Appraisal of Portfolio Management performance of Investment Companies listed in TSE within Downside Risk Framework

Document Type : Research Paper

Abstract

In this paper, results of use of ratios in Jensen, Trainer, Sharp, Sortino, Upside potential, Omega, adjusted Jensen, and adjusted Trainer in evaluating the performance of investment companies listed in Tehran Stock Exchange is presented. The present study seeks to answer two questions which are: 1) whether performance evaluation based on ratios above provide different rank or not? 2) Which of these ratios has a better forecast to return?
Research carried out based on four-year period from 1387 to 1384 on investment companies listed in Tehran Stock Exchange has been done. In this study the nature of the variables is ordinal end the nonparametric statistical methods were used.
 Based on the results of this research took place between the ranking based on comparison of the sharp ratio whit Soriano ratio, Upside potential and Omega ratio significant relationship exists. Also a significant relationship is observed between the ranking has done according to Jensen ratio whit adjusted Jensen ratio and Trainer ratio with adjusted Trainer ratio. The existence of such a relationship can be related to the type of return distribution of the investment company attributed. Since the return distribution of this type of distribution companies are elliptical and one of the characteristics of these distributions is to be symmetrical, so the symmetry return distribution, a difference in the ranking of companies using traditional and new to create will not be revealed. To answer the second question using regression analysis determined that the Soriano ratio has had a better forecast than the other ratios.

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