THD’s 114 holdings obviously make their primary home in Thailand, a market that has become volatile enough recently that officials are overtly trying to assuage investors that everything is alright.

On Thursday, Stock Exchange of Thailand President Charamporn Jotikasthira told investors to remain calm and that economic and earnings growth in the Southeast Asian nation remain solid, report Anuchit Nguyen, Norman Aquino and Ian Sayson for Bloomberg.