Manipulation-Proof Performance Measure: Evidence from Iranian Equity Mutual Funds
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Manipulation-Proof Performance Measure: Evidence from Iranian Equity Mutual Funds

Document Type : Original Article

Authors
Mahsa Hosseini
Mohammad Khodaei Valahzaghard
Ali Saeedi
10.22034/jse.2018.11124
Abstract
In 2007, Goetzmann et al. showed that current performance measures can be misused by investment fund managers and lead to misleading results. They then presented a measure called Manipulation-Proof Performance Measure (MPPM) which as its name implies, is resistant to manipulation. So the aim of this research is to investigate performance manipulation in Iranian equity mutual funds by comparing the results of Manipulation-Proof Performance Measure with the results of a number of current performance measures such as Treynor, Sharpe, Jensen’s Alpha, Information Ratio, Sortino and Upside Potential. For this purpose, a sample of 59 equity mutual funds was used over a time period from March 2013 to March 2017. The research results show that, in addition to the Manipulation-Proof Performance Measure, the current measures also do not show better performance of equity mutual funds than the market; the rank correlation between the majority of current performance measures with the Manipulation-Proof Performance Measure is high and almost the same as their rank correlation with each other. So, there is no performance manipulation in Iranian equity mutual funds.
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