Application of Clustering Analysis in Assessing the Performance of Mutual Funds

• Main Authors: hassanali Sinaei, hadei basirzad, Mahsa Samandar
• Format: Article
• Language: fas
• Published: Alzahra University 2014-05-01
• Series: راهبرد مدیریت مالی
• Subjects: Mutual Funds; Performance Evaluation; Clustering analysis; k-mean method; TOPSIS method
• Online Access: http://jfm.alzahra.ac.ir/article_974_ea11fcd0bed8359feccf8108d493f79d.pdf

Due to the advantages of mutual funds and their role in the capital markets, particularly in developing countries, financial performance evaluation of them is so important. Accordingly, this study uses cluster analysis (k-mean method) by means of SPSS19 software program, and TOPSIS method using Excel 2010 software program to present the performance evaluation and ranking of mutual funds operating in Tehran Stock Exchange for the period 2011- 2012. In this regard, four criteria have been considered for evaluating the performance of mutual funds, such as return, standard deviation, turnover rate, the Treynor ratio. Moreover, 15 funds were chosen in the form of two clusters and were divided into funds with good performance and aggressive funds as superior funds. Accordingly, Saderat Bank Brokrage has the highest rank, while Atieh Novin mutual fund has the lowest rank.