Performance Evaluation of Mutual Funds by Stochastic Dominance Criteria and Compare with Sharp Ratio and Sortino Ratio

This study aimed is to evaluate the performance of mutual funds in Iran using stochastic dominance criteria and compared with the results of the Sharpe ratio and Sortino ratios as indicators of modern and postmodern portfolio theory. Period studied is since the beginning of 1389 to the end of the second quarter of 1392. Mutual funds studied are mutual funds which before 1389 it`s activities have begun investing in stocks and preemptive right, and it`s activities has continued in the period under study. Research results show that also according to return distribution function of the most mutual funds that are almost normal, there is a significant relationship between stochastic dominance criteria ranking with rankings of Sharpe ratio and Sortino ratio. Also, the correlation coefficient between the results of stochastic dominance criteria and Sortino ratio is greater than the correlation coefficient between the results of stochastic dominance criteria and Sharpe ratio.