Evaluation Grid matrix model according to Sharp and Traynor ratio for assessing portfolio’s performance in selective model

Subject Areas : Journal of Investment Knowledge

Hashem Nikoomaram ¹ , Hoda Hemmati ²

1 - Professor of Department of accounting, Science and research Branch, Islamic Azad University
2 - Ph.D. student of Department of accounting, Science and research Branch, Islamic Azad University

Received: 2012-07-15 Accepted : 2012-09-21 Published : 2012-09-21

Keywords: Intellectual Capital, portfolio, Grid Matrix Model, Sharp Ratio, Traynor Ratio,

Abstract :

  In the current competitive market, the goal of organizations is to gain more market share by creating competitive advantages. The success of an organization depends on the use and management of knowledge and Intellectual Capital (IC) in all aspects of the organization. Today’s IC plays an important role in the process of economic, managerial, technological and social developing. According to the importance of IC and its impact on company’s value and returns, select portfolio based on IC can affect the investor’s return, so in this study we apply IC variables in Grid matrix model which categorizes companies stock by use of six accounting model for measuring IC and market value, to form the Grid matrix. The data of the research is gathered from companies which listed in Tehran stock exchange through 1385-1389 by random sampling procedures. Returns of selected portfolios are computed by Traynor and Sharp performance ratios, in order to identify portfolios with higher performance than market portfolio performance. The Kolmogorov – Smirnov Z test is used to test the hypothesis. The results show that portfolios which selected based on IC models In Grid matrix model have higher performance than market portfolio.