Yatırım fonları ve performans değerlendirmesi

Abstract

Type and None-A-Type mutual funds were ranked based on every three performance indexes calculated. In order to determine should the correlation between the rankings calculated by every each methods are statistically meaningful, the Spearman's rank correlation constant. The ranking results of A Type mutual funds, however are statistically almost similar to each of ranking calculated according to every each three performance indexes, which is above referred. The calculated rank correlation constant has been found greater than 0,99. The ranking of None-A-Type mutual fund has shown a great similarity with respect to the calculation both of Treynor and Jensen indexes. In order to reach sound results, the performances of the mutual funds should be investigated in different time periods to find out of the consistency of their particular performances. According to the research results the performance of mutual funds has been found low. The reason for this conclusion is that the interest rates of Treasury Bill Auctions are considerably high, for which it has been regarded as risk-free interests İn performance evaluation. Xll

necessary to draw the efficient frontier. The risk free rates are proxies by the average interest rates in Treasury Bill Auctions. The market portfolio is proxies by the IMKB Composite Index. In this study, the end of the week ( Friday) values of mutual funds have been used for the performance evaluation. The data sample starts at the beginning of January 1995 and ends in December 1995. The sources of data are the daily and weekly newspapers. Weekly returns of the market and risk free rate were gathered from The Bulletins of Istanbul Stock Exchange. As of end December 1995, the count was 99 mutual funds in Turkey. Only the 89 of the 99 mutual funds have enough number of data inputs to make such an analysis. To analyze weekly returns of funds, yearly returns, average returns, standard deviations, variances, correlation coefficients were calculated for every fund based on 52 weekly returns. The hypothesis that weekly returns of the A Type and None-A-Type mutual funds are equal was tested. The risk measure standard deviations was ranging 0.02206-0.39790 for A Type funds and was ranging 0.29011-0.00383 for None-A-Type mutual funds. The beta values were found ranking 0.52773 -0.10879 for A Type funds and were ranging 0.59757-(-0.02389) for None-A- Type funds. The betas of the A Type and None-A- Type mutual funds were found and tested to determine whether the betas of two types of mutual funds are statistically different or not. The coefficient of determination (R2) of both A-Type and None-A-Type mutual funds has been found low and the funds failed to diversifying of the market. The fund, which has the highest R2 among all A Type and None-A-Type funds is found to be the YKB fon-3. The reason of such a low diversification is that the portfolio of mutual funds is mainly consisting of fixed income stock and exchanges. Every fund's performance was evaluated using Sharpe's, Treynor's and Jensen's Portfolio Performance Indexes, which are basic portfolio evaluation methods and A xiType and None-A-Type mutual funds were ranked based on every three performance indexes calculated. In order to determine should the correlation between the rankings calculated by every each methods are statistically meaningful, the Spearman's rank correlation constant. The ranking results of A Type mutual funds, however are statistically almost similar to each of ranking calculated according to every each three performance indexes, which is above referred. The calculated rank correlation constant has been found greater than 0,99. The ranking of None-A-Type mutual fund has shown a great similarity with respect to the calculation both of Treynor and Jensen indexes. In order to reach sound results, the performances of the mutual funds should be investigated in different time periods to find out of the consistency of their particular performances. According to the research results the performance of mutual funds has been found low. The reason for this conclusion is that the interest rates of Treasury Bill Auctions are considerably high, for which it has been regarded as risk-free interests İn performance evaluation. Xllnecessary to draw the efficient frontier. The risk free rates are proxies by the average interest rates in Treasury Bill Auctions. The market portfolio is proxies by the IMKB Composite Index. In this study, the end of the week ( Friday) values of mutual funds have been used for the performance evaluation. The data sample starts at the beginning of January 1995 and ends in December 1995. The sources of data are the daily and weekly newspapers. Weekly returns of the market and risk free rate were gathered from The Bulletins of Istanbul Stock Exchange. As of end December 1995, the count was 99 mutual funds in Turkey. Only the 89 of the 99 mutual funds have enough number of data inputs to make such an analysis. To analyze weekly returns of funds, yearly returns, average returns, standard deviations, variances, correlation coefficients were calculated for every fund based on 52 weekly returns. The hypothesis that weekly returns of the A Type and None-A-Type mutual