Evaluation portfolio's performance according to Sharp and Traynor ratio which selected based on accounting models of Intellectual Capital by using Grid matrix model H

Abstract:
Portfolio selection based on the active strategy, which is called Grid matrix model, cantake place based on various characteristics. This model seeks to identify a set of portfolios with higher return than the market. In this study portfolios are selected based on type of firm (growth, growth-value and value), type of stock (aggressive, defensive and neutral) and intellectual capital (IC) which measured by six accounting model, then their return was compared to determine which one of them can lead to higher return. The data of the research is gathered from companies which listed in Tehran stock exchange through 2006-2011 by random sampling procedures. Returns of selected portfolios are computed by Traynor and Sharp performance ratios. The Spearman Correlation test is used to test the hypothesis. The results show that portfolios which selected based on pulic model (sixth model) for measuring IC in Grid matrix model, have higher return than traditional and new models of Grid model. Hypothesis of study wasn’t accepted for the five other model in this study.
Keywords:

Intellectual Capital , Portfolio , Grid Matrix Model , Growth , Value firms , Aggressive , Defensive , Neutral Firms , Sharp ratio , Traynor Ratio

Language:
Persian
Published:
Management accounting, Volume:6 Issue: 19, 2014
Pages:
79 to 100
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