The Effect of Macroeconomic Variables on Stock Portfolio Performance Based on Traditional and Modern Network

Assessing the performance of stock portfolio is among the most important issues of the capital market and the stock investment management. To evaluate the performance of the portfolio appropriately, identifying affecting factors is essential. Macroeconomic variables are important effective factors due to their effect on the systematic risk of companies. In this study, using the ordinary least squares (OLS) method, the effect of macroeconomic variables including inflation, interest rate, liquidity growth rate, oil price and exchange rate (Rial equity versus dollar) on the performance of stock portfolio based on the theory of the traditional and modern network was investigated. The performance of portfolios including growth, growthvalue, value, offensive, indifferent, and defensive portfolios was measured based on seasonal data from 2006 to 2016 using the Treynor ratio. The results showed that macroeconomic variables affected the performance of both traditional and modern networks at the 5% error level. However, the Akaike criterion value for modern network model is less than the traditional network. It indicated that the interpretation of macroeconomic variables in the portfolio of the modern network was better than that of the traditional network. Also, the effect of the macroeconomic variables on the performance of the six portfolios was different.