Yatırım fonlarının performans değerlemesi ve Türkiye`deki yatırım fonlarının özellikleri

Abstract

Menkul Kıymet Yatırım Fonları risk dağıtım ilkelerine uygun bir portföy oluşturarak yeterli mali büyüklüklere ve bilgi düzeyine sahip olmayan küçük tasarruf sahiplerinin sermaye piyasasına girmesini teşvik ederek profesyonel bir yönetim eliyle tasarrufların güvenilir bir biçimde değerlendirilmesine yardımcı olur. Bu çalışmanın amacı, bu güne kadar ki uygulama çerçevesinde Menkul Kıymet Yatırım Fonlarının özelliklerini ortaya koymak ve performanslarını değerlendirerek küçük tasarruf sahiplerine ne ölçüde etkili portföy yönetim hizmeti sunulduğunun tesbit edilmesidir. Birinci bölümde, Menkul Kıymet Yatırım Fonlarının sermaye piyasasındaki yeri belirlenmeye çalışılarak konuya giriş yapılmıştır. İkinci bölümde, Menkul Kıymet Yatırım Fonlarının özellikleri, türleri, benzer kuruluşlarla farkları ve benzer yönleri ile yatırım araçları içindeki yeri ve önemi açıklanmıştır. Üçüncü bölümde, 3794 sayılı Kanun ile değişik 2499 sayılı Kanun çerçevesinde ülkemizdeki yatırım fonlarının bütün özelliklerine değinilmeye çalışılmıştır. Dördüncü bölümde, önce portföy yönetim süreci ve stratejileri hakkında açıklama yapılmış ve portföy yönetim sürecinin son aşaması olan performans değerleme süreci detaylı bir şekilde ele alınarak, Türkiye' deki yatırım fonlarının performanslarını değerlendirmek için uygun bir yöntem belirlenmeye çalışılmıştır. Bölüm sonunda veriler ve performans değerleme sonuçları hakkında bilgi verilmiştir. Son bölüm olan beşinci bölümde, performans değerleme sonuçlarının nedenlerine değinilerek, performansı artırmak için yapılabilecekler üzerinde durulmuştur. ıx

The objective of this thesis is to analyze and understand the features and to evaluate the performance of Mutual Funds in Turkey. A mutual fund is a type of investment by which many investors, with similar objectives and needs, pool their invested capital and employ experienced management to professionally buy and sell securities of many companies. Mutual Funds are the only type of investment companies operating in Turkey. They do not only enhance the securities market development but also help to small investors to taka part in the securities market. Investment companies were regulated in1981 by the Capital Market Law, fristly. Then, some amendments were made in the Capital Market Law in 1992. The most important change is related to the establishment of mutual funds. Before the amendment, only banks had the right to establish a mutual fund, now it is possible for insurance companies, brokerage firms, pension funds, community chests to establish a mutual funds. Two types of investment companies were created by Law ; (i) Investment Trust, (ii) Mutual Funds. Investment trusts are established in the form of joint - stock corporations which have the purpose of performing the management of securities portfolio. Investment trust do not redeem their shares, so trust' sshareholders sell them in the secondary market. They do not engage in buying and selling securities. In Turkey, investment trusts have not begun to operate yet. Open - end investment companies or mutual funds can redeem their shares at net assets value whenever investors wish. The other feature of mutual funds is their possibility to offer new shares continuously.There is another type of investment companies called closed - end investment companies. They do not redeem their shares. Since their shares are traded on secondary markets, anyone wishing to sell the shares must find the buyer on secondary markets or vice versa. The price of closed - end fund' s shares are determined in the market by the supply and demand like any other corporation. Another feature of closed - end companies is that they do not increase the number of shares. It is not possible to define mutual funds operating in Turkey as exactly closed - and or open - end type. Since investor redeems his/her shares whenever he/she wishes, they are considered as open - end investment companies. On the other hand, they do not increase the number of shares, this gives the funds the closed - end form. In brie the mutual funds in Turkey are in hybrid nature. When an investor invests his/her money on mutual fund, he/she gets Mutual Fund Participation Certificate (M.F.P.C). Mutual fund participation certificate has no nominal value. Its price is calculated on the basis of its current value to be determined according to the mutual fund' s portfolio composition and the principle of the fund' s internal statutes and in accordace with the number of shares represented by the certificate. Sales charges are added to the sales price of the certificate if the fund wishes to have such charges. Sales charges are not like a commission. Its purpose is to prevent investors' buyings and sellings in the short run. There are many types of mutual funds such as; balance funds, stock funds, bond funds, money market funds, aggressive growth funds, growth funds, growth and income funds, income funds. Balance funds invest in the various types of securities: stocks (common and preferred) and all types of bonds (government, municipal, or corporate). Stock funds are made up of a diversified list of stocks. Bond funds invest in bonds issued by corporations and government. Their risk depends on the types of bonds and their average maturity. Money market funds invest in short term debt securities, certificates of deposit, commercial paper, bankers acceptances and gonernment securities. Because of their size and their contacts, the funds can usually optain a higher yield on short term investments than can individual investors. xiAggressive growth funds' objective is the pursuit of maximum capital gains.They invest aggressivelyin speculative stocks. They tend to be concentrated in particular industries or in particular types of stocks that carry increased portfolio risk. Growth funds' long term objective is capital growth. Since they do not engage in speculative tactics, they tend to be more stable than aggressive growth funds. Growth and income funds invest in common stocks of seasoned, well established, cash dividend paying companies. Income funds portfolio usually consist of 50 percent high yield common stocks and 50 percent bonds and preferred stocks. Mutual funds provide diversification, liquidity and professional management to the investors who, individually, could not afford it. Mutual funds reduce the total risk of portfolio through diversification. A fund investor can get in or out of the market with a single buy or sell order rather than placing buy or sell order for many stocks contained in an individually managed portfolio (liquidity). The funds managers determine the specific securities to be purchased, the timing of such purchases and the proportions ofthe various asset types held by the fund. Mutual funds shareholders can avail themselves of modern investment management technology at minimal cost. The functions of modem investment or portfolio management can be summarized as follows: (i) Allocation funds among investment alternatives, (ii) Tailoring the portfolio to the preferences of the investors, (iii) Monitoring the portfolio to maintain its preferred properties, (iv) Selection of a set of security purchases and sales to beat the market. Not all managers try to perform all of the above mentined four functions together. Some managers believe that the security markets are highly effiecient These may be called ? Passive Managers `. They do not attempt to beat the market because they believe that the market can not be beaten systematically. Other managers believe that they have the necessary expertise and tools to beat the market. These kind of managers tyr to find mispriced securities, and time their investment decisions in the marketplace. The true performance of mutual fund can be measured only in relation to its particular objectives and the individual needs of the investor over an extended period of time. Performance may be analyzed, actually, only in the context of general market conditions. XIIThe two basic objectives of mutual funds can be specified as follows: (i) to increase returns through professional investment analysis, and by taking full advantage of scale economies in the management of the portfolio, (ii) to decrease investment risk by diversifying the portfolio. Therefore, when assessing the performance of mutual funds, both the rate of return and the variability of the returns are taken into account. In this thesis the performances of the mutual funds inTurkey were measured. There are three alternative composite measures for ranking ex post investment performance, namely Sharpe' s, Treynor` s and Jensen' s performance indices. The method developed by Sharpe is considered appropriate for mutual funds in Turkey and Turkish Stock Market. The methods proposed by Treynor and Jensen assume that the portfolios are well diversified. This assumption does not hold for the mutual funds in Turkey. On the other hand, due to the relatively small, thin and inefficient character of the stock market, stock market index can not be used as an indicator of the markets. The performances of mutual funds do not signify much if they are not compared with the returns of unmanaged portfolios. In most countries, the stock market index is used as an indicator of the market. However, due to the undeveloped structure of the stock market in Turkey, it will not be attempted to use the stock market index as a proxy for the unmanaged portfolio. The alternative investment tools' return can be used as indicator of unmanaged portfolio. In this thesis montly returns are used to compute the standart deviation. As risk free asset return, the composite return of treasury bills for two years has been used. As you can see at the end of the fourth section, nine mutual funds have outperformed unmanaged portfolio. So we can say the performance of mutual funds has not been as good as the unmanaged portfolio. There ans. many reason of this: (i) Once the initial portfolio is established, there is little change made even when market conditions suggest further changes. XII!(ji) Because of the problems of portfolio management, most of the funds have become bond funds. (iii) Although insurance and brokerage companies have the right to establish fund, only one insurance company and one brokerage company have established a fund. Therefore, there is no competition in mutual funds area, (iv) Banks use mutual funds to organize their own funds. They can transfer risky securities to the fund, hence adjust the rate of return on Mutual Funds Participation Certificates. Besides, banks can transfer the bonds, which have close to maturity, to the fund in order to avoid paying the withholding tax onthe bonds, as they are tax exempt if they are held by the mutual fund. Insurance and brokerage companies should establish funds to create compatition between mutual funds and also mutual funds' establishments. Thus the negativities which are created by banks can be decreased. In the first part of this thesis the entarence to the subject was made defining the position of mutual funds in the capital market. In the second part, the features and kinds of mutual funds, the differences and similarities between mutual funds and similar establishment and importance of mutual funds for investors, corporate sectors and economy were explained. In the third part, through the Capital Market Law of 1992, all the features of mutual funds in Turkey were established. In the fourth part, firstly, portfolio management process and portfolio management strategies were explained. Then, for the mutual funds in Turkey an appropriate performance evaluation method were defined and performances of the funds were calculated and analysed. In the fifth and the last part, the reason of the of the performance evaluation results were established. xiv