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)
نویسندگان: ثبت نشده
چکیده مقاله:
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.
منابع مشابه
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)
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 perform...
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عنوان ژورنال
دوره 1 شماره 2
صفحات 67- 80
تاریخ انتشار 2011-06-10
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