funds are equal was tested. The risk measure standard deviations was ranging 0.02206-0.39790 for A Type funds and was ranging 0.29011-0.00383 for None-A-Type mutual funds. The beta values were found ranking 0.52773 -0.10879 for A Type funds and were ranging 0.59757-(-0.02389) for None-A- Type funds. The betas of the A Type and None-A- Type mutual funds were found and tested to determine whether the betas of two types of mutual funds are statistically different or not. The coefficient of determination (R2) of both A-Type and None-A-Type mutual funds has been found low and the funds failed to diversifying of the market. The fund, which has the highest R2 among all A Type and None-A-Type funds is found to be the YKB fon-3. The reason of such a low diversification is that the portfolio of mutual funds is mainly consisting of fixed income stock and exchanges. Every fund's performance was evaluated using Sharpe's, Treynor's and Jensen's Portfolio Performance Indexes, which are basic portfolio evaluation methods and A xiType and None-A-Type mutual funds were ranked based on every three performance indexes calculated. In order to determine should the correlation between the rankings calculated by every each methods are statistically meaningful, the Spearman's rank correlation constant. The ranking results of A Type mutual funds, however are statistically almost similar to each of ranking calculated according to every each three performance indexes, which is above referred. The calculated rank correlation constant has been found greater than 0,99. The ranking of None-A-Type mutual fund has shown a great similarity with respect to the calculation both of Treynor and Jensen indexes. In order to reach sound results, the performances of the mutual funds should be investigated in different time periods to find out of the consistency of their particular performances. According to the research results the performance of mutual funds has been found low. The reason for this conclusion is that the interest rates of Treasury Bill Auctions are considerably high, for which it has been regarded as risk-free interests İn performance evaluation. Xllnecessary to draw the efficient frontier. The risk free rates are proxies by the average interest rates in Treasury Bill Auctions. The market portfolio is proxies by the IMKB Composite Index. In this study, the end of the week ( Friday) values of mutual funds have been used for the performance evaluation. The data sample starts at the beginning of January 1995 and ends in December 1995. The sources of data are the daily and weekly newspapers. Weekly returns of the market and risk free rate were gathered from The Bulletins of Istanbul Stock Exchange. As of end December 1995, the count was 99 mutual funds in Turkey. Only the 89 of the 99 mutual funds have enough number of data inputs to make such an analysis. To analyze weekly returns of funds, yearly returns, average returns, standard deviations, variances, correlation coefficients were calculated for every fund based on 52 weekly returns. The hypothesis that weekly returns of the A Type and None-A-Type mutual funds are equal was tested. The risk measure standard deviations was ranging 0.02206-0.39790 for A Type funds and was ranging 0.29011-0.00383 for None-A-Type mutual funds. The beta values were found ranking 0.52773 -0.10879 for A Type funds and were ranging 0.59757-(-0.02389) for None-A- Type funds. The betas of the A Type and None-A- Type mutual funds were found and tested to determine whether the betas of two types of mutual funds are statistically different or not. The coefficient of determination (R2) of both A-Type and None-A-Type mutual funds has been found low and the funds failed to diversifying of the market. The fund, which has the highest R2 among all A Type and None-A-Type funds is found to be the YKB fon-3. The reason of such a low diversification is that the portfolio of mutual funds is mainly consisting of fixed income stock and exchanges. Every fund's performance was evaluated using Sharpe's, Treynor's and Jensen's Portfolio Performance Indexes, which are basic portfolio evaluation methods and A xiType and None-A-Type mutual funds were ranked based on every three performance indexes calculated. In order to determine should the correlation between the rankings calculated by every each methods are statistically meaningful, the Spearman's rank correlation constant. The ranking results of A Type mutual funds, however are statistically almost similar to each of ranking calculated according to every each three performance indexes, which is above referred. The calculated rank correlation constant has been found greater than 0,99. The ranking of None-A-Type mutual fund has shown a great similarity with respect to the calculation both of Treynor and Jensen indexes. In order to reach sound results, the performances of the mutual funds should be investigated in different time periods to find out of the consistency of their particular performances. According to the research results the performance of mutual funds has been found low. The reason for this conclusion is that the interest rates of Treasury Bill Auctions are considerably high, for which it has been regarded as risk-free interests İn performance evaluation. Xll