PERFORMANCE EVALUATION OF MUTUAL FUNDS BY STOCHASTIC DOMINANCE CRITERIA AND COMPARING WITH SHARP RATIO AND SORTINO RATIO

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SHAYEGANMEHR ALI; ZAMANIAN GHOLAM REZA; SHAHIKI TASH MOHAMMAD NABI

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Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2016 | Volume:3 | Issue:4 (11) Page(s): 67-83

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Title

PERFORMANCE EVALUATION OF MUTUAL FUNDS BY STOCHASTIC DOMINANCE CRITERIA AND COMPARING WITH SHARP RATIO AND SORTINO RATIO

Author(s)

SHAYEGANMEHR ALI | ZAMANIAN GHOLAM REZA | SHAHIKI TASH MOHAMMAD NABI | Issue Writer Certificate

Keywords

PERFORMANCE EVALUATIONQ2

MUTUAL FUNDQ2

STOCHASTIC DOMINANCE CRITERIAQ2

SHARPE RATIOQ2

SORTINO RATIOQ1

Abstract

This study aimed to evaluate the performance of MUTUAL FUNDs in Iran capital market using STOCHASTIC DOMINANCE CRITERIA and compared with the results of the SHARPE RATIO and SORTINO RATIO as performance measures in modern and postmodern portfolio theory. The sample period include the beginning of 1389 to the end of the second quarter of 1392. MUTUAL FUNDs studied are MUTUAL FUNDs which have begun their activities before 1389 with investing in stocks and preemptive right, and it`s activities has continued in the period under study. Regarding the return distribution function of the most MUTUAL FUNDs that are almost normal, results show that there is a significant relationship between STOCHASTIC DOMINANCE CRITERIA ranking with rankings of SHARPE RATIO and SORTINO RATIO. Also, the correlation coefficient between the results of STOCHASTIC DOMINANCE CRITERIA and SORTINO RATIO is greater than the correlation coefficient between the results of STOCHASTIC DOMINANCE CRITERIA and SHARPE RATIO.

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APA: Copy

SHAYEGANMEHR, ALI, ZAMANIAN, GHOLAM REZA, & SHAHIKI TASH, MOHAMMAD NABI. (2016). PERFORMANCE EVALUATION OF MUTUAL FUNDS BY STOCHASTIC DOMINANCE CRITERIA AND COMPARING WITH SHARP RATIO AND SORTINO RATIO. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 3(4 (11) ), 67-83. SID. https://sid.ir/paper/245686/en

Vancouver: Copy

SHAYEGANMEHR ALI, ZAMANIAN GHOLAM REZA, SHAHIKI TASH MOHAMMAD NABI. PERFORMANCE EVALUATION OF MUTUAL FUNDS BY STOCHASTIC DOMINANCE CRITERIA AND COMPARING WITH SHARP RATIO AND SORTINO RATIO. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2016;3(4 (11) ):67-83. Available from: https://sid.ir/paper/245686/en

IEEE: Copy

ALI SHAYEGANMEHR, GHOLAM REZA ZAMANIAN, and MOHAMMAD NABI SHAHIKI TASH, “PERFORMANCE EVALUATION OF MUTUAL FUNDS BY STOCHASTIC DOMINANCE CRITERIA AND COMPARING WITH SHARP RATIO AND SORTINO RATIO,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 3, no. 4 (11) , pp. 67–83, 2016, [Online]. Available: https://sid.ir/paper/245686/en

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