International Journal of Financial Management and Economics
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E-ISSN: 2617-9229|P-ISSN: 2617-9210
International Journal of Financial Management and Economics
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Vol. 8, Issue 1 (2025)

A comparative study of risk-adjusted performance measures: Applied to the Iraq stock exchange


Adel Mansour Fadhel

The form of analysis and evaluation of the performance of investment portfolios, by applying risk-adjusted performance measures (Treynor, Sharpe, Jensen, and Sortino) and specifying the most accurate of them in the Iraqi environment, the main objective of this research, taking from a sample of the shares of listed companies, companies listed in the Iraq Stock Exchange for the period April 2022 To December 2022 weekly data as a model to prove this, reviewing the most important theoretical frameworks and applied studies that were presented for these indicators, and using economic measurement tools based on ready-made software Excel 10 and Eviews 10, and accordingly the research concluded that the results of evaluating the performance of investment portfolios differ in terms of the different measures that Its adoption leads to a variation in its order of preference, and thus a difference in the priority of the investor or financial analyst in adopting it, and in the same regard and in terms of the specificity of the Iraqi environment, and the random fluctuations that characterize the shares of the sample portfolios, which are reflected in more concern about downward fluctuations. The Sortino index shows superiority over other indicators, in that it only focuses on the negative deviation of portfolio returns from the mean, positive volatility is an advantage and can therefore considering this indicator is the most accurate and effective in evaluating the performance of investment portfolios in the Iraqi environment.
Pages : 49-56 | 70 Views | 28 Downloads


International Journal of Financial Management and Economics
How to cite this article:
Adel Mansour Fadhel. A comparative study of risk-adjusted performance measures: Applied to the Iraq stock exchange. Int J Finance Manage Econ 2025;8(1):49-56. DOI: 10.33545/26179210.2025.v8.i1.449
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