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مقاله پژوهشی: انتخاب عملکرد چند دوره ای مبتنی بر الگوی برینستون: مطالعه موردی صندوق های مختلط بورس اوراق بهادار تهران | ||
| راهبرد مدیریت مالی | ||
| مقاله 10، دوره 8، شماره 3 - شماره پیاپی 30، مهر 1399، صفحه 175-200 اصل مقاله (989.2 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2019.24671.1976 | ||
| نویسندگان | ||
| غلامرضا زمردیان1؛ مجید شریعت پناهی2؛ میر فیض فلاح شمس1؛ محمد رضا فقیری* 1 | ||
| 1گروه مدیریت، واحد تهران مرکزی، دانشگاه آزاد اسلامی، تهران، ایران | ||
| 2گروه مدیریت، دانشگاه علامه، تهران، ایران | ||
| چکیده | ||
| یکی از چالش‌های مدیران سرمایه‌گذاری، پاسخ به این پرسش است که ارزش‌افزوده کل هریک از گروه‌های تشکیل‌دهنده دارایی (سپرده، اوراق با درآمد ثابت و سهام) پرتفوی صندوق‌های سرمایه‌گذاری مختلط و سهامی بورسی، ناشی از کدام‌یک از تصمیمات دوگانه انتخاب گروه‌های دارایی و وزن دهی به هریک از این گروه‌ها (تخصیص دارایی) می‌باشد. با توجه به اینکه عموماً بدون در نظر گرفتن تأثیر هریک از تصمیمات انتخاب اوراق بهادار و وزن دهی به آن‌ها، به‌منظور سنجش عملکرد و درنتیجه آن سنجش مهارت مدیران، از ارزش‌افزوده کل استفاده می‌شود و در پاسخ به پرسش فوق و گسترش روش‌های سنتی، در این مقاله با ارائه چارچوبی، ارزش‌افزوده هریک از گروه‌های دارایی پرتفوی صندوق‌های سرمایه‌گذاری فوق، به ارزش‌افزوده ناشی از تخصیص دارایی (وزن دهی) و انتخاب اوراق بهادار تقسیم‌شده و بدین گونه مهارت مدیران هریک از این صندوق‌ها در این دو تصمیم‌گیری، موردسنجش قرارگرفته است. با توجه به تازه‌کار بودن این‌گونه صندوق‌ها در بورس ایران و اطلاعات محدود، نتایج این مقاله نشان می‌دهد که مدیران این صندوق‌ها دارای مهارت پایداری در هیچ‌یک از دو سنجه فوق نمی‌باشند. البته شایان ذکر است که با افزایش زمان فعالیت این صندوق‌ها و همچنین به‌کارگیری مدل‌های پیچیده‌تری که در آن‌ها بازده و ریسک به‌طور هم‌زمان موردبررسی قرار می‌گیرند، می‌توان چارچوب پایداری برای سنجش کامل مهارت مدیران ارائه نمود. | ||
| کلیدواژه‌ها | ||
| الگوی برینستون؛ الگوریتم هموار سازی؛ انتخاب و تخصیص | ||
| عنوان مقاله [English] | ||
| Selection of Briston-Based Multi-Purpose Performance: A Case Study of the Shared Funds of the Tehran Stock Exchange | ||
| نویسندگان [English] | ||
| Gholamreza Zomorodian1؛ Majid Shariat Panahi2؛ Mirfeiz Fallahshams1؛ Mohammadreza Faghiri1 | ||
| 1Department of Management, central Tehran Branch, Islamic Azad University, Tehran, Iran | ||
| 2Department of Management, Allameh University, Tehran, Iran | ||
| چکیده [English] | ||
| One of the most challenging issues for investment managers is to find out whether the total value added of each of the constituent groups of assets (deposits, fixed income securities and equity) portfolios of mixed investment funds and stock exchanges can be highly based on which one of the dual decisions, namely selection of asset groups or weighting to each of these groups (asset allocation). In order to measure managers' performance and consequently managers' skills assessment, total value added is used with no consideration of the effect of each selection decision on securities and their weighting. This paper is to answer the above- mentioned question and extend the existing methods. In so doing, the value added of each portfolios of asset portfolios of the above-mentioned investment funds is divided into value added from the allocation of assets (weighing). Likewise, the selection of securities, and thus the skills of the managers of each of these funds based on these two decisions were measured. Given the novice of such funds in the Iranian stock exchange and limited information, the results of this paper show that managers of these funds have no sustainability skills in either of these two dimensions. It is worth noting, however, that any increase in the operating time of these funds as well as using more sophisticated models in which returns and risks are simultaneously investigated, we can provide a more sustainable framework for full assessment of managers' skills. | ||
| کلیدواژه‌ها [English] | ||
| Brinnston Model, Smoothing Algorithm, Selection and Allocation | ||
| مراجع | ||
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