Downside Risks as a Basis for Evaluating the Performance of the Investment Portfolio Compared to Traditional Performance Evaluation Measures: The Iraq Stock Exchange as a Model

Abstract

The research aims to evaluate the performance of an efficient investment portfolio according to traditional performance evaluation models and modern performance evaluation models based on negative side risks, and to know which is more accurate in evaluating the performance of investment portfolios. The research problem was represented by the possibility of inaccuracy of traditional performance evaluation measures that are based on the traditional risks of measurement asymmetry. The traditional risk profile is the standard deviation with the concept of risk, where a sample of (32) companies listed in the Iraqi Stock Exchange were selected, and based on the monthly data of these companies, an efficient investment portfolio was built during the study period, and the research concluded that modern performance evaluation measures are better than Traditional performance evaluation measures. One of the most important recommendations was to evaluate the performance of investment portfolios according to modern performance evaluation indicators that are based on downside risks instead of traditional performance evaluation indicators, as the first achieved results that are much better and more accurate than the results of traditional performance evaluation indicators.