International E-publication: Publish Projects, Dissertation, Theses, Books, Souvenir, Conference Proceeding with ISBN.  International E-Bulletin: Information/News regarding: Academics and Research

Portfolio management and performance evaluation ratios

    ,

Author Affiliations

  • 1Dept. of Accounting, Mashhad Branch, Islamic Azad University, Mashhad, Iran
  • 2Dept. of Accounting, Mashhad Branch, Islamic Azad University, Mashhad, Iran

Res. J. Management Sci., Volume 6, Issue (2), Pages 12-18, February,6 (2017)

Abstract

The purpose of this present research is to examine the effectiveness of portfolio management in automotive industries of Iran as a one of the most important industries in Iran, and also in Tehran stock exchange (TSE) during the period between2010 and 2015. In order to examine companies’ performance based on different portfolio theories; by using Sharp, Sortino and Sterling ratios. The results show that there is a meaningful difference between our statistical samples of study. Sterling’s ratio compare to other ratio showed a better performance. And also, except for Sortino ratio, other ratios showed a better operation of the automotive industries compared to market. Finally, the results of Kruska-Wallis test and the Square Statistic presented that using all the three types of these ratios in ranking the companies have not the similar results.

References

  1. Lalith P.S. (2005)., Portfolio Performance Evaluation., The Encyclopedia of Finance, 617-622.
  2. Boshnack B. (2003)., Modern Portfolio Theory Dynamic Diversification for Today’s Investor., Chairman, Vision L.P. 1-28.
  3. Markowitz H. (1952)., Portfolio Selection., The Journal of Finance., 7(1), 77-91.
  4. Lettau M. and Uhlig H. (2002)., The Sharpe Ratio and Preferences: A Parametric Approach., Macroeconomic Dynamics, 6, 2002, 242-265.
  5. Leibowitz M.L. and S.K. (1987)., Asset Allocation under shortfall Constraints., The Journal of Portfolio Management., 17(2), 18-23.
  6. Mc Cafferty T. (2003)., The Market is Always Right, McGraw Hill. Mutual Fund performance., Journal of Business, 39, 119-138.
  7. Lai C. (2010)., Simulated Annealing in Multifactor Equity Portfolio Management., Proceedings of the international multi Conference of Engineers and Computer Scientists. Hong Kong, China, 17th-19th March. 2092-2097.
  8. Zhang Y. and Rachev S. (2004)., Risk Attribution and Portfolio Performance Measurement-An Overview,, University of Karlsruhe. University of California, Santa Barbara. U.S.A.
  9. Wermers R. (2006)., Performance evaluation with portfolio holdings information., North American Journal of Economics and Finance, 17, 207-230.
  10. Roll R. (1978)., Ambiguity when Performance is measured by the Securities Market Line., Journal of Finance, 33 (091978), 1051–1069.
  11. Brinson G., Hood L.R. and Beebower G.L. (1986)., Determinants of portfolio performance., Financial Analysts Journal, 42, 39‐48.
  12. Tehrani R., Raei R. and Faizabad A. (2007)., Evaluating Iranian Investment Companies during the years 2001 to 2005 using Sharpes, Trenors and Jensens indexes., Journal of International Business and amp; Economics, 41-53.
  13. Zakamouline V. and Koekebakker S. (2009)., Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance., Journal of Banking & Finance, 33, 1242–1254.
  14. Hodges S.D. (1998)., A Generalization of the Sharpe Ratio and Its Applications to Valuation Bounds and Risk Measures., University of Warwick, U.K.
  15. Annaert J. Van O.S. and Verstraete B. (2008)., Performance evaluation of portfolio insurance strategies using stochastic dominance criteria., Journal of Banking & Finance, 33, 272–280.
  16. Chaudhry A. and Helen L. (2008)., The Efficacy of the Sortino Ratio and Other Benchmarked Performance Measures under Skewed Return Distributions., Australian Journal of Management, 32(3), 485-502.
  17. Pimentel S.M.F. (2008)., The Time Aggregation of Sharpe Ratio., ISCTE University, Lisbon.
  18. Diebold F.X. and Nerlove M. (1989)., The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model., Journal of Applied Econometrics, John Wiley & Sons, Ltd., 4(1), 1-21.
  19. Mau R.R. (2009)., Back to the Basics: A Process Approach for Managing Portfolio Risk., International Journal of Economics and Finance, 1(2), 12-20.
  20. Marimuthu M. (2010)., Bumiputera-Controlled Companies: Performance Evaluation Using a Non-Parametric Approach., International Journal of Economics and Finance, 2(2), 178-185.
  21. Tehran Stock Exchange (2015)., Annual reports., Tehran Stock Exchange, Tehran, Iran, http://new.tse.ir/. 01/01/2010 to 29/12/2015.
  22. Sortino F. and van der Meer R. (1991)., Downside risk., Journal of Portfolio Management, 17(4), 27-31.
  23. Bacon CR. (2008)., Practical Portfolio Performance Measurement & Attribution., 2nd Edition, 89-90, ISBN: 1119995477.
  24. Brian M.R and Kathleen W. F. (1993)., Post-Modern Portfolio Theory Comes of Age., Journal of Investing, 27-33.