Türkiye`de yatırım fonlarının performans analizi

Abstract

ÖZET `Türkiye'deki Yatırım Fonlarının Performans Analizi` konulu çalışmamızda yatırım fonları önce literatürdeki kaynaklardan yararlanılarak tanıtılmış, türleri ve işleyişleri açısından bilgiler verilmiştir. Yatırım fonunun tasarrufçuya sağladığı, çeşitlendirme, profesyonel yatırım yönetimi, likidite ve düşük yatırım maliyeti gibi konulardan söz edilmiştir. Çalışmamızın asıl amacı olan yatırım fonu performanslarının ölçülmesi ile ilgili, temel portföy performansı değerleme yöntemlerinden Sharpe, Treynor ve Jensen yöntemleri tanıtılmıştır. Çalışmamızda, ülkemizde A Tipi ve Diğer Tip olarak ikiye ayrılan yatırım fonları ile ilgili mevzuat ve uygulamalar anlatılmış, 1993-1995 döneminde, seçtiğimiz fonlara ait 36 aylık getiriler kullanılarak analizler yapılmıştır. İlgili dönemde A Tipi ve Diğer Tip fonların ortalama aylık getirilen arasında anlamlı bir fark bulunamazken, varyanslarının farklı olduğu, fon tiplerinin kendi aralarında aylık getiri açısından farklı olmadıkları saptanmıştır. 1993-1995 döneminde yatırım fonu portföy yapıları incelenmiş, özellikle Diğer Tip fonların büyük ölçüde DİBS'ne yatırım yaptıkları, A Tipi fonların ise ele alman dönemde ortalama %42.51 oranında hisse senedi, yaklaşık kalan oran kadar da DİBS içerdikleri görülmüştür. Fonlar çeşitlendirme açısından zayıf görülmüş, hiçbir fon çeşitlendirme açısından piyasaya yaklaşamamıştır. 1993-1995 arasında kalan üç yılda ele aldığımız fonların performansları 1993 yılında daha iyi iken, 1994 ve 1995 yılında kötüleşmiş, üç yıllık dönemin tamamında sadece A Tipi Garanti Yatırım-5 ve Finans Fon-2, Diğer Tip YKB Fon-3 başarılı olmuştur. Bu fonlardan da sadece Garanti Yatırım-5 piyasa performansını geçmiştir. Piyasayı, ele aldığımız A Tipi fonları ve Diğer Tip fonları birlikte ele aldığımızda ise en iyi performans piyasa tarafından gösterilmiş, bunu da A Tipi yatırım fonlarının performansı izlemiştir. vııı

SUMMARY The Liberalisation of Turkish Economy have brought new financial instruments into Capital Market. One of the most important instrument which becomes more popular recently and has great importance at capital market as an institutional investor is mutual fund. The number of mutual funds is rising and their total portfolio value is increasing. In almost a decade, the number of mutual funds has exploded from 6 to 99, and the total assets entrusted to fund industry have exploded from 53,097 billion TL(1987) to more than 26.574,994 billion TL(1995). The main objective of our study named `The Performance Analysis of Mutual Funds in Turkey` is to examine the application of mutual fund investing and measure the success of mutual funds in a period of time. This study starts with the introducing of mutual funds world. Funds were introduced in every aspect. Then, basic Portfolio Performance Evaluation Measures were explained. The application of mutual funds in our capital market were examined, some hypotheses are tested and their success in a period of time were measured. The basic idea of a mutual fund is simple. It is an organization whose only business is the proper investment of its shareholders'money, generally into stocks or bonds or bonds or a combination of the two (and in recent years into money market instruments), for the purpose of achieving specific investment goals. To do this, it attracts funds from many individual and institutional investors, and it undertakes to invest and manage those funds more effectively than the investors could on their own. A mutual fund is an organization that pools the money of many individuals into a portfolio of securities structured in accordance with its objective and manages it professionally. IXThere are basically referred to two types of investment funds in literature, the closed- end fund and open-end fund. A closed-end fund has a fixed number of shares, these shares trade on the security exchanges or over-the-counter just as any other stock might. This type of mutual fund is equal to the Investment Company in our capital market. The open-end fund(mutual fund) stands ready at all times to sell investors new shares or buy back investor's old shares. One of the most important considerations in purchasing a fund is whether price is equal to the Net Asset Value(NAV) or not. NAV is equal to the current value of the securities owned by the fund minus any liabilities divided by number of shares outstanding. Closed-end fund shares may trade at a discount or premium from net asset value, while open-end fund shares trade at NAV. In our capital market there are two types of mutual funds. This separation is made depending on the structure of the mutual fund portfolio. These types are called A Type and Other Type mutual fund. A Type mutual fund portfolio should be made up at least 25 % of stocks, which belongs to corporations established in Turkey. Other Type mutual funds do not have this kind of obligation. Because of the convenience, diversification, professional management etc. offered by mutual funds, these instruments are logical choice for investors. One of the great benefits an investor enjoys by purchasing shares of a mutual fund is the services of the company's professional investment management and advisory services staff. The assets in a mutual fund portfolio are diversified among a variety of securities issuers, among types of securities and among a variety of industries. The cost to an investor for owning mutual fund shares is lower than that of any other investment choice. An investor can get any data like past performance records of funds. For many investors, liquidity may be an important characteristic for an asset to have. Mutual fund share owners can convert their investment into cash quickly, conveniently and at an easily calculated value.This study's main objective is to examine mutual funds' performance in a period of time. In assessing the performance of a portfolio, it is necessary to consider both risk and return. Ranking portfolio's average returns ignores the skill with which they minimize risk and is oversimplified method. The portfolio performance indexes which are determined by both the return and the risk were devised. Treynor's portfolio performance measure is based on systematic risk, as measured by portfolios' beta coefficients, rather than on total risk, like Sharpe's measure. In these two performance measures, the risk-premium that is return over and above the riskless rate is divided by the risk measure. The fund with the higher performance index is a better performer. The rank correlation coefficient for two rankings made depending on the two performance indexes is generally found very high. The Treynor and Sharpe Indexes provide measures for ranking the relative performance of various portfolios, on a risk-adjusted basis. Jensen attempts to construct a measure of absolute performance on a risk-adjusted basis. This standart is based on measuring the `portfolio manager's predictive ability-that is, his ability to earn returns through successful prediction of security prices and the direction of market. In calculating this index, portfolio risk-premium and market risk premium are regressed. The intercept called alpha of regression equation is measure of forecasting ability of the portfolio manager. The positive and statistically significant alpha indicates good performance attributable to the ability of managers. In our capital market, legislation governing the activities of mutual funds are made by Capital Market Board. This study includes the legislation, regulations and applications about mutual funds. The fund's establisher, requirements needed by the Board, rights and liabilities of fund and investors, establishing of the fund, limitations about fund, regulations about the management, the fund's portfolio structure restrictions, fund's share were summerized. XIAfter these lopics introducing mutual funds in Turkey were summerized, the dala /vere gathered lo approach the nıain objective of the sludy. This study examines K) A Type mutual funds and 15 Oiher Type mutual funds, /vhich were randomly selected from among ali mutual funds. Because of some diffıculty in gathering data, only randomly selected funds were examined. The total portfolio value of these 25 mutual funds was l Trillion 158 Billion TL. at the start of 1993. These amount was % 38 of ali mutual funds' portfolio value. To examine performance of mutual funds in a period of time, monthly returns of ftınds and the market, risk-free rate were gathered from The Bulletins of İSE. The period in which performances of mutual funds are measured is from Janury 1993 to December 1995. The period 1993-1995 is important because in this period The 1994 Economic Crisis occured. To analyse monthly returns of fiınds, average returns, standart deviations, variances, corellation coefficients were calculated for every fund based on 36 monthly returns. Monthly returns of A Type and Other Type mutual funds and the market were graphically analysed. At the end of the period, the market is the best on cumulative- return basis and the A Type funds are the second performers. The coefficients of determination were found ranging 0.657-0.283 for A Type funds and ranging 0.407-0.000 for Other Type funds. This indicates even A Type mutual funds failed to diversify. The risk measure standart deviation was ranging 10.519- 5.128 for A Type funds and ranging 8.046-1.609 for Other Type mutual funds. The hypothesis that monthly returns of the A Type and Other Type mutual funds are equal was tested. The variances of these types of mutual funds were found and tested to determine vvhether the variances of two types of mutual funds are statistically different ör not. The hypothesis to determine /vhether the monthly average returns of selected A Type funds are egual ör not was tested and the same hypothesis for selected Other Type funds was tested too. xiiThe portfolio sructure of mulual funds and changings of this were analysed. The porlfolio structure of the Olher Type mulual funds were mostly made up of bonds and T-BilIs with a signifıcanlly high portion. A Typc mulual funds' portfolio struclurc were made up of average % 42.51 stocks and the resi of the portfolio made up of bonds and T-Bills. This high portion of T-bills and bonds were explained by the high rale of return of these instruments due to the increasing debi need of the Treasury. in the last section, monthly rale of return of mutual funds were assessed to approach ihe main objective that evaluating the performance of funds of our sludy named `The Performance Analysis of Mutual Funds in Turkey`. To evaluale the fund's performances, monthly rate of return, risk-free rate of return, standart deviations of returns, funds' betas were used. Every fund's performance were evaluated using Sharpe's, Treynor's and Jensen's Portfolio Performance Indexes and A Type and Other Type mutual funds were ranked based on every three performance indexes calculated. There was calculated a high rank correlation coeffıcient among the rankings of A Type funds based on three performance indexes. The performance of mutual funds were better in 1993. The performances of funds were decreased in 1994 and 1995. This performance decreasing may be attributed to rising risk-free rate of return. in the vvhole period of 1993-1995, only Garanti Yatınm-5 and Finans Fon-2 of A Type and YKB Fon-3 of Other Type were found successful and only Garanti Yatırım-5's performance is better ıhan that of the market. When the market, A Type and Other Type mutual funds were analysed together, the best performers was the market and was followed by A Type mutual funds. The performances of funds were found not good. in this circumstances, research and development is getting very important in deciding about market direction, forecasting the sudden turns of the market and selecting undervalued securities in recovering fiınd's performance. The managers of the funds should pay more attention to.viiidiversifying in reducing thc unsyslematic risk. The selecled funds in our sludy failed to diversify. The macroeconomic forccasts should be utilizcd more efTıciently by thc managemenl. in spite of some lacks and restrictions, this sludy may benefit the persons who is interested in mulual fund investing and sludents wanting lo know aboul mutual funds. Mutual funds were inlroduced as an investment alternatives and their success were assessed in a period of time. This study also indicates the affect of the 1994 Economic Crisis and changing conditions on the mutual funds performances. xiv