THE IMPACT OF EVALUATING AND BUILDING AN EFFICIENT INVESTMENT PORTFOLIO IN THE RETURN AND RISK OF STOCKS : ANALYTICAL STUDY IN THE IRAQI MARKET FOR SECURITIES

Abstract

The purpose of the research is to identify the ability of stock performance models (Sharp, Treynor, Jensen) to evaluate and build investment portfolios in equities listed in the Iraqi Stock Exchange during the period (2017-2012), as well as to evaluate the performance of these portfolios in terms of return, risk and comparison The results of the study were based on the previous studies, the theoretical framework and the financial statements of the companies using some statistical and financial analysis. The study concluded that the investment portfolios based on the model Trainor and Sharp And Jensen was better financially than the market portfolio in terms of the average monthly return and risk, and there were significant differences at the level of (α = 0.05) due to the type of portfolio (Sharp Treynor, Jensen) and the market portfolio, in terms of return and risk The study recommended that the competent authorities prepare a database containing monthly, semi-annual and annual stock returns for their importance in the preparation of studies and help investors to make a rational investment decision, as well as the need for investors to evaluate their investments using the return and risk together when forming Investment portfolios.