Evaluating the performance of the investment portfolio according to its market risks: an analytical study of a sample of banks listed on the Iraqi Stock Exchange for the period from (2013-2020)

Abstract

            The research reveals an important aspect of the investment portfolio, as the evaluation process is considered a basis in the investment decision, With the multiplicity of evaluation models and the differing opinions of researchers about the feasibility of these models, researchers and scholars in this field have put forward many models that differ in the level of evaluation efficiency. The current research suggests evaluating the performance of the investment portfolio according to its market risks by adopting two models, namely, the value at risk, which is considered one of the modern measures of evaluation, and comparing the results with the Sharpe model, which is considered the other is a traditional model in evaluation. The research problem, which lies in the possibility of evaluating the investment portfolio according to its market risks by adopting the VaR. To achieve the goal of the research, an intentional sample of Iraqi banks that owns an investment portfolio in their activities was approved, represented by the Bank of Baghdad and the Bank of Kurdistan, and their performance was evaluated annually for the period 2013-2020. The research reached a set of conclusions and recommendations, the most important of which is the possibility of evaluating the performance of the portfolio using the value at risk according to its market risks.