Performance Evaluation of Investment Funds of Shares Based on Sharpe and Sortino Ratio, Treynor Index, and Jensen's Alpha (Case Study: Small and large Institute)

With the development of funds market, the research of funds performance evaluation are becoming an important topic in the field of financial engineering. Common investment funds as one of the most financial intermediaries are responsible in the transfer capital of the resource owners to consumers (manufacturing and services companies and other).The funds were interested for the first time in the securities market act, adopted in 2005 in Iran, and mutual funds stepped in stocks since the beginning of 2008 the capital market. The aim of this study was to evaluate the performance of investment funds of shares, according to the adjusted return on using risk based criteria of Sharpe, Treynor, Sortino and Jensen. In this regard, by consider in the period between 2008 (the beginning funds activity) after the first 3 months of 2010 using the results of the calculated ratios for funds, Eviews 6 software performance of investment funds has been compared with market performance. Based on the results obtained using the analysis ANOVA is not significantly different between adjusted returns based on funds that adjusted based on beta rate with market return. Also according to the criteria of Sharpe, Treynor and Sortino there is no significant difference between performance of common investment funds, but Jensen's differential return measure not rejected significant differences between the performance various investment funds in 2008 and in two-year period 2008-2009.