Performance Persistence of Mutual Funds in Iran: Momentum Strategy Approach

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Keyvan Raziyeh; Janani M. Hassan; VAKILIFARD H. REZA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:11 | Issue:40 Page(s): 161-172

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Title

Performance Persistence of Mutual Funds in Iran: Momentum Strategy Approach

Author(s)

Keyvan Raziyeh | Janani M. Hassan | VAKILIFARD H. REZA | Issue Writer Certificate

Keywords

Persistence of PerformanceQ3

Momentum StrategyQ3

Mutual FundsQ3

Abstract

One of the most important investment options in Iran is the Mutual Fund. In order to select a number of successful Mutual Funds, their performance in specific period of time should be appraised. In this regard, a number of measures are used for evaluating their performance, including the moderns and post moderns methods. In this work, the persistence in Mutual Funds’ performance is surveyed using Momentum Strategy (i. e. post modern strategy). The studied sample included 35 Mutual Funds in the period of 1390to1395 (Persian calendar). The yield of each mutual fund is calculated and compared in pairs for different time periods (e. g. 3, 6, 9 and 12 months). Afterward, the obtained yield values analyzed using the correlation and regression techniques. Based on the obtained results, it can be concluded that based on the Momentum Strategy, for the time periods of 3, 6 and 9 months, persisted performance could be observed for all investigated Mutual Funds. However, for the time period of 12 month such persistence couldn’ t be observed. Consequently, it can be concluded that the momentum technique Can not be used for studying the persistence of Mutual Funds in a 12 months fiscal year.

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APA: Copy

Keyvan, Raziyeh, Janani, M. Hassan, & VAKILIFARD, H. REZA. (2019). Performance Persistence of Mutual Funds in Iran: Momentum Strategy Approach. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 11(40 ), 161-172. SID. https://sid.ir/paper/200350/en

Vancouver: Copy

Keyvan Raziyeh, Janani M. Hassan, VAKILIFARD H. REZA. Performance Persistence of Mutual Funds in Iran: Momentum Strategy Approach. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;11(40 ):161-172. Available from: https://sid.ir/paper/200350/en

IEEE: Copy

Raziyeh Keyvan, M. Hassan Janani, and H. REZA VAKILIFARD, “Performance Persistence of Mutual Funds in Iran: Momentum Strategy Approach,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 11, no. 40 , pp. 161–172, 2019, [Online]. Available: https://sid.ir/paper/200350/en

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