Measuring Risk Excesses in Iran’s Mutual Funds industry

Subject Areas : Journal of Investment Knowledge

Hamid Kordbacheh ¹ , Mohammad Javad Hozoori ² , Ali Malmir ³

1 - Assistant Professor, University of Bu-ali Sina
2 - Assistant Professor, University of Payame-Noor
3 - Graduate student, university of Payame-Noor

Received: 2012-03-06 Accepted : 2012-05-25 Published : 2012-05-25

Keywords: Mutual Funds, return and risk, systematic and unsystematic ri, multi-directional risk-return ,

Abstract :

The mutual funds industry has recently grown drastically and is now considered as an alternative channel investment in financial markets. Many of these funds are relatively risky in that for higher returns they aim to select growth companies which are expected to post large stock price increases. There are many traditional indices to assess the relationship between returns and risks in financial economics. The main drawback of these indices is being one-dimensional. This paper is to introduce and apply a new multi-criteria method based upon multi-directional inefficiency analysis to assess the relationship between return and risk and to measure risk excesses of a sample of Iranian mutual funds in the year 2010. The findings of this study show that the sampled founds can acquire the same returns by merely accepting 66 and 64 per cent of the received unsystematic and systematic risks, respectively.