Asset Management and The Case of Turkey: Risk Adjusted Performance Evaluation of Turkish Mutual and Pension Funds
Summary
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.
Excerpt
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
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 |
Symbols
Average benchmark return for the period: |
|
Average portfolio (fund category) return for the period: |
|
Average risk-free rate of return for the period: |
|
Beta of portfolio: |
|
Standard deviation of portfolio (fund category) returns: |
Details
- Pages
- 260
- Publication 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.
- Product Safety
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