Serbest Fonlar Ve Yatırım Fonlarının Risk Ayarlı Performanslarının Karşılaştırmalı Analizi

Year 2023, Volume: 8 Issue: 1, 31 - 47, 20.06.2023

Hind Benmahi , Emin Avcı

Abstract

Kolektif yatırım kuruluşları, finansal piyasaların sunduğu fırsatlardan yararlanmak için farklı yatırım stratejileri uygulamaktadırlar. Çeşitli kolektif yatırım kuruluşları arasında serbest fonlar (hedge fon) ile yatırım fonları büyük ilgi çekmektedir. Bu çalışmanın amacı, serbest yatırım fonu stratejileri ve yatırım fonu stratejilerini riske göre uyarlanmış performanslarını karşılaştırmaktır. Bu amaçla farkı veri tabanı sağlayıcıları tarafından hesaplanan serbest fon ve yatırım fonu endeksleri kullanılmıştır. 3 farklı veri tabanından (Eurekahedge, Credit Suisse, CISDM) elde edilen endeks verileri ile yatırım fonu ve serbest yatırım fonlarının performansları 2008-2021 dönemi için alternatif risk ölçütleri kullanılarak analiz edilmiştir. Performans ölçütleri olarak Varlık Fiyatlama Modeline (CAPM) dayanan Alfa, Sharpe rasyosu, ve Sortino rasyosu kullanılmıştır. Ayrıca, MSCI Dünya endeksi de referans olarak alınmıştır. Bulgular, serbest yatırım fonu stratejilerinin çoğunlukla MSCI World endeksinden daha iyi performans gösterdiğini ve yatırım fonlarından daha iyi riske göre ayarlanmış performans sağladığını göstermiştir.

Keywords

Serbest Yatırım Fonları, Sharpe Rasyonu, Sortino Rasyonu

Comparative Analysis of Hedge Funds and Mutual Funds Risk-Adjusted Performances

Abstract

Collective investment schemes have been utilizing distinct investment strategies to exploit opportunities offered by the financial markets. Among the alternative collective investment schemes the hedge funds and mutual funds have been attracting great interest. The objective of this study is to compare risk adjusted performance of hedge fund strategies with mutual funds strategies. The hedge fund indexes and mutual funds indexes, which are calculated by different database providers are utilized for this purpose. In this study, the indexes from three database providers (Eurekahedge, Credit Suisse, CISDM) are analyzed for the 2008-2021 period using distinct performance measurement metrics as Alpha based on the Capital Asset Pricing Model (CAPM), