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

محورهای موضوعی : Multi-Criteria Decision Analysis and its Application in Financial Management

Mohammad Aslani ¹ , Mohammad Reza Setayesh ² , Mohammad Hasan Janani ³ , Mahmoud Hematfar ⁴

1 - Department of Accounting, Borujerd Branch, Islamic Azad University, Borujerd, Iran
2 - Department of Accounting, Borujerd Branch, Islamic Azad University, Borujerd, Iran
3 - Department of Accounting, Borujerd Branch, Islamic Azad University, Borujerd, Iran
4 - Department of Accounting, Borujerd Branch, Islamic Azad University, Borujerd, Iran

تاریخ دریافت : 1399/12/17 تاریخ پذیرش : 1400/04/17 تاریخ انتشار : 1402/04/10

کلید واژه: New Network Matrix Model, Active Portfolio Management, Portfolio performance, Throughput Accounting,

چکیده مقاله :

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.

منابع و مأخذ:

[1] Bayat, A., Asadi, L., Stock Portfolio optimization: Effectiveness of particle swarm optimization and Markowitz model, Journal of financial engineering and portfolio management, 2017, 32(8), P.63-85. (In Persian).

 

[2] Fotros, M., Miri, I., Miri, A., Comparison of Portfolio Optimization for Investors at Different Levels of Investors' Risk Aversion in Tehran Stock Exchange with Meta-Heuristic Algorithms, Advances in Mathematical Finance and Applications, 2020, 5(1), P.1-10. Doi: 10.22034/amfa.2019.1870129.1235.

 

[3] Ghasemi, A., Ahmadi, S., Stock Portfolio Selection through a Hybrid Approach of Martel & Zaras, MADM and Clustering Methods: The Case of Pharmaceutical Industries, Journal of Production and Operations Management, 2016. 7(2), P.173-198. Doi: 10.22108/jpom.2016.21101. (In Persian).

 

[4] Azadi, M., Izadikhah, M., Ramezani, F., Hussain, F.K., A mixed ideal and anti-ideal DEA model: an application to evaluate cloud service providers, IMA Journal of Management Mathematics, 2000, 31(20), P. 233–256, Doi: 10.1093/imaman/dpz012

 

[5] Jarchi, H.R., Relationship between performance appraisal criteria based on traditional theory and constraint theory with cash value added, Master Thesis of Islamic Azad University, Central Tehran Branch, 2013. (In          Persian).

 

[6] Kadhim, H. K., Najm, K. J., Kadhim, H. N., Using Throughput Accounting for Cost Management and Performance Assessment: Constraint Theory Approach. TEM Journal, 2020. 9(2), P.763-769. Doi: 10.18421/TEM92-45.

 

[7] Khan Mohammadi, M. H., Measuring the performance function of accounting system performance based on the theory of constraints to evaluate the economic performance of manufacturing companies. Ph.D. Thesis in Accounting, School of Management, Azad University, Research Sciences Branch, Tehran, 2012. (In Persian).

 

[8] Khan Mohammadi, M. H., Hosseini, M., Investigating the relationship between measures of performance evaluation based on Throughput Accounting and Cost Accounting, International Research Journal of Applied and Basic Sciences, 2014, 8(11). P.1970-1975.

 

[9] Khodaei Valahzaghard, M., Fuladvandinia, E., Appraisal of Portfolio Management performance of Investment Companies listed in TSE within Downside Risk Framework, Journal of Financial Studies, 2010, 3(5), P.67-90. (In Persian).

 

[10] Kordbacheh, H., Hozoori, M. J., Malmir, A., Measuring Risk Excesses in Iran’s Mutual Funds industry, the Iranian Journal of Investment Knowledge, 2012, 1(2), P.117-140. (In Persian).

 

[11] Lopes, A., Lanzer, E., Lima, M., DaCosta, N., DEA investment strategy in the Brazilian stock market, Economics Bulletin, 2008, 13(2), P.1-10.

 

[12] Mansouri, H., Measuring the power of performance appraisal criteria based on system performance accounting compared to conventional metrics, Master Thesis in Accounting, Islamic Azad University, Arak Branch, 2011. (In Persian).

 

[13] Mehra, S., Inman, R., Tuite, G., A simulation‐based comparison of TOC and traditional accounting performance measures in a process industry, Journal of Manufacturing Technology Management, 2005, 16(3), P.328-342. Doi: 10.1108/17410380510583635.

 

[14] Mohamadi, Y., Mohamadi, A., Esmaili kia, G., The Effect of Macroeconomic Variables on Stock Portfolio Performance Based on Traditional and Modern Network, Advances in Mathematical Finance and Applications, 2021, 6(3), P.441-464. Doi: 10.22034/amfa.2020.1865594.1205.

 

[15] Nikoomaram, H., Rahnamay Roodposhti, F., Hemmati, H., Evaluation portfolio’s performance according to Sharpe and Treynor ratio which selected based on accounting models of Intellectual Capital by using Grid matrix model, Management Accounting, 2014, 6(4), P.79-100. (In Persian).

 

[16] Nikoomaram, H., Hemmati, H., Evaluation Grid matrix model according to Sharpe and Treynor ratio for assessing portfolio’s performance in selective model, Journal of Investment Knowledge, 2012. 1(3), P.125-146. (In Persian).

 

[17] Izadikhah, M. DEA Approaches for Financial Evaluation - A Literature Review, Advances in Mathematical Finance and Applications, 2022, 7(1), P. 1-36, Doi: 10.22034/amfa.2021.1942092.1639

 

[18] Panizzolo, R., Theory of Constraints (TOC) Production and Manufacturing Performance, International Journal of Industrial Engineering and Management (IJIEM), 2016. 7(1), P.15–23. ISSN 2217-2661. UDK: 005.1 658.5.

[19] Poordavoodi, A., Reza, M., Haj, H., Rahmani, A. M., Izadikhah, M., Toward a More Accurate Web Service Selection Using Modified Interval DEA Models with Undesirable Outputs. CMES-Computer Modeling in Engineering & Sciences, 2020, 123(2), P. 525–570. Doi: 10.32604/cmes.2020.08854

 

[20] Rahnamay Roodposhti, F., Taghi Nejat, G. H., Bahri Sales, J., System Performance Accounting (Management Accounting Based on Constraint Theory), First Edition. Tehran: Termeh Publications; 2015. (In Persian).

 

[21] Rahnamay Roodposhti, F., Firoozian, M., Mohammadi, L., Portfolio Grouping of "Tose-e Melli Group Investment Company (TMGIC)" based on the Matrix Network and Compare the Performance of this Method Using the Upside Potential Ratio, Financial Research Journal, 2012, 13(32), P.15-34. Doi: 10.22059/jfr.2013.25018. (In Persian).

 

[22] Rahnamay Roodposhti, F., Mohamad Poorzarandi, M., Bahri Sales, J., Evaluating the Power of TOC- Based Criteria in Measuring None Performing Loans Consequences, Empirical Studies in Financial Accounting, 2011. 9(35), P.107-136. (In Persian).

 

[23] Rahnamay Roodposhti, F., Mousavi Anzhaei, S.M., Comparative between Portfolios based on New & Past Grid Models, Journal of Investment Knowledge, 2013, 2(7), P.193-212. (In Persian).

 

[24] Raie, R., Pouyanfar, A., Advanced investment management, Fourth edition. Tehran: Samt Publications, 2011. (In Persian).

 

[25] Sajadi, S. H., Shiri, Y., Mohamadi, N., Throughput Accounting, Accounting and Auditing Studies, 2016. 5(18), P.4-15. (In Persian).

 

[26] Sajjadi, S. H., Ali Sufi, H., Theory of constraints, Accounting knowledge and research, 2008. 4(12), P.12-18. (In Persian).

 

[27] Satayesh, M. R., Taghizadeh Shiadeh, S. T., Poor Musa, A. A., Abuzari, L. A., Feasibility study of using technical analysis indicators in predicting stock price trends in Tehran Stock Exchange, Insight Quarterly, 2010. 16(42), P.155-175. (In Persian).

 

[28] Schadler, F., Eakins, S., A stock selection model using Morningstar's style box, Financial Services Review, 2001. 10(1-4).  P. 129-144. Doi: 10.1016/S1057-0810(02)00091-4.

 

[29] Tehrani, R., Nourbakhsh, A., Investment management, First Edition. Tehran: Negah Danesh, 2006. (In Persian).

 

[30] Vakilifard, H., Babalooyan, S., Mozaffari, M., Comparing Efficiency of Performance Evaluation Measures Based on Post Modern Portfolio Theory in Ranking Portfolio formed by Grid Strategy Model, Journal of Investment Knowledge, 2016, 5(19), P.171-190. (In Persian).

 

[31] Zanjirdar, M., Overview of Portfolio Optimization Models, Advances in Mathematical Finance and Applications, 2020, 5(4), P.419-435. Doi: 10.22034/amfa.2020.674941.

 

[32] Zanjirdar, M., Kasbi, P., Madahi, Z., Investigating the effect of adjusted DuPont ratio and its components
on investor & quot; s decisions in short and long term, Management Science Letters, 2014, 4(3), P.591-596.
Doi: 10.5267/j.msl.2014.1.003