Comparing Performances of the Portfolios Created According to the Net Working Capital Approach: Example of Istanbul Stock Exchange

Mehmet Emin Yıldız and Naci Yılmaz
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Mehmet Emin Yıldız: Doğuş University
Naci Yılmaz: Doğuş University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2020, vol. 35, issue 114, 241-262

Abstract: Testing whether portfolios created by using graham's net working capital (nwc) approach offer greater returns than the bist 100 index is the main purpose of this study. Accordingly, between 2000 and 2020, the performance of the portfolios created by the nwc approach in istanbul stock exchange (bist) was measured by "back-tests" and compared using portfolio performance measurement techniques. As a result of the study, while portfolios of shares with the ratio of a market value to net working capital being greater than 1 provide an average monthly additional return of 2.19% compared to the bist 100 index, according to sharp ratio, they also offered a better combination of risk-return than other portfolio groups. Another important result is that the reason for the portfolios selected with the nwc approach to deliver excess returns over the market may be independent of the company size.

Keywords: Net Working Capital; Graham; Portfolio Performance Measurement Techniques; BIST100 index; Anomaly (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G14 G20 G31 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:35:y:2020:i:114:p:241-262

DOI: 10.33203/mfy.784933

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