Evaluation Performance of Mutual Funds In Iran By Using Stochastic Dominance Criteria<br/>

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Evaluation Performance of Mutual Funds In Iran By Using Stochastic Dominance Criteria

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 46758 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Zamani, Shiva
Abstract:
As we know the return of some financial assets has a different distribution from the normal. Given that in the traditional methods of evaluating the mutual funds’ performance such as mean-variance (MV) and models based-on capital assets pricing model (CAPM), returns of financial assets distributions have been assumed normal, using mentioned methods is invalid. In this study, we have used some traditional methods such as the Sharpe benchmark, treanor benchmark and Jensen’s alpha and have pointed out some problems in using them as an instance case. Stochastic dominance criteria which do not require the assumption of normal distribution of return and also have less restrictive assumptions were used. In the next step, we have evaluated the performance of mutual funds by using this method for 3.5 years. At the end of this research, correlation rank of mutual funds had been measured with spearman's rank correlation coefficient by the mentioned methods
Keywords:
Performance Evaluation ; Variance ; Capital Asset Pricing Model (CAPM) ; Mean-Variance Method ; Stochastic Dominance ; Mutual Fund

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