Modeling the stock selection and stock weighting skills of mutual fund managers in Iran's capital market
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Modeling the stock selection and stock weighting skills of mutual fund managers in Iran's capital market

Document Type : Original Article

Authors
Nasrin Pashaei 1
Shapour Mohammadi 2
Reza Raei 2
Saeid fallahpour 3
1 PH. D Student, Faculty of Management, Tehran University, Tehran, Iran
2 Professor, Faculty of Management, Tehran University, Tehran, Iran
3 Associate Professor, Faculty of Management, Tehran University, Tehran, Iran
10.22034/jse.2024.12361.2221
Abstract
The alpha of the mutual fund, which is a measure of its performance, is not only the result of the selection of securities, but also has a direct relationship with the weights assigned to each of the securities in the fund's portfolio. In this study, the alpha of the mutual fund, which is a symbol of the skill of its managers, is divided into two components: the alpha caused by stock selection and the alpha caused by stock weighting. In order to measure the aforementioned skills, 60 mutual funds in stocks were considered as a research sample and the skills of stock selection and stock weighting were examined during the period of April 2021 to September 2022. According to the results, the total alpha of 0.0025 and the alpha of stock selecting, 0.0149, are significant and positive at the five percent level. Therefore the weighting alpha can be considered as the difference between the total alpha and the selecting alpha, it can be claimed that the weighting alpha is negative and the fund managers of the country lack the skill of weighting stocks.
Keywords
Mutual fund
Stock picking skill
stock weighting skill
Subjects
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Quarterly Journal of Securities Exchange
Volume 17, Issue 66
Summer 2024
Pages 81-98