DETERMINING EFFICIENCY OF INVESTMENT COMPANIES WITH SELECTED RISK-ADJUSTED RATIOS & EFFECT OF MACROECONOMIC FACTORS ON THEIR PORTFOLIO

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FATHI ZADOLAH; AHMADINIA HAMED; AFRASIABISHANI JAVAD

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Title

DETERMINING EFFICIENCY OF INVESTMENT COMPANIES WITH SELECTED RISK-ADJUSTED RATIOS & EFFECT OF MACROECONOMIC FACTORS ON THEIR PORTFOLIO

Author(s)

FATHI ZADOLAH | AHMADINIA HAMED | AFRASIABISHANI JAVAD | Issue Writer Certificate

Keywords

PORTFOLIO MANAGEMENTQ2

PERFORMANCE EVALUATION RATIOSQ2

MACROECONOMIC FACTORSQ2

Abstract

The research employs Sharp, Triner, Jensen, Evaluation ratio and M2 indexes to survey PORTFOLIO MANAGEMENT of investment companies in Tehran stock Exchange from 2005 to 2009. For deep analysis the impact of economic factors, monthly issued by the central bank, is considered on their portfolio. Observation of the results confirms that some investment corporations improve their efficiency of PORTFOLIO MANAGEMENT in comparison with market. To conclude, in the crisis situations of market, gaining the shares of these companies has the pull of gaining other shares or making individual portfolio. The analysis of progressive regression shows fluctuations of exchange rate as the most effective factor on return.

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APA: Copy

FATHI, ZADOLAH, AHMADINIA, HAMED, & AFRASIABISHANI, JAVAD. (2011). DETERMINING EFFICIENCY OF INVESTMENT COMPANIES WITH SELECTED RISK-ADJUSTED RATIOS & EFFECT OF MACROECONOMIC FACTORS ON THEIR PORTFOLIO. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 2(7), 73-96. SID. https://sid.ir/paper/197892/en

Vancouver: Copy

FATHI ZADOLAH, AHMADINIA HAMED, AFRASIABISHANI JAVAD. DETERMINING EFFICIENCY OF INVESTMENT COMPANIES WITH SELECTED RISK-ADJUSTED RATIOS & EFFECT OF MACROECONOMIC FACTORS ON THEIR PORTFOLIO. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2011;2(7):73-96. Available from: https://sid.ir/paper/197892/en

IEEE: Copy

ZADOLAH FATHI, HAMED AHMADINIA, and JAVAD AFRASIABISHANI, “DETERMINING EFFICIENCY OF INVESTMENT COMPANIES WITH SELECTED RISK-ADJUSTED RATIOS & EFFECT OF MACROECONOMIC FACTORS ON THEIR PORTFOLIO,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 2, no. 7, pp. 73–96, 2011, [Online]. Available: https://sid.ir/paper/197892/en

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