STUDY OF EFFICIENCY OF PERFORMANCE EVALUATION INDEXES IN RANKING MUTUAL FUNDS

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GHASEMIAN MOHSEN; AMIR HOSSEINI ZAHRA; JAMALI AKHTAR

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Journal: QUANTITATIVE RESEARCHES IN MANAGEMENT Year:2014 | Volume:5 | Issue:2 Page(s): 148-163

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Title

STUDY OF EFFICIENCY OF PERFORMANCE EVALUATION INDEXES IN RANKING MUTUAL FUNDS

Author(s)

GHASEMIAN MOHSEN | AMIR HOSSEINI ZAHRA | JAMALI AKHTAR | Issue Writer Certificate

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Abstract

This research aims to rank mutual funds with performance evaluation indexes and study the efficiency of these indexes. In addition of modern portfolio-based indexes (Sharp, Traynor, Jenson), Calmar ratio -based on Maximum drawdown- is calculated for mutual funds and then different rankings are compared. Since Kolomogrove- Smirnov Test and QQPlots don’t confirm the normality of daily returns, so Non-Parametric tests – Spearman and Fridman Tests - applied. According to the results of these tests, not only no significant difference was found between rankings, but also endorsed a significant correlation between them. Therefore to study the efficiency of performance evaluation indexes, funds performance evaluated over a period of 4 years and over a period of 1.5 years, the results of this evaluation investigated. For this purpose, Pearson Correlation Coefficient between evaluated and real ranks calculated and the two types of innovative portfolios made to show the efficiency of indexes in general recognition of real ranks and top rated. As the result, Jenson and Calmar ratios show best efficiency for ranking mutual funds in Tehran Stock Exchange Market.

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APA: Copy

GHASEMIAN, MOHSEN, AMIR HOSSEINI, ZAHRA, & JAMALI, AKHTAR. (2014). STUDY OF EFFICIENCY OF PERFORMANCE EVALUATION INDEXES IN RANKING MUTUAL FUNDS. QUANTITATIVE RESEARCHES IN MANAGEMENT, 5(2), 148-163. SID. https://sid.ir/paper/192031/en

Vancouver: Copy

GHASEMIAN MOHSEN, AMIR HOSSEINI ZAHRA, JAMALI AKHTAR. STUDY OF EFFICIENCY OF PERFORMANCE EVALUATION INDEXES IN RANKING MUTUAL FUNDS. QUANTITATIVE RESEARCHES IN MANAGEMENT[Internet]. 2014;5(2):148-163. Available from: https://sid.ir/paper/192031/en

IEEE: Copy

MOHSEN GHASEMIAN, ZAHRA AMIR HOSSEINI, and AKHTAR JAMALI, “STUDY OF EFFICIENCY OF PERFORMANCE EVALUATION INDEXES IN RANKING MUTUAL FUNDS,” QUANTITATIVE RESEARCHES IN MANAGEMENT, vol. 5, no. 2, pp. 148–163, 2014, [Online]. Available: https://sid.ir/paper/192031/en

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