Pages: 85-90

Abstract

This study aimed to investigate the skill of mutual funds managers in the Iranian capial market in the field of portfolio management. In this research, in order to confirm the existence of skill, unlike the return-based Jensen's measure, a value-added criterion based on the value of Rial has been used, which is considered a more acceptable measure for skill assessment. In this research, the theory of research was measured based on three methods. In the first method, one-sample t-test was performed on the set of the three-month value added of funds, and in the second method, after creating decile of the funds based on their value added, one-sample t-test was performed on the average of the value added of the first a three-month tenth decile; in the third method, in every three months from the beginning of the study by counting the number of times that the tenth decile was ranked higher than first decile, and also the number of times was ranked in the upper half of ranking, the research hypothesis was evaluated. The results of these three methods showed that there is skill among Iranian mutual funds managers. At the end, ranking of the funds in the statistical sample is presented that is based on the created value added by their managers.