Examining Sharp, Sortino and Sterling Ratios in Portfolio Management, Evidence from Tehran Stock Exchange

Pegah Kolbadi, Hamed Ahmadinia

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.

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International Journal of Business and Management   ISSN 1833-3850 (Print)   ISSN 1833-8119 (Online)

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