EVALUATING PERFORMANCE OF MUTUAL FUNDS BY MEASURES BASED ON POST MODERN PORTFOLIO THEORY AND THE RELATIONSHIP BETWEEN THEIR RANKINGS WITH MEASURES BASED ON MODERN PORTFOLIO THEORY

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ROSHANGARZADEH A.; AHMADI M.R.

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Journal: Financial Accounting Research Year:2011 | Volume:3 | Issue:1 (7) Page(s): 143-160

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Information Journal Paper

Title

EVALUATING PERFORMANCE OF MUTUAL FUNDS BY MEASURES BASED ON POST MODERN PORTFOLIO THEORY AND THE RELATIONSHIP BETWEEN THEIR RANKINGS WITH MEASURES BASED ON MODERN PORTFOLIO THEORY

Author(s)

ROSHANGARZADEH A. | AHMADI M.R. | Issue Writer Certificate

Keywords

MUTUAL FUNDSQ2

MEASURES BASED ON MODERN PORTFOLIO THEORY & POST MODERN PORTFOLIO THEORYQ3

UPSIDE POTENTIAL RATIOQ3

SORTINO MEASUREQ3

DOWNSIDE RISKQ2

Abstract

This paper investigates performance of MUTUAL FUNDS in Tehran Stock Exchange (TSE) by measures based on modern portfolio theory (e.g. Sharpe, beta, etc) and measures based on post modern portfolio theory (e.g. SORTINO MEASURE, UPSIDE POTENTIAL RATIO, DOWNSIDE RISK, etc) and compares the relation between ranking of them. For this purpose, we have used from data of 14 MUTUAL FUNDS during 1387-1388 period. Because the nature of this study is ordinal, we applied non parametric tests. The results of this research show that there is a positive relationship between ranking of measures based on modern portfolio theory and ranking of measures based on post modern portfolio theory, while this relation is not related to normal distribution return of MUTUAL FUNDS, it is related negative skewness distribution return of MUTUAL FUNDS, and that's why using measures based on post modern portfolio theory, is more reliable and efficient in comparison to measures based on modern portfolio theory.

Cites

INVESTIGATION OF MUTUAL FUNDS PERFORMANCE WITH DPEI MODEL

References

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APA: Copy

ROSHANGARZADEH, A., & AHMADI, M.R.. (2011). EVALUATING PERFORMANCE OF MUTUAL FUNDS BY MEASURES BASED ON POST MODERN PORTFOLIO THEORY AND THE RELATIONSHIP BETWEEN THEIR RANKINGS WITH MEASURES BASED ON MODERN PORTFOLIO THEORY. JOURNAL OF FINANCIAL ACCOUNTING RESEARCH, 3(1 (7)), 143-160. SID. https://sid.ir/paper/155053/en

Vancouver: Copy

ROSHANGARZADEH A., AHMADI M.R.. EVALUATING PERFORMANCE OF MUTUAL FUNDS BY MEASURES BASED ON POST MODERN PORTFOLIO THEORY AND THE RELATIONSHIP BETWEEN THEIR RANKINGS WITH MEASURES BASED ON MODERN PORTFOLIO THEORY. JOURNAL OF FINANCIAL ACCOUNTING RESEARCH[Internet]. 2011;3(1 (7)):143-160. Available from: https://sid.ir/paper/155053/en

IEEE: Copy

A. ROSHANGARZADEH, and M.R. AHMADI, “EVALUATING PERFORMANCE OF MUTUAL FUNDS BY MEASURES BASED ON POST MODERN PORTFOLIO THEORY AND THE RELATIONSHIP BETWEEN THEIR RANKINGS WITH MEASURES BASED ON MODERN PORTFOLIO THEORY,” JOURNAL OF FINANCIAL ACCOUNTING RESEARCH, vol. 3, no. 1 (7), pp. 143–160, 2011, [Online]. Available: https://sid.ir/paper/155053/en

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