Applying the mathematical expected growth on common investment Funds and assessing pure productivity growth indices based on Malamaqueist productivity index

Subject Areas : Business Management

Ali Mansory ¹ , Homa Droody ² , Nargess Saadati ³

1 - عضو هیات علمی گروه مدیریت دانشگاه زنجان
2 - استادیار،گروه مدیریت بازرگانی، واحد زنجان، دانشگاه آزاد اسلامی،زنجان،ایران
3 - کارشناس ارشد، گروه مدیریت بازرگانی، واحد زنجان، دانشگاه آزاد اسلامی،زنجان،ایران

Received: 2016-03-10 Accepted : 2016-07-20 Published : 2016-11-21

Keywords: Common investment fund, Sea, Malmqueist total factor productivity, profit growth expectation, pure growth assessment,

Abstract :

The favorable investment funds play a suitable role in economic growth and development of a country. Thus, the investment fund has a key role in guiding the capital investment. The study aimed at the performance net growth of investment funds. The research method was casual-comparative. In order to assess the total productivity changes the malamaqeist, s total productivity index in regard to its assessment growth regression was used. According to the previous researches, the beta coefficient of the fund, expenses and net asset value (NAV) at the beginning of each year was selected as input variable, and the average annual return on investment (ROI) from the time of establishment, and the end of the year (NAV) were used as output variable. Accordingly the total malmaqueist,s  productivity index was applied to the 19 common investment funds in 2013 and 2014 respectively. At the same time, mathematical expected growth of investment funds was compared with the status of each investment funds growth (regression) to neutralize the impact of environmental factors and assess the productivity performance growth in relation to each other. The results showed that the first mutual funds of agricultural bank with 314percent growth performance was in the first rank and gained the greatest growth rate and the joint funds of omid-saham with 38 percent regression had the greatest decline.

References:

-    Abtahi,H, Kazemi,B(2000), “Productivity”, Business Research And Study  Center, Second Edition.[ In Persian]

-    Abasian,E, And Mehrghan, N.(2002), “Survey On Production Total Factor on Various   Economical Section  of Iran” , Seasonal Economical Research Of Iran, Tehran University, V(42). [In Persian]

-    -Afkhami, A.M, Mansour F.,R.(2010), “Survey On Iranian Commercial Banks Using Windows and Malmquist Productivity Index”, Daneshvar  2Mounthly Scientific and Research Journal, 18th years ,Pp: 2-47. .[ In Persian]

-    Aghajanloo,H.(2013), “Ranking Common Investment Funds Using Data Envelopment Analysis” , Master Degree  Thesis, Humanity Faculty, Azad university  of  Zanjan, Zanjan ,Iran.

-    Arugaslan,O.,E.Edwards, And A. Samant,(2007), “Evaluating Large US-Based Equity Mutual Funds Using Risk-Adjusted Performance Measures”, International Journal of Commerce And Management Vol .17, No.1/2, Pp:6-24.

-    Banker, R. D., A. Charnes, and W.W.  Cooper (1984), "Some Methods For Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis", Management Science, Vol(30), Pp:1078-92

-    Charnes,A. (1978), "Measuring the Efficiency of Decision Making Units". European Journal of Operational Research,2(6),Pp:429-44

-    Emami,M(2000), “ The Principle of Efficiency and  Productivity  Measurement (Scientific and Practical)”, Business Research and study  Center,Iran.[ In Persian]

-    Esalami,B., Tehrani G. and Shirazian,Z (2005), “Survey on Assessing The Relationship Between Investment Companies Using Three Index of Triner”, Jensen And Sharp With  Their Size and Liquidity” Seasonal Financial Research,No.19, Pp:3-24.[ In Persian]

-    Färe, R., Grosskopf, S., Norris, M., & Zhang, Z. (1994), “Productivity growth, technical progress, and efficiency change in industrialized countries”. The American Economic Review, Pp: 66-83.

-    Gacia-Aracil A.(2008), “Evaluation of Spanish Universities: Efficiency, technology and productivity change”, Mexico City,Prime-Latin America Confernce,Available from http://www. lums.lancs.ac.uk/publications

-    Galagedera, D. U. A. and P. Silvapulle, (2002), “Australian Mutual Funds Performance Appraisal Using Data Envelopment Analysis”, Managerial Finance, Vol.28, No. 9,Pp :60-73.

-    Hakimipour,N., Evazlipour M.S. and Ghaemi Z.(2012), “Assessing Total Production Factor Productivity Of Holding Companies  In Iran Proviance  Using Malmquist Index” , Public Management  Reseraches, 5th Years ,No.15 , Spring ,PP:135-161. [ In Persian]

-    Hakimipour,S. And Amir,T.S,(2010), “ Productivity   Growth  Of All Production Factors in Major Economical Parts of Iran During First, Second, Third Period Of Development Program Using Malmquist Index”,Seasonal Agriculture Economic and Development, 18th , No.71. [ In Persian]

-    Huber,G.(2007),”How Do Performance Measures Perform?”, Journal Of Portfolio Management ,Vol .33, No. 4;pp: 64-74.

-    Johnes J.,(2006), “Efficiency and Productivity Change in The English Higher Education Sector From 97/1996 to 2002/03 [dissertation]”. United Kingdom: Lancaster University Management School; 2006.

-    Kazemi, S.A. “Productivity and its Analysis in Organizations”, first Ed., Samt Publication, Tehran, Iran. [ In Persian]

-    Mansoury, A. Salehi, M.,(2011), “Efficiency analysis and classification of bank by using data envelopment analysis (DEA) Model: Evidence of Iranian Bank”, International Journal of the Physical Sciences Vol. 6(13), Pp: 3205–3217.

-    Momeni,M.(2006),“New Topics In Operational Research”, Management Faculty, Tehran University, Tehran, Iran. [In Persian]

-    Powers,J. and P.McMullen,(2007), “Using Data Envelopment Analysis to Select Efficient Large Market Cap Securities” Journal of Business and Management, Vol 2, Pp: 31-42.

-    Saeidi, A., Moghadasian, A.(2010), “Stock Investment  Funds  Performance Evaluation In Iran”, Seasonal Tehran Stock Exchange Market,Vol(9), PP:5- 24. [ In Persian]

-    Safari,M.,(2002), “Active Investment Companies  Performance Evaluation  Based On Sharp  And Triner Index” ,Master Degree Thesis, Tehran University , Management Faculty . [ In Persian]

-    Safarpour,M.(2007), “ Survey On The Effect Of Investment Period On Investment Companies Performance Accepted In Tehran Exchange Market, Seasonal Survey On Accounting And Auditing  Vol(50), PP:99-118[ In Persian]

-    Sharabdi,A.,(2008), “Financial Management”, Hadith Emroz  Publication. [ In Persian]

-    Shepherd, R. W.(2015), “Theory of cost and production functions”. Princeton University Press.

-    Sorros, J. N., (2001),”Equity Mutual Fund Managers Performance in Greece”, Managerial Finance, 27(6), Pp:68-74.

-    Stock Exchange Market  Organization Available At : www.Seo.Ir 

-    Swinkels, L., P. Rzezniczak, (2009), “Performance Evaluation of Polish Mutual Funds Managers”, International Journal of Emerging Markets, 4(1), Pp: 26-42.

-    Tabrizy, A. And Sharifian, R. (2008), “Survey On Unsuitable Risk to Modified Performance Based on Investment Companies Accepted In Tehran Exchange Market”, Seasonal Tehran Stock Exchange Market, Vol (1), Pp: 35-70. [ In Persian]

-    Taheri, S. (2010), “Productivity and Its Analysis in Organizations”, Hestan Publication. [ In Persian]