Yatırım Fonu Performans Ölçütleri, Regrasyon Analizleri ve Manova Yöntemine Göre A, B ve Borsa Yatırım Fonları Karşılaştırmalı Analizi

• Published in: İşletme Araştırmaları Dergisi Vol. 2; no. 2; pp. 3 - 20
• Main Authors: Arslan, Mehmet, Arslan, Sıddık
• Format: Journal Article
• Language: Turkish
• Published: Journal of Business Research 2010; İşletme Araştırmaları Dergisi
• Subjects: Economy; MANOVA Anaysis; Timing Capability; Selection Capability; Exceehange Traded Finds; Mutual Fund Performance Measures
• ISSN: 1309-0712

The objective of the study is to evaluate risk- reward relationship and relative performances of the 4 different groups of mutual funds. To this end, daily return data of these 12 mutual funds (3 type variable fund; 3 B type variable fund; 3 A type stock fund and 3 A type Exchange traded fund) together with daily market index (imkb100) return and daily return of riskless rate for the period from January 2006 to Feb 2010. The 180-day maturity T-Bill has been selected to represent riskless rate. To determine performances of mutual funds; Sharpe ratio, M2 measure, Treynor index, Jensen index, Sortino ratio, T2 ratio, Valuation ratio has been applied and these indicators produced conflicting results in ranking mutual funds. Then timing and selection capability of the fund manager has been determined by applying simple regression and Quadratic regression. Interestingly all funds found to have positive a coefficient, indicating positive selection capability of managers; but in terms of timing capability only one fund managers showed success. Finally, to determine extent to which mean returns are differs between mutual funds, market index (imkb100) and riskless rate (180 day T-Bill) results of the analysis revealed that mean returns of individual security returns differs at P≤0,01 level. That shows instability in returns and poor ex-ante forecast modeling capability.