Performance evaluation of a-type Turkish mutuals funds in the era of quantitative easing

Gozde Ünal and Ömer FARUK Tan
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Gozde Ünal: Bogazici University, Bebek, Istanbul, 34342, Turkey
Ömer FARUK Tan: MEF University, Maslak, Istanbul, 34396, Turkey

Yildiz Social Science Review, 2015, vol. 1, issue 2, 35-46

Abstract: This paper aims to evaluate the performance of A-type Turkish funds between January 2009 and November 2014. This study period coincides with the period of quantitative easing during which developing economies in financial markets have been in fluenced dramatically. Thanks to the increase in the money supply directed towards the capital markets, a relief was experienced in related markets following the crisis period. During this 5-year 10-month period, in which the relevant quantitative easing continued, Borsa Istanbul (BIST) yielded 21% compounded on average, per annum. A-type Turkish funds are investigated in order to compare these funds performance within this period. Within this framework, 15 A-type equity funds and 18 A-type variable funds are selected. So as to measure these funds' performance, Sharpe ratio (1966), Treynor ratio (1965) and Jensen alpha (1968) methods are used. Moreover, Jensen's alpha also provides information on selectivity skills of fund managers. Furthermore, Treynor&Mazuy (1966) regression analysis method is applied for market timing ability of fund managers.

Keywords: Performance Evaluation; Mutual Funds; Sharpe Ratio; Jensen's alphaJournal: Yildiz Social Science Review (search for similar items in EconPapers)
JEL-codes: F00 F30 G00 G10 K00 K20 M00 M20 O10 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:aye:journl:v:1:y:2015:i:2:p:35-46

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