Yatırım Fonu Performans Ölçütleri, Regrasyon Analizleri ve Manova Yöntemine Göre A, B ve Borsa Yatırım Fonları Karşılaştırmalı Analizi
Comparative Analysis of A, B Type and Exchange Traded Funds Performances with Mutual Fund Performance Measures, Regression Analysis and MANOVA Techniq

Summary/Abstract: 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.

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