|تعداد مشاهده مقاله||103,324,268|
|تعداد دریافت فایل اصل مقاله||81,364,774|
Portfolio Diversification and Net Selectivity Performance of Mutual Funds in Iran by Using Fama Decomposition Model
|Iranian Economic Review|
|مقاله 9، دوره 24، شماره 2، مرداد 2020، صفحه 471-487 اصل مقاله (996.92 K)|
|شناسه دیجیتال (DOI): 10.22059/ier.2020.76014|
|Samira Sadeghi Goghari 1؛ Ali Souri2؛ Hossein Abbasinejad2؛ Mohsen Mehrara2|
|1Department of Economics, Kish International Campus, University of Tehran, Kish, Iran.|
|2Faculty of Economics, University of Tehran, Tehran, Iran.|
|The main purpose of this paper is to analyze the performance of mutual funds in Iran using the Fama decomposition model (1972). Thus, the daily data of 55 mutual funds during four years from 21/3/2014 to 21/3/2018 were investigated. First, the performance of mutual funds was broken down into Fama components to achieve this goal. It was shown that mutual fund diversification and risk performance were negative, but net selectivity performance was positive. Finally, the panel method was used to investigate the effect of Fama's components on the performance of mutual funds. The results indicated that the effect of Fama's components on the performance of mutual funds is positive, and the effects of the net selectivity and risk are more than diversification.|
|Fama Decomposition Model؛ Mutual Funds؛ Net Selectivity؛ Diversification؛ Risk|
Amenc, N., & Sourd, V. (2003). Portfolio Theory and Performance Analysis. Chichester: John Wiley and Sons Ltd.
Biplob, N. (2017). Performance Evaluation of Bangladeshi Mutual Fund: An Analysis of Monthly Return Based on Net Asset Value. International Journal of Economics & Management Sciences, Retrieved from
Fama, E. (1972). Components of Investment Performance. Journal of Finance, 27, 551-567.
Jensen, M. C. (1968). The Performance of Mutual Funds in the Period 1945–1964. Journal of Finance, 23(2), 389-416.
Kumaraswamy, S., & Al Ezee, I. (2018). Performance Evaluation of Saudi Equity Mutual Funds: Fama Decomposition Model. Investment Management and Financial Innovations, 15(4), 158-168.
Kundu, A. (2009). Stock Selection Performance of Mutual Fund Managers in India: an Empirical Study. Journal of Business and Economic Issues, 1(1), 59-73.
Khursheed, B., & Pandow, B. A. (2013). An Analysis into the Stock Selectivity Skill of Indian Fund Managers. Munich Personal RePEc Archive, Retrieved from https://mpra.ub.uni-muenchen.de/83500/1/MPRA_paper_83500.pdf
Lakshmi, N., Deo, M., & Murugesan, B. (2008). Performance of the Indian Mutual Funds: A Study with Special Reference to Growth Schemes. Asia-Pacific Business Review, 4(3), 75-81.
Mehraban Pour, M. R., Safaei, M., Samimi Nejad, R., & Noohi, R. (2017). Ranking of Mutual Funds in Iran. Journal Management System, 6(24), 215-230.
Naz, Sh., Atta, M., Mukhtar, A., & Nawaz, S. (2015). Risk Adjusted Performance Evaluation of Balanced Mutual Fund Schemes in Pakistan. European Journal of Business and Management, 7(1), 179-187.
Nikoomaram, H., & Farahani, A. (2018). Evaluating the Security Selection Skill and Market Timing Ability of Iranian Mutual Fund Managers. Journal of Management System, 7(25), 61-82.
Pandow, B. (2017). Persistent Performance of Fund Managers: An analysis of selection and timing skills. International Journal of Commerce and Finance, 3(2), 11-24.
Rekha, U. (2014). Portfolio Diversification and Selectivity Performance of Fund Managers in India - A Study of Select Equity Funds Research. Journal of Finance and Accounting, Retrieved from
Saritha, B. (2012). Mutual Fund Investment Decisions by Using Fama Decomposition Models. ZENITH International Journal of Business Economics & Management Research, 2(2), 189-199.
Sherma, D. (2016). Fama Decomposition Analysis of Selected Companies of Bombay Stock Exchange in India. Journal of Finance and Investment Analysis, 5(3), 1-13.
Sherman, M., O’Sullivan, N., & Gao, J. (2017). The Market-Timing Ability of Chinese Equity Securities Investment Funds. International Journal of Financial Studies, Retrieved from https://www.mdpi.com/2227-7072/5/4/22/pdf.
Strong, R. (2008). Portfolio Construction, Management and Protection (5th Ed.). Boston, MA: South Western Cengage Learning.
Seddeke, A., & Mahbubur, R. (2016). Evaluation of Portfolio Performance of the Investment Corporation of Bangladesh’s Mutual Funds. Global Journal of Management and Business Research: C Finance, Retrieved from
Treynor, L., & Mazuy, K. (1966). Can Mutual Funds Outguess the Market? Harvard Business Review, 44, 131-136.
تعداد مشاهده مقاله: 563
تعداد دریافت فایل اصل مقاله: 1,711