Studying the Adjustment Amount of Ranking the Performance of Mutual Funds Based on Omega Ratio and Real Return

Nowadays, risk management and utilizing instruments to mitigate price fluctuations of securities in order to minimize probability of negative return of assets is quite generalized in many advanced financial markets. One of these effective financial instruments that have been successful in making stimulus in absorbing investors’ partnership in systematized capital markets is mutual funds. The aim of the present research is to compare the performance assessment of joint funds based on Omega Ratio and the real return. A sample of 35 mutual funds for the period of 2009 to 2012, in order to make a fair comparison between the omega ratio and real performance. The hypotheses were analyzed through correlation test and by using the two non-parametric statistics of 'Spearman's correlation coefficient' and 'Kendall's rank correlation coefficient'. The analysis results show that in the Iranian capital market, a joint venture between fund rankings based on omega ratio and real returns.

Keywords:

Mutual Funds , Ranking Models , Omega Ratio