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Asset Management and The Case of Turkey: Risk Adjusted Performance Evaluation of Turkish Mutual and Pension Funds

by Hakkı Öztürk (Author) Tayfun Özkan (Author)
©2022 Monographs 260 Pages

Summary

The asset management industry is one of the essential sources of economic growth
in a country since it functions as an intermediary between savings and investments.
The asset management industry is also important for financial markets to ensure new
funds and it helps investors to achieve their investment goals. Therefore, the aim of
this study is to analyze the fund management industry in an emerging market. In this
book, we first reviewed the fund performance measurement ratios and then evaluated
these performance measures of mutual and pension funds in Turkey between
2010 and 2019 to determine whether the funds generate alphas (excess returns). The
risk-adjusted performance measures (Sharpe, Treynor, Information, Jensen’s alpha,
Sortino, and Omega ratios) were calculated to see if the funds generated excess
risk-adjusted returns during the analyzed period.

Table Of Contents

  • Cover
  • Title
  • Copyright
  • About the authors
  • About the book
  • This eBook can be cited
  • Preface
  • Contents
  • Abbreviations
  • Symbols
  • 1. Asset management and the case of Turkey
  • 1.1 Asset management’s role within economy and the financial system
  • 1.2 An overview of asset management industry in Turkey
  • 2. Data and methodology
  • 2.1 The big picture
  • 2.2 Performance analysis methodology in fund management
  • 2.2.1 Absolute risk-adjusted performance measures
  • 2.2.2 Relative risk-adjusted performance measures
  • 2.2.3 Measures based on downside risk and higher moments
  • 2.3 Data
  • 2.3.1 Returns data
  • 2.3.2 Benchmark data
  • 2.3.3 Data for asset allocations of fund portfolios
  • 2.3.4 Risk-free rate data
  • 2.3.5 Risk-adjusted performance measures data
  • 2.3.6 Management fee data
  • 3. Fund category performance analysis
  • 3.1 Mutual fund categories vs defined benchmarks
  • 3.1.1 Gold funds
  • 3.1.2 Fixed income funds
  • 3.1.3 Equity funds
  • 3.1.4 Multi asset funds
  • 3.1.5 Participation funds
  • 3.1.6 Short-term fixed income funds
  • 3.1.7 Short-term lease certificates funds
  • 3.1.8 Money market funds
  • 3.2 Pension fund categories vs. defined benchmarks
  • 3.2.1 Gold funds
  • 3.2.2 Fixed income funds
  • 3.2.3 Government bonds funds
  • 3.2.4 Foreign currency denominated government bonds funds
  • 3.2.5 Private sector fixed income funds
  • 3.2.6 Equity funds
  • 3.2.7 Government contribution funds
  • 3.2.8 Government contribution participation funds
  • 3.2.9 Standard participation funds
  • 3.2.10 Standard funds
  • 3.2.11 Money market funds
  • 3.2.12 Initiation funds
  • 3.2.13 Initiation participation funds
  • 4. Results
  • 4.1 Results comparison vis-a-vis time horizon
  • 4.2 Results comparison vis-a-vis single index models
  • 4.3 Results comparison of the same mutual and pension fund categories
  • References
  • List of figures
  • List of tables

←12 | 13→

Abbreviations

AuM

Assets under Management

CAPM

Capital Asset Pricing Model

CBRT

Central Bank of Republic of Turkey

CMB

Capital Markets Board of Turkey

CSD

Central Securities Depository of the Turkish capital markets

DPM

Discretionary Portfolio Management

ETF

Exchange Traded Fund

EU

European Union

FMI

Fund Management Industry

FoF

Fund of Funds

MF

Mutual Funds

PDP

Public Disclosure Platform

PEIF

Private Equity Investment Funds

PF

Pension Funds

PPP

Public Private Partnership

REIF

Real Estate Investment Funds

SME

Small Medium Enterprises

TCMA

Turkish Capital Markets Association

TEFAS

Turkish Electronic Funds Trading Platform

TL

Turkish Liras

TUIK

Turkish Statistical Institute

VaR

Value at Risk←14 | 15→

Symbols

Average benchmark return for the period:

RB¯

Average portfolio (fund category) return for the period:

Rp¯

Average risk-free rate of return for the period:

Rf¯

Beta of portfolio:

βp

Standard deviation of portfolio (fund category) returns:

Details

Pages
260
Year
2022
ISBN (PDF)
9783631881552
ISBN (ePUB)
9783631881569
ISBN (MOBI)
9783631881576
ISBN (Softcover)
9783631879535
DOI
10.3726/b19820
Language
English
Publication date
2022 (July)
Published
Berlin, Bern, Bruxelles, New York, Oxford, Warszawa, Wien, 2022. 260 pp., 97 fig. b/w, 66 tables.

Biographical notes

Hakkı Öztürk (Author) Tayfun Özkan (Author)

Tayfun Özkan is an executive board member at Asset Management Company in Turkey. He is also a part time lecturer in finance at Bahçes¸ehir University. Hakkı Öztürk is an associate professor of finance at Bahçes¸ehir University in Istanbul, Turkey. His areas of expertise include corporate finance, firm valuation, fundamental analysis, technical analysis and portfolio management.

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262 pages