Evaluating the Performance and Ability Explain of Market Index Returns by Selected Stock Portfolios Based on Throughput Accounting Criteria in Comparison with the New Network Matrix Model

Advances in Mathematical Finance and Applications

مقاله 11، دوره 8، شماره 3، مهر 2023، صفحه 915-934   

نوع مقاله: َApplied-Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2021.1925531.1574

نویسندگان

Mohammad Aslani؛ Mohammad Reza Setayesh^* ؛ Mohammad Hasan Janani؛ Mahmoud Hematfar

Department of Accounting, Borujerd Branch, Islamic Azad University, Borujerd, Iran

چکیده

One of the strategies used in active portfolio management is the "network matrix model "which can be used to form different portfolios with different characteristics of stocks or companies. In this study, with the data of 156 companies listed on the Tehran Stock Exchange during the period 2011 to 2018 using the network matrix model and based on throughput accounting criteria, portfolio formation and their performance with the portfolios of the new network matrix model (Defensive, neutral and aggressive stocks) and market portfolio were compared. The results show that the proposed network matrix model portfolios based on throughput accounting criteria have higher performance than the new network matrix model in terms of Sharpe, Sortino, upside potential, and omega criteria. Also, portfolios consisting of stocks of companies with high system performance, in addition to the above criteria, have higher performance in terms of Jensen's Alpha criteria than the new network matrix model, and in terms of upside potential and omega criteria, have higher performance than the market portfolio. The performance of portfolios consisting of stocks of companies with low system performance has a stronger correlation with the market portfolio compared to the new network matrix model.

کلیدواژه‌ها

Active Portfolio Management؛ New Network Matrix Model؛ Throughput Accounting؛ Portfolio performance

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