Examining Sharp, Sortino and Sterling ratios in portfolio management, evidence from Tehran stock exchange

Pegah Kolbadi, Hamed Ahmadinia

Research output: Contribution to journalArticleScientificpeer-review

Abstract

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.

Original languageUndefined/Unknown
Pages (from-to)222–236
JournalInternational Journal of Business and Management
Volume6
Issue number3
Publication statusPublished - 2011
MoE publication typeA1 Journal article-refereed

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