Financial performance of investment funds as members of Tehran stock exchange

  • Authors

    • Marzieh Jamdar Islamic Azad University, Olom Tahghighat Branch, Tehran
    2015-06-21
    https://doi.org/10.14419/ijaes.v3i2.4816
  • Mutual Fund, Sharpe's Measure, Treynor's Measure, Jensen's Measure, Modigliani's Measure.

  • In this research, the financial performance of investment funds as members of Tehran Stock Exchange was measured based on the Modern Portfolio Theory (MPT) measures including Sharpe's, Jensen's, Treynor's and Modigliani's measures. The performance rating of investments was also compared based on the above measures and the relation of any fund's rank with the related measures was examined. Overall, 32 mutual funds were evaluated during 2011-12. The results showed that the net growth percentage of any in-vestment unit's asset value is directly and strongly related to the growth percentage of Sharpe's, Jensen's and Modigliani's measures, but the net growth percentage of any investment unit's asset value is weakly and inversely related to Treynor's measure. The funds' ranks were not also the same based on the abovementioned measures, but there is only a significant relationship between their ranks.

  • References

    1. [1] Etemadi H, Mohammadi A, Nazemi Ardakani M (2009) the Relationship between the Proficiency of the Auditor Industry and Profit Quality in the Companies Accepted in Tehran Stock Exchange, Financial Accounting Rev., yr. 1, nos. 1&2, fall & winter.

      [2] Dindar Farkoushi P (2012), Comparative Study of the Relation between the Net Asset Value and the Stock Price of the Companies Accepted in the Stock Exchange, Economic Policies and Research Journal, no, 63.

      [3] Raei R, Talangi A (2004), Advanced Investment Management, Sam Pub., Tehran.

      [4] Roushangarzadeh A (2011), Performance of Investment Funds based on Modigliani Model, 3rd Conference of Financing System Development in Iran.

      [5] Stock Exchange Organization (2010), Financial Institutions, Guideline of the Securities Market Law, Information and Exchange Service Company Pub., p. 52.

      [6] Saeidi A, Moghadasian I (2010), Performance Evaluation of Equity Investment Funds in Iran, Stock Exchange Journal, no. 9, yr. 3, pp. 5-24, Spring.

      [7] Soleimani Amiri Gh, Abed A (2013), Performance Evaluation of the Investment Funds in Iran, Empirical Research of Accounting, yr.2, no.8.

      [8] Safarpour M, Sheikh M (2007), the Effect of the Investment Period on the Performance of the Investment Companies Accepted in Tehran Stock Exchange, Quarterly Journal of Accounting and Auditing Surveys, no. 50, pp. 99-118.

      [9] Safari M (2002), Performance Evaluation of the Investment Companies Active in Tehran Stock Exchange based on Sharpe's and Treynor's Measures, master thesis, Faculty of Management, Tehran University.

      [10] Abdeh Tabrizi H, Sharifian R (2007), the Effect of Undesirable Risk in the Performance Evaluation of the Investment Companies Accepted in Tehran Stock Exchange, Financial Research, no. 24, ser. 9.

      [11] Allameh Haeri F, Hosseini M (2012), Performance Evaluation and Comparison of the Investment Companies (Accepted in Tehran Stock Exchange) and Equity Mutual Funds, Financial Accounting Scientific &Research Journal, yr. 4, no.16.

      [12] Kordbacheh H (2005), Risk-adjusted Performance Evaluation of Mutual Funds in Iran, Financial Research, no. 19.

      [13] Momeni, M (2012), Statistical Analysis Using SPSS, Ketab-e-No Pub.

      [14] Vakilifard H (2011), Making Decision about Financial Problems, Jangal Pub.

      [15] Altay E (2011), The Performance and Risk Analysis of Danish Mutual Funds and Turkish Mutual Funds and Their Comparison, Aarhus School of Business, Arhus University

      [16] Dewi MK & Ferdian IR (2012), Evaluating Performance of Islamic Mutual Funds in Indonesia and Malaysia, Journal of Applied Economics and Business Research (JAEBR), Vol. 2, No. 1, PP. 11-33.

      [17] Gullet NS (2000), Evaluating Mutual Funds in Emerging Market: Factors that Matter to Financial Advisors, Vol, 21, pp.122-136.

      [18] Hubner G (2007), How Do Performance Measures Perform?†Journal of Portfolio Management; Vol. 33, No. 4; Pp: 64-74. http://dx.doi.org/10.3905/jpm.2007.690607.

      [19] Chen WK, Chen YJ and Chen TCh (2007), Using Efficiency Ratio to Measure Fund Performance, Journal of Asset Management, Vol. 8, No.6, Pp: 352–360. http://dx.doi.org/10.1057/palgrave.jam.2250088.

      [20] Lien D (2007), A Note on the Relationship between Some Risk Adjusted Performance Measures, Journal of Future Market, Vol 22, No5, pp.483-495. http://dx.doi.org/10.1002/fut.10024.

      [21] Redman L A (2000), the performance of mutual funds, Springer.

      [22] Swinkels L, Rzezniczak P (2009), Performance Evaluation of Polish Mutual Funds Managers, International Journal of Emerging Markets, Vol. 4 Iss: 1, pp.26 – 42. http://dx.doi.org/10.1108/17468800910931652.

  • Downloads

  • How to Cite

    Jamdar, M. (2015). Financial performance of investment funds as members of Tehran stock exchange. International Journal of Accounting and Economics Studies, 3(2), 105-108. https://doi.org/10.14419/ijaes.v3i2.4816