Investigating the Impact of Fundamental and Macroeconomic Variables on the Performance of Investment Funds in the Tehran Stock Exchange
Keywords:
Machine learning, Risk, adjusted return, Iran capital marketAbstract
The present study aimed to examine the impact of fundamental and macroeconomic variables on the performance of investment funds in the Tehran Stock Exchange. The research method is applied in nature and analytical–correlational in design, with data extracted from Iran’s capital market over the period 2022 to 2024. The statistical population includes all companies listed on the Tehran Stock Exchange, and panel regression models with fixed and random effects were employed to analyze the influence of fundamental variables (P/E, P/B, ROE, EPS, and sales growth) and macroeconomic variables (interest rate, inflation rate, stock market index, and exchange rate) on fund performance. Additionally, the F-Limer test and Hausman test were used to determine the appropriate model specification. In this study, Microsoft Excel software was utilized for initial data preparation and cleaning, while EViews software was applied for econometric testing and panel data analysis. The findings indicate that both firm-level fundamental variables and macroeconomic conditions play a significant role in the performance of investment funds. Furthermore, incorporating transaction costs and portfolio turnover rates is essential for accurately estimating net returns. The results also suggest that the application of quantitative models and intelligent algorithms in fund management enables dynamic decision-making, risk reduction, and performance improvement under varying market conditions.
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Copyright (c) 2026 Seyed Ehsan Madani (Author); Ali Paytakhti Oskooe; Roya Aleemran, Younes Badavari Nahandi (Author)
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