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Risk-Adjusted Performance of Iranian Mutual Funds
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Hamid Kordbacheh *   , Mohammad Javad Hozoori , Malmir Ali |
| University of Buali Sina , hamidkurdbacheh@yahoo.com |
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Abstract: (11229 Views) |
| Mutual funds, as financial instrument, are growing in importance in the Iranian financial market. This paper examines the risk-adjusted performance of 40 Iranian mutual funds in the course of 2010, using the traditional stand-alone performance measures: Jensen’s alpha, Sharp, Sortino and Treynor ratios, along with a nonparametric frontier model. The results indicate that the risk-adjusted performance measures produce extremely different results, regarding size, performance indices and ranking of mutual funds comparing the results of the models in which the risk is absent. |
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| Keywords: Iran, Mutual funds, Risk-Adjusted Performance, Jensen’s Alpha, Sharp, Sortino and Treynor Ratios, DEA |
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Full-Text [PDF 571 kb]
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Type of Study: Research |
Subject:
Special
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