Title of article
Portfolio Diversification and Net Selectivity Performance of Mutual Funds in Iran by Using Fama Decomposition Model
Author/Authors
Sadeghi Goghari, Samira Department of Economics - Kish International Campus - University of Tehran , SOURI, ALI Faculty of Economics - University of Tehran , abbasinejad, hosein Faculty of Economics - University of Tehran , MEHRARA, MOHSEN Faculty of Economics - University of Tehran
Pages
17
From page
471
To page
487
Abstract
The main purpose of this paper is to analyze the performance of mutual funds in Iran by using Fama decomposition model (1972). Thus, daily data of 55 mutual funds during a four-year period from 21/3/2014 to 21/3/2018 were investigated. To achieve this goal, firstly, the performance of mutual funds was broken down into Fama components, and it was shown that the diversification performance and risk performance of mutual funds were negative, but net selectivity performance was positive. Finally, the panel method was used to investigate the effect of Fama's components on the performance of mutual funds. The results indicated that the effect of Fama's components on the performance of mutual funds is positive, and the effects of the net selectivity and risk are more than diversification.
Keywords
Fama Decomposition Model , Mutual Funds , Net Selectivity , Diversification , Risk
Journal title
Iranian Economic Review (IER)
Serial Year
2020
Record number
2529761
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