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Paper Information

Journal:   QUANTITATIVE RESEARCHES IN MANAGEMENT   SUMMER 2014 , Volume 5 , Number 2; Page(s) 148 To 163.
 
Paper: 

STUDY OF EFFICIENCY OF PERFORMANCE EVALUATION INDEXES IN RANKING MUTUAL FUNDS

 
 
Author(s):  GHASEMIAN MOHSEN, AMIR HOSSEINI ZAHRA, JAMALI AKHTAR
 
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Abstract: 

This research aims to rank mutual funds with performance evaluation indexes and study the efficiency of these indexes. In addition of modern portfolio-based indexes (Sharp, Traynor, Jenson), Calmar ratio -based on Maximum drawdown- is calculated for mutual funds and then different rankings are compared. Since Kolomogrove- Smirnov Test and QQPlots don’t confirm the normality of daily returns, so Non-Parametric tests – Spearman and Fridman Tests - applied. According to the results of these tests, not only no significant difference was found between rankings, but also endorsed a significant correlation between them. Therefore to study the efficiency of performance evaluation indexes, funds performance evaluated over a period of 4 years and over a period of 1.5 years, the results of this evaluation investigated. For this purpose, Pearson Correlation Coefficient between evaluated and real ranks calculated and the two types of innovative portfolios made to show the efficiency of indexes in general recognition of real ranks and top rated. As the result, Jenson and Calmar ratios show best efficiency for ranking mutual funds in Tehran Stock Exchange Market.

 
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Click to Cite.
APA: Copy

GHASEMIAN, M., & AMIR HOSSEINI, Z., & JAMALI, A. (2014). STUDY OF EFFICIENCY OF PERFORMANCE EVALUATION INDEXES IN RANKING MUTUAL FUNDS. QUANTITATIVE RESEARCHES IN MANAGEMENT, 5(2), 148-163. https://www.sid.ir/en/journal/ViewPaper.aspx?id=407674



Vancouver: Copy

GHASEMIAN MOHSEN, AMIR HOSSEINI ZAHRA, JAMALI AKHTAR. STUDY OF EFFICIENCY OF PERFORMANCE EVALUATION INDEXES IN RANKING MUTUAL FUNDS. QUANTITATIVE RESEARCHES IN MANAGEMENT. 2014 [cited 2021May06];5(2):148-163. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=407674



IEEE: Copy

GHASEMIAN, M., AMIR HOSSEINI, Z., JAMALI, A., 2014. STUDY OF EFFICIENCY OF PERFORMANCE EVALUATION INDEXES IN RANKING MUTUAL FUNDS. QUANTITATIVE RESEARCHES IN MANAGEMENT, [online] 5(2), pp.148-163. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=407674.



 
 
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