Investigation and Analyzing Efficiency of Risk-adjusted Ratios in Portfolio Selection

摘要

The aim of this study is to analyze the efficiency of Risk-adjusted Ratios in portfolio selection in Tehran Stock Exchange. This study was performed on the companies that were active from 2006 until 2010. The winner and loser portfolio of 50 Top companies selected based on Risk-adjusted Ratios in Tehran Stock Exchange and then their performances were compared by the "mean difference" test "one-way Analysis of Variance" (ANOVA) and Tukey test. Results showed that there is a possibility of selecting an appropriate portfolio using of the Risk-adjusted Ratios. However M3 measure has better than the other two criteria and the market.