The aim of this study is to evaluate the functionality and effect of portfolio management of investment companies, which have had the active portfolio in Tehran stock exchange from 2005-2010. In order to do so, and assess their performance based on modern and post modern portfolio theories; this has been carried out by using Sharp, Sortino and Sterling ratios. The result obtained through testing the first hypothesis which was done through statistical analysis of variance and two by two average comparison with LSD pre-test, has revealed that the operation of investing companies is partying different from each other according to Sharp, Sortino and Sterling ratios. Sterling’s ratio, with a little difference, showed a better performance, though. The second hypothesis of study also analyzed and compared the performance of investing companies to market. In which, except for Sortino ratio, other ratios showed a better operation of the companies compared to market. Finally, the results of Kruskal Wallis test and the Square Statistic presented that using all the three types of these ratios in ranking the companies will have the similar results.
This study aims to evaluate the functionality and impact of portfolio management in investment companies actively operating in the Tehran Stock Exchange between 2005 and 2010. The assessment is based on modern and post-modern portfolio theories using Sharpe, Sortino, and Sterling ratios. The first hypothesis was tested through statistical analysis of variance (ANOVA) and pairwise mean comparisons using the LSD pre-test. The results indicate that the performance of investment companies varies according to the Sharpe, Sortino, and Sterling ratios, with Sterling’s ratio showing a slightly better performance. The second hypothesis compared the performance of investment companies to the overall market. Except for the Sortino ratio, the other metrics demonstrated that investment companies performed better than the market. Finally, the results of the Kruskal-Wallis test and Chi-Square statistic confirmed that all three ratios provide consistent rankings of investment companies.
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