A study of the performance of investment funds in Iran based on Jensen’s criterion
Journal Title: Journal of Science and today’s world - Year 2015, Vol 4, Issue 4
Abstract
In this study, the regulated procedure based on risk of portfolio performance (Jensen’s Alpha) has been adopted and it estimates how much the manager’s forecasting power results in fund’s profit. This procedure is based on the theory of capital assets pricing by Sharpe, Lintner and Treynor. In this study, this procedure has been used for the forecasting power of 58 managers of investment fund during 2008-2013. Their power is for achieving higher profits that we will expect by considering the risk level of each portfolio. Based on the results of the study, out of the 58 studied funds, 40 funds have negative alpha coefficients which nearly form 69 percent of the whole sample and only 18 funds (31 percent) have positive alpha coefficient and a better than expected performance. The evidences regarding investment fund suggest that these 58 funds have not averagely achieved very favorable value and return and their returns have been lower than expected. In fact, funds are not able to forecast securities prices like the market and apparently they have not been completely successful in their commercial activities for compensating for brokerage costs.
Authors and Affiliations
nazanin Samghan, Reza Tehrani, Sayed Mojtaba Mirlohi
Keywords
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