Selection of Briston-Based Multi-Purpose Performance: A Case Study of the Shared Funds of the Tehran Stock Exchange

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Zomorodian Gholam Reza; Shariat Panahy Seied Majid; Fallah Shams Lialestany Mir Feiz; Faghiri Mohammad Reza

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Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2020 | Volume:8 | Issue:30 Page(s): 175-200

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Title

Selection of Briston-Based Multi-Purpose Performance: A Case Study of the Shared Funds of the Tehran Stock Exchange

Author(s)

Zomorodian Gholam Reza | Shariat Panahy Seied Majid | Fallah Shams Lialestany Mir Feiz | Faghiri Mohammad Reza | Issue Writer Certificate

Keywords

Brinnston ModelQ1

Smoothing AlgorithmQ1

Selection and AllocationQ1

Abstract

One of the most challenging issues for investment managers is to find out whether the total value added of each of the constituent groups of assets (deposits, fixed income securities and equity) portfolios of mixed investment funds and stock exchanges can be highly based on which one of the dual decisions, namely selection of asset groups or weighting to each of these groups (asset allocation). In order to measure managers' performance and consequently managers' skills assessment, total value added is used with no consideration of the effect of each selection decision on securities and their weighting. This paper is to answer the above-mentioned question and extend the existing methods. In so doing, the value added of each portfolios of asset portfolios of the above-mentioned investment funds is divided into value added from the allocation of assets (weighing). Likewise, the selection of securities, and thus the skills of the managers of each of these funds based on these two decisions were measured. Given the novice of such funds in the Iranian stock exchange and limited information, the results of this paper show that managers of these funds have no sustainability skills in either of these two dimensions. It is worth noting, however, that any increase in the operating time of these funds as well as using more sophisticated models in which returns and risks are simultaneously investigated, we can provide a more sustainable framework for full assessment of managers' skills.

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APA: Copy

Zomorodian, Gholam Reza, Shariat Panahy, Seied Majid, Fallah Shams Lialestany, Mir Feiz, & Faghiri, Mohammad Reza. (2020). Selection of Briston-Based Multi-Purpose Performance: A Case Study of the Shared Funds of the Tehran Stock Exchange. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 8(30 ), 175-200. SID. https://sid.ir/paper/382207/en

Vancouver: Copy

Zomorodian Gholam Reza, Shariat Panahy Seied Majid, Fallah Shams Lialestany Mir Feiz, Faghiri Mohammad Reza. Selection of Briston-Based Multi-Purpose Performance: A Case Study of the Shared Funds of the Tehran Stock Exchange. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2020;8(30 ):175-200. Available from: https://sid.ir/paper/382207/en

IEEE: Copy

Gholam Reza Zomorodian, Seied Majid Shariat Panahy, Mir Feiz Fallah Shams Lialestany, and Mohammad Reza Faghiri, “Selection of Briston-Based Multi-Purpose Performance: A Case Study of the Shared Funds of the Tehran Stock Exchange,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 8, no. 30 , pp. 175–200, 2020, [Online]. Available: https://sid.ir/paper/382207/en

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