Risk and Return Analysis for Companies Registered in the Iraq Stock Exchange Based on the Sortino and Sharpe Methods

Abstract

The research aims to measure the return and risk in the Iraq Stock Exchange according to the modern portfolio theory (MPT) and post-modern portfolio theory (PMPT) and identify its difference. The study was recognized with several questions, the most important of which: "Is there a difference in measuring the return and risk between the modern portfolio theory and the post-modern portfolio theory?" The companies listed on the Iraq Stock Exchange were tested to answer this question. Seventy-two companies registered in the Iraq Stock Exchange from 2006 to 2019 has selected for this research sample. The accreditation was done on many financial and statistical indicators to analyze and interpret the results using Excel. According to the post-modern portfolio theory, the study found an apparent discrepancy in the values of the return and risk indicators compared to the modern portfolio theory due to the different philosophies and calculation methods in the portfolio's construction. This study can facilitate further studies and the investors looking forward to investing in the Iraqi stock exchange.

Idx Bumn20 Performance Measurement With Sharpe, Treynor, and Sortino

“…The use of measuring the performance of an asset with the Sortino ratio method is still relatively small in Indonesia. Company analysis research in Iraq using the Sortino ratio resulted in a better risk-reward setting with a combination of the Sharpe ratio (Obaid et al, 2021). Sortino ratio also focuses on the risk of a decline in stock performance on the Tehran stock exchange (Kolbadi & Ahmadinia, 2011).…”