Portfolio Performance Analysis of Turkish Mutual Funds
Journal Title: Ankara Üniversitesi Sosyal Bilimler Dergisi - Year 2012, Vol 3, Issue 2
Abstract
Selecting the capital assets has become quite difficult due to the increasing of the capital asset varieties. In this respect, it’s required to compare achievements of these capital assets for investing. The goal of this study is to evaluate the performances of investment instruments available in the Turkish Capital Market. Initially literature regarding the portfolio performance has given in the paper. In the study, single-criteria performance analysis models have mentioned. Afterwards, four considerable financial models of the single-index models (Sharpe Ratio, Sortino Ratio, Treynor Ratio and Jensen’s Alpha) have applied for 6 monthly sub periods to Type-A, Type-B and variable mutual funds during 2008-2009 period. Consequently, it has been found out that the single index models could give significant results in determining the performances of Turkish mutual funds.
Authors and Affiliations
Fazıl Gökgöz, Mehmet Ogan Günel
Keywords
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