COMPARISON OF INVESTMENT STYLE: AN APPLICATION ON SHARE WEIGHTED FUNDS TRADING IN TURKEY

Turhan Korkmaz and Hasan Uygurturk ()
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Hasan Uygurturk: Zonguldak Karaelmas University

Anadolu University Journal of Social Sciences, 2011, vol. 11, issue 1, 1-12

Abstract: The investment style and the change of the investment style of the share weighted funds trading in Turkey for the period December 2006 to December 2009 are aimed to be determined, by this study. Thus the contents of the investment funds are carried out in the context of share indexes and risk-free investment vehicles. The fluctuation of the concerned contents in time is aimed to be displayed. Accordingly, the style analysis method, developed by W. F. Sharpe in 1992, is periodically applied for the each month of the 3 years both for the general and the analysis periods and findings are compared. As a result of the study, in the portfolio of the pension funds share group, the shares that form the financial index is standing in the forefront rather than the shares that form the share indexes, and it is ascertained that in A type investment funds there is no such condition. Nonetheless, it is concluded that the fund managers follow an investment strategy, which reduces the risk in the analysis period for both share weighted pension funds and the security funds.

Keywords: Style analysis; share weighted investment funds; asset class factor model. (search for similar items in EconPapers)
JEL-codes: C61 G11 G23 (search for similar items in EconPapers)
Date: 2011
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