rtfolio Performance Attribution of Investment Companies Listed in Tehran Stock Exchange

One of the most important questions in the issue of performance appraisal is that realized performance stem from what factors (performance Attribution)? This research aimed to find answer to this question that how is the importance and effect of each part of portfolio return (return from asset allocation, Return from market timing, Return from security selection) on portfolio return and stock return of investment companies. In the other word the explanation power of which part of return is bigger. This issue is investigated in form of three separated hypothesis and tested with time series, cross section and panel data. In this paper data of 32 investment companies listed in Tehran Stock Exchange for 82 month between 1383 to 1389 is used for testing the hypothesizes. Also some control variables are used to present a better explanation for the models. This variables are market condition, portfolio diversification, asset under management and ownership concentration. The results of this paper, is contradict with the results of similar researches that documented in finance literature and show that asset allocation doesn’t have the dominant impact and the impact of selection and timing also is significant and in most models is greater that asset allocation. Therefore in investment companies the explanation power of active management is greater than asset allocation.