Performance Evaluation of Mutual Funds by Stochastic Dominance Criteria and comparing with Sharp Ratio and Sortino Ratio

Document Type : Research Paper

Authors

1 Master of Business Administration in Finance Sistan and Baluchestan University, Iran

2 Assistant Professor, Department of Economics, University of Sistan and Baluchestan, Iran

Abstract

This study aimed to evaluate the performance of mutual funds in Iran capital market using
stochastic dominance criteria and compared with the results of the Sharpe ratio and Sortino
ratio as performance measures in modern and postmodern portfolio theory. The sample
period include the beginning of 1389 to the end of the second quarter of 1392. Mutual funds
studied are mutual funds which have begun their activities before 1389 with investing in
stocks and preemptive right, and it`s activities has continued in the period under study.
Regarding the return distribution function of the most mutual funds that are almost normal,
results show that there is a significant relationship between stochastic dominance criteria
ranking with rankings of Sharpe ratio and Sortino ratio. Also, the correlation coefficient
between the results of stochastic dominance criteria and Sortino ratio is greater than the
correlation coefficient between the results of stochastic dominance criteria and Sharpe ratio.

Keywords

Main Subjects

References

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