Appraising the Performance of Portfolio Management in Listed Investment Companies in Tehran Stock Market

Determining proper criteria to do performance appraisal is one of the most challenging topics in investment knowledge. Both risk and return should be considered to select criterion in any investment project. The aim of this research is to measure investment companies’ performance in compare with market index and other investment companies’ performance using performance appraisal criteria including Sharpe, Treynor, Jensen, M2 and Reward-to- Volatility Ratio. The study is used reported monthly data of listed investment companies in Tehran Stock Exchange (TSE). The samples consist of 14 investment companies owning totally the stock of 188 companies in their portfolios and their stock have been traded in TSE during 2002-2008. Hypotheses have been tested using statistical T-tests and Spearman correlation coefficient. The results show that investment companies did not perform better than market index and to evaluate the performance of these companies the systematic and unsystematic risk, simultaneously, should be considered necessarily.