EVALUATION OF BANKS’ EQUITY UMBRELLA FUNDS PERFORMANCE IN TURKEY

Authors : Erhan DAŞTAN, Hatice HAN ŞAN, Basma ALMISSHAL

Pages : 1-14

Doi:10.46482/ebyuiibfdergi.1127582

View : 124 | Download : 143

Publication Date : 2022-12-31

Article Type : Research Paper

Abstract :The most important objectives in portfolio management are to have the highest average return at a certain level of risk and to eliminate the unsystematic risk through diversification. Measuring the performance of their portfolios has an important place in investment decisions for investors who want maximum return for a certain risk. In order to measure portfolio performance, there are three basic methods; Sharpe Ratio, Treynor Ratio and Jensen’s Alpha performance indices. In this study, the performance of 30 equity umbrella funds of banks between May 2015 and April 2020 was evaluated. According to the results, the performances of the three indices are listed in descending order. When the funds with the highest returns in three performance indices are analyzed, Yapı Kredi Asset Management Foreign Technology Sector Equity Fund in both Sharpe index and Treynor Index, and Yapı Kredi Asset Management BIST Dividend 25 Index Equity Fund in Jensen index are the funds with the highest performance. In addition, when the rank correlation coefficients calculated to reveal the relationships between the indices were examined, it was seen that the correlation levels were high
Keywords : Umbrella funds, Portfolio performance indices, Performance ranking