Evaluation of Portfolio Performance of Turkish Investment Funds | Zendy

Cudi Tuncer Gürsoy | Zendy; Yaman Ö. Erzurumlu | Zendy

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Evaluation of Portfolio Performance of Turkish Investment Funds

Author(s) -

Cudi Tuncer Gürsoy,

Yaman Ö. Erzurumlu

Publication year - 2001

Publication title -

doğuş üniversitesi dergisi

Language(s) - English

Resource type - Journals

eISSN - 1308-6979

pISSN - 1302-6739

DOI - 10.31671/dogus.2019.360

Subject(s) - turkish , portfolio , business , foreign portfolio investment , fund of funds , investment (military) , finance , economics , return on investment , open ended investment company , political science , microeconomics , philosophy , linguistics , production (economics) , politics , market liquidity , law

This article attempts to measure performances of Type A and Type B funds relative to T-Bill rates and ISE-100 index in Turkey over the period of January 1998-June 2000 using Sharpe, Treynor, Jensen, and Graham&Harvey indices. 55 Type A, and 77 Type B Funds were included in the analysis. In order to test whether four different indices make similar ranking, Spearman rank correlation analysis was utilized. Secondly, Wilcoxon Signed-Rank test was applied to test the significance of the differences in Sharpe indices of alternative investment instruments included in the analysis.Analysis revealed that different criteria rank the portfolios similarly. But more importantly it was found that, the best investment over the entire analysis period as well as in the sub-periods was T-Bills, which was followed by ISE-100 index, Type B Funds, and Type A funds respectively. This finding makes the merits of the efforts spent by funds managers, over the analysis period, to outperform the market highly questionable.

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