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

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2012

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Yalçın, Özge

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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

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Graduate School of Social Sciences, Thesis

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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.