EVALUATING THE PERFORMANCE OF TEHRAN STOCK EXCHANGE COMPANIES BY THE REVISED SHARP RATIO

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RAHNAMAYE ROODPOSHTI F.; MIRGHAFFARI S. REZA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:4 | Issue:17 Page(s): 1-12

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Title

EVALUATING THE PERFORMANCE OF TEHRAN STOCK EXCHANGE COMPANIES BY THE REVISED SHARP RATIO

Author(s)

RAHNAMAYE ROODPOSHTI F. | MIRGHAFFARI S. REZA | Issue Writer Certificate

Keywords

REVISED SHARP RATIOQ2

SHARP RATIOQ2

VALUE AT RISKQ2

VAR BACK TESTINGQ2

GARCHQ2

RISK METRICSQ2

Abstract

Initially In this study, we introduce a new index called Revised Sharp (R-Sharp) for evaluation of portfolio in investment companies in Tehran Stock Exchange, and then examine this index were compared with the Sharp index. In the R-Sharp index, VALUE AT RISK concept was used due to the properties of VaR and its application in the international financial institutions.The results indicate that the VaR calculation by GARCH is not applicable since time series data have not heteroscedasticity. Therefore, VaR was calculated for 10 investment companies by RISK METRICS method with l=0.94 in coefficient level at 99.9%, 99% and 95% for 1-day and 10-day. In order to assess the accuracy of VaR calculation, the Wilcoxon signed ranks test was utilized. The results indicate that VAR BACK TESTING at 95% and one-day period for all companies, were reliable.In this study, after calculating VaR and VAR BACK TESTING, R-SHARP and SHARP indexes calculated for the period of study (2007-2010). The results show that there are some differences in the ranking of R-SHARP and SHARP indexes. So we tested the difference of R-SHARP and SHARP indexes by nonparametric tests such as Wilcoxon signed ranks test. Results of these tests indicate that sleight insignificant differences of indexes.

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APA: Copy

RAHNAMAYE ROODPOSHTI, F., & MIRGHAFFARI, S. REZA. (2014). EVALUATING THE PERFORMANCE OF TEHRAN STOCK EXCHANGE COMPANIES BY THE REVISED SHARP RATIO. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(17), 1-12. SID. https://sid.ir/paper/197772/en

Vancouver: Copy

RAHNAMAYE ROODPOSHTI F., MIRGHAFFARI S. REZA. EVALUATING THE PERFORMANCE OF TEHRAN STOCK EXCHANGE COMPANIES BY THE REVISED SHARP RATIO. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;4(17):1-12. Available from: https://sid.ir/paper/197772/en

IEEE: Copy

F. RAHNAMAYE ROODPOSHTI, and S. REZA MIRGHAFFARI, “EVALUATING THE PERFORMANCE OF TEHRAN STOCK EXCHANGE COMPANIES BY THE REVISED SHARP RATIO,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 17, pp. 1–12, 2014, [Online]. Available: https://sid.ir/paper/197772/en

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