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Paper Information

Journal:   JOURNAL OF ASSET MANAGEMENT AND FINANCING   WINTER 2016 , Volume 3 , Number 4 (11) ; Page(s) 67 To 83.
 
Paper: 

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
 
* SISTAN AND BALUCHESTAN UNIVERSITY, IRAN
 
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.

 
Keyword(s): PERFORMANCE EVALUATION, MUTUAL FUND, STOCHASTIC DOMINANCE CRITERIA, SHARPE RATIO, SORTINO RATIO
 
 
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APA: Copy

SHAYEGANMEHR, A., & ZAMANIAN, G., & SHAHIKI TASH, M. (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. https://www.sid.ir/en/journal/ViewPaper.aspx?id=571899



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. 2016 [cited 2021August04];3(4 (11) ):67-83. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=571899



IEEE: Copy

SHAYEGANMEHR, A., ZAMANIAN, G., SHAHIKI TASH, M., 2016. PERFORMANCE EVALUATION OF MUTUAL FUNDS BY STOCHASTIC DOMINANCE CRITERIA AND COMPARING WITH SHARP RATIO AND SORTINO RATIO. JOURNAL OF ASSET MANAGEMENT AND FINANCING, [online] 3(4 (11) ), pp.67-83. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=571899.



 
 
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