{"id":1435,"date":"2026-08-04T16:06:20","date_gmt":"2026-08-04T16:06:20","guid":{"rendered":"https:\/\/www.ahmadinia.fi\/index.php\/portfolio\/evaluating-the-efficiency-of-investment-companies-using-sharpe-treynor-and-other-metrics-and-the-impact-of-economic-variables-on-their-portfolio-performance\/"},"modified":"2026-08-06T20:33:00","modified_gmt":"2026-08-06T20:33:00","slug":"evaluating-the-efficiency-of-investment-companies-using-sharpe-treynor-and-other-metrics-and-the-impact-of-economic-variables-on-their-portfolio-performance","status":"publish","type":"academic_item","link":"https:\/\/www.ahmadinia.fi\/index.php\/portfolio\/evaluating-the-efficiency-of-investment-companies-using-sharpe-treynor-and-other-metrics-and-the-impact-of-economic-variables-on-their-portfolio-performance\/","title":{"rendered":"Evaluating the Efficiency of Investment Companies Using Sharpe, Treynor, and Other Metrics, and the Impact of Economic Variables on Their Portfolio Performance"},"content":{"rendered":"

\"\"This study examines the portfolio management efficacy of investment firms on the Tehran Stock Exchange (TSE) from 2005 to 2009. The study assesses whether these enterprises surpassed the larger market by employing performance measurements such as the Sharpe, Treynor, and Jensen ratios, in addition to the M\u00b2 and appraisal ratios. This analysis further examines how economic conditions, as emphasised in the Central Bank\u2019s monthly reports, influenced their portfolios. The findings indicated that certain investment firms outperformed the market in portfolio management. This is significant since it implies that during financial crises\u2014when markets are unstable\u2014investing in these companies may be more prudent than acquiring shares of other organisations or attempting to construct an independent portfolio from the ground up. However, upon further examination of economic factors, one component emerged prominently. Through stepwise regression, a statistical technique for identifying principal determinants, they determined that exchange rate changes exerted the most significant influence on the profits of these enterprises. In other words, fluctuations in currency prices directly influenced the performance of these investment enterprises. This serves as a valuable alert for investors. In times of market upheaval, relying on proficient portfolio managers (such as these firms) may be a more prudent choice than managing independently. Furthermore, monitoring currency trends may assist in forecasting their success.<\/p>\n","protected":false},"excerpt":{"rendered":"

Fathi, Z., Ahmadinia, H., & Afrasiabishani, J., (2011). Evaluating the Efficiency of Investment Companies Using Sharpe, Treynor, and Other Metrics, and the Impact of Economic Variables on Their Portfolio Performance, Financial Engineering and Portfolio Management, 2(7):73-96<\/p>\n","protected":false},"author":1,"featured_media":2094,"comment_status":"open","ping_status":"closed","template":"","meta":{"had_date":"2011-01-01","had_date_precision":"day","had_venue":"Financial Engineering and Portfolio Management","had_authors":"Fathi, Z., Ahmadinia, H., & Afrasiabishani, J., (2011). Determination of Invest","had_external_url":"https:\/\/doi.org\/10.5281\/zenodo.15252821","had_doi":"10.5281\/zenodo.15252821","had_citation":"Fathi, Z., Ahmadinia, H., & Afrasiabishani, J., (2011). Evaluating the Efficiency of Investment Companies Using Sharpe, Treynor, and Other Metrics, and the Impact of Economic Variables on Their Portfolio Performance, Financial Engineering and Portfolio Management, 2(7):73-96. https:\/\/doi.org\/10.5281\/zenodo.15252821","had_meta_label":"Publication","had_amount":"","had_location":"","had_topic":"Portfolio performance","had_field":"","had_method":"","had_data_source":"","had_participants":"","had_platform":"","had_level":"","had_publisher":"","had_language":"Persian","had_jufo":"","had_institution":"","had_students":"","had_credits":"","had_format":"Publication","had_city":"","had_latitude":"","had_longitude":"","had_quantity":"","had_amount_eur":"","had_currency":"","had_country":"","had_project_id":"","had_teaching_portfolio_role":"","had_featured":false,"had_news_effect":"global","had_abstract":"This study examines the portfolio management efficacy of investment firms on the Tehran Stock Exchange (TSE) from 2005 to 2009. The study assesses whether these enterprises surpassed the larger market by employing performance measurements such as the Sharpe, Treynor, and Jensen ratios, in addition to the M\u00b2 and appraisal ratios. This analysis further examines how economic conditions, as emphasised in the Central Bank\u2019s monthly reports, influenced their portfolios. The findings indicated that certain investment firms outperformed the market in portfolio management. This is significant since it implies that during financial crises\u2014when markets are unstable\u2014investing in these companies may be more prudent than acquiring shares of other organisations or attempting to construct an independent portfolio from the ground up. However, upon further examination of economic factors, one component emerged prominently. Through stepwise regression, a statistical technique for identifying principal determinants, they determined that exchange rate changes exerted the most significant influence on the profits of these enterprises. In other words, fluctuations in currency prices directly influenced the performance of these investment enterprises. This serves as a valuable alert for investors. In times of market upheaval, relying on proficient portfolio managers (such as these firms) may be a more prudent choice than managing independently. Furthermore, monitoring currency trends may assist in forecasting their success.","had_keywords":"Portfolio performance\nSharpe ratio\nTreynor ratio\nEconomic variables\nExchange rate","had_isbn":"","had_issn":"","had_volume":"","had_issue":"","had_pages":"","had_publication_place":"","had_edition":"","had_project_ids":"","footnotes":""},"tags":[243,240,241,242],"academic_type":[104],"class_list":["post-1435","academic_item","type-academic_item","status-publish","has-post-thumbnail","hentry","tag-economic-variables","tag-portfolio-performance","tag-sharpe-ratio","tag-treynor-ratio","academic_type-persian-articles"],"_links":{"self":[{"href":"https:\/\/www.ahmadinia.fi\/index.php\/wp-json\/wp\/v2\/academic_item\/1435","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.ahmadinia.fi\/index.php\/wp-json\/wp\/v2\/academic_item"}],"about":[{"href":"https:\/\/www.ahmadinia.fi\/index.php\/wp-json\/wp\/v2\/types\/academic_item"}],"author":[{"embeddable":true,"href":"https:\/\/www.ahmadinia.fi\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.ahmadinia.fi\/index.php\/wp-json\/wp\/v2\/comments?post=1435"}],"version-history":[{"count":1,"href":"https:\/\/www.ahmadinia.fi\/index.php\/wp-json\/wp\/v2\/academic_item\/1435\/revisions"}],"predecessor-version":[{"id":1502,"href":"https:\/\/www.ahmadinia.fi\/index.php\/wp-json\/wp\/v2\/academic_item\/1435\/revisions\/1502"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.ahmadinia.fi\/index.php\/wp-json\/wp\/v2\/media\/2094"}],"wp:attachment":[{"href":"https:\/\/www.ahmadinia.fi\/index.php\/wp-json\/wp\/v2\/media?parent=1435"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.ahmadinia.fi\/index.php\/wp-json\/wp\/v2\/tags?post=1435"},{"taxonomy":"academic_type","embeddable":true,"href":"https:\/\/www.ahmadinia.fi\/index.php\/wp-json\/wp\/v2\/academic_type?post=1435"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}