Portfolio Performance Evaluation in mutual Funds and Investment Companies With Henriksson - Merton Model

Generally investors invest in a mutual fund by considering capital appreciation, better liquidity and less risk. So this study makes a comprehensive evaluation of equity-linked schemes. The return computed on the basis of the Net Asset Values of the different schemes and returns in the market. Research’s Hypotheses about the variables collected and analyzed for the units has been calculated based on theoretical principles and research findings. Our database is composed by 26 mutual funds and 27 investment companies acting in the Tehran stock exchange with monthly returns data from March 2005 to February 2009. The tests of hypotheses are based upon regression analysis, t- student and correlation coefficients. In this research, it has traditionally been supposed that a manager’s success is determined by his/her ability to choose a stock that outperforms other securities with a similar level of weight and return investment units in the market.