The performance evaluation and persistence of a type mutual funds in Turkey

Download

index.pdf

Date

2012

Author

Yalçın, Özge

Metadata

Show full item record

Item Usage Stats

199
views

95
downloads

Literature reveals studies on mutual fund performance analysis and persistency, with various results. Some studies support hort term performance persistence, while the rest claiming no such persistency among the portfolios. This thesis is an attempt to analyze the performances of Turkish open-end mutual funds for the period of 2003-2010 and search for persistency by extending the time period to June 2011. For performance evaluation, single factor CAPM and ama-French’s Three Factor Model are applied. Persistency analysis is done by tracking the relative fund performances on a monthly basis. The results of this study indicate that for the sample period, Turkish A Type mutual funds neither overperform nor underperform the overall market. Nearly all Jensen’s alphas are found to be zero, statistically significant. This is also an implication that the mutual funds are earning their expected returns in an efficient mutual fund market in Turkey. The Fama-French’s three factor model shows slightly better performance, on the other hand. The size and book to market equity factors are not found significant in general, however they are found jointly significant in all regressions. Persistency is analyzed by tracking the mutual fund erformances on monthly basis. When some mutual funds showed negative or positive performance persistency during the period individually, but the overall picture demonstrates a balanced distribution of performance groups. The number Loser-Loser performances is slightly more than the other three groups, resulting in a tendency for short term negative persistency for the sample analyzed between the period of January 2003 to June 2011.

Subject Keywords

Mutual funds

URI

http://etd.lib.metu.edu.tr/upload/12614099/index.pdf
https://hdl.handle.net/11511/21373

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

A Closer look at mutual fund performance in Turkey based on active peer benchmarks Şanap, Aybars Furkan; Küçükkaya, Halit Engin; Department of Business Administration (2017) This master's thesis aims to evaluate mutual fund performance in Turkey on a risk-adjusted basis with various approaches. First, commonly used Capital Asset Pricing Model (CAPM) and Carhart Four-Factor Model are employed for performance analysis. Then, active peer benchmarks (APB) are utilized to account for market-capitalization characteristics of portfolio stockholdings and to control commonalities in unsystematic risk-taking of different mutual funds. The empirical results are mixed for the sampled fifty...
Two Essays on Herding Tekel, Onur; Şendeniz Yüncü, İlkay; Department of Business Administration (2023-2) This thesis examines the herding behavior within the banking and the mutual fund industries. It highlights the existence of herding, its potential reasons, and its effects on the industry dynamics. A review of the herding behavior literature is provided in the first chapter. In the second chapter, we analyze herding in lending decisions. Using loan data from 30 commercial banks, the presence of herding in cash credit lending decisions is investigated first, followed by the effects of herding on bank perform...
An overview of detection in MIMO radar Bilgi Akdemir, Şafak; Candan, Çağatay; Department of Electrical and Electronics Engineering (2010) In this thesis study, an overview of MIMO radar is presented. The differences in radar cross section, channel and received signal models in different MIMO radar configurations are examined. The performance improvements that can be achieved by the use of waveform diversity in coherent MIMO radar and by the use of angular diversity in statistical MIMO radar are investigated. The optimal detector under Neyman-Pearson criterion for Coherent MIMO radar when the interfering signal is white Gaussian noise is devel...
A sequential classification algorithm for autoregressive processes Otlu, Güneş; Candan, Çağatay; Çiloğlu, Tolga; Department of Electrical and Electronics Engineering (2011) This study aims to present a sequential method for the classification of the autoregressive processes. Different from the conventional detectors having fixed sample size, the method uses Wald’s sequential probability ratio test and has a variable sample size. It is shown that the suggested method produces the classification decisions much earlier than fixed sample size alternative on the average. The proposed method is extended to the case when processes have unknown variance. The effects of the unknown pro...
An Empirical Investigation Of Payment Performance For Consumer Loans In Turkey Özdemir, Özlem (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2008-12) This paper explores the relationship between consumer credit clients’ payment performance and some demographic and financial variables. Data to examine this relationship is obtained from the customer records of a private bank in Turkey. A logistic binary regression is used to evaluate the data. Financial variables rather than the demographic characteristics of clients have significant influence on customers’ pay back performance. Thus, the longer the maturity time and the higher the interest rate, the highe...

Citation Formats

Ö. Yalçın, “The performance evaluation and persistence of a type mutual funds in Turkey,” M.B.A. - Master of Business Administration, Middle East Technical University, 2012.