Geleneklsel yöntemler ve veri zarflama analizi modelleriyle portföy performansının değerlendirilmesi: A tipi yatırım fonları üzerine uygulama
Özet
The portfolio evaluation, whose objective is to determine the current return and possible return of a given portfolio, has always been an interesting issue for the financial investors. As a result of the changing financial market conditions, portfolio evaluation methods have come to incorporate a substantial range of different perspectives and widened its scope. The two main changing financial market conditions that are worth noticing can be summarized as followings. Firstly, as the financial markets are increasingly integrated at a global scale, the assessment of global risk is increasingly difficult to measure and forecast. Secondly, narrowing profit margins (to get positive returns) a phenomenon that is also being experienced in the Turkish economy recently. These changes prompt individual investors to use fund managers. In case of using fund managers, portfolio evaluation should be taken into consideration with broadly perspectives. Firstly, the individual investors must know the fund managers' policies of stock selection and market timing with the possible successes of these policies. Also, individual investor should be care of factors such as expense ratio and commission fee reducing the expected returns. Portfolio evaluation is crucial not only for individual investors but also fund managers. Fund managers must determine that factors affecting the performance of the fund and the impact degree of these factors. Thus, the managers are able to detect contributing factors causing improved factors. As will be seen, aims will be acquired, if portfolio evaluation is taken as a process with many aspects. This study put the process into the practice giving more priority DEA which fulfilling most requirements for the effective performance. For that, 53 A type fund were evaluated for the 2001-2003 period time on a categorical basis. In the first part of the evaluation, the funds evaluated using ISE and Fund index constituting by the Institutional Managers Society based on risk-return factors to get adjusted risk return values and the succession of the portfolio selection and market timing strategies. The use of different benchmark portfolio produced different results. In the second section, it is measured technical efficiency of funds using DEA 158methods without applying any benchmark portfolio based on risk, return, expense ratio and turn ratio. We found that the DEA methods can produce interesting insights as to improve funds' performance. As a result can be claimed that the DEA methods can be combined with more to improve the portfolio evaluation methods than traditional methods.