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Evaluation of Ranking of Mutual Funds using the Modern and Post Modern Portfolio Theory

Journal Name:

  • International Journal of Science and Engineering Investigations

Publication Year:

  • 2015

Key Words:

Author NameUniversity of Author
Abstract (2. Language): 
The study was attempted to compare and evaluate the active mutual fund performance in Iran capital market, based on modern and post modern portfolio theory. Therefore, the performance of 40 active mutual funds in the years 2011 to the end of December 2014, based on four indicators Treynor, Jensen, Sortino and Omega were calculated and the indicators of Treynor and Jensen in a group on the represented by the performance indicators of modern portfolio were compared with indicators of Sortino and Omega represented by performance indicator of the post-modern portfolio using t-student test , and finally the hypothesis was formulated so that the significant different between the ranking of mutual fund and portfolio was not confirmed.
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REFERENCES

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