Abstract:
In this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by Rahnamaye Roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with Sharpe and Treynor performance measures and tested by an Active portfolio management approach to identify the portfolios by performance higher than market portfolio performance. For testing the research hypothesis the Mann-Whitney test is used and its results shows that performance calculated by Sharpe ratio shows higher performance for growth and aggressive portfolio than market portfolio but performance calculated by Terynor ratio shows higher performance than market portfolio only for growth portfolio.
Machine summary:
Comparison of Portfolios Formed by Use of Grid Strategy Model Based on New and Traditional Variables Performance With Sharpe and Treynor Measures (Evidence of IRAN Exchange) Receipt: December 10 , 2010 Acceptance: March 27 , 2011 Fraydoon Rahnamaye Roodposhti Professor, Islamic Azad University, Science and Research branch rahnama@iau.
ir Seyed Majid Mousavi Anzahaei Finance Graduate Abstract In this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by Rahnamaye Roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with Sharpe and Treynor performance measures and tested by an Active portfolio management approach to identify the portfolios by performance higher than market portfolio performance.
1: Performance of portfolios which formed based on applying traditional variables (growth, growth- value and value stocks) in grid matrix are higher than market portfolio performance.
05 level (1-tailed) and there is no evidence for its rejection, so we conclude that the performance of value portfolio is not higher than market portfolio.
05 level (1-tailed) and there is no evidence for its rejection, so we conclude that the performance of growth-value portfolio is not higher than market portfolio.
H. 2: Performance of portfolios which formed based on applying new variables (Aggressive, Indifference and Defensive Stocks) in grid matrix are higher than market portfolio performance.
05 level (1-tailed) and there is no evidence for its rejection, so we conclude that the performance of defensive portfolio is not higher than market portfolio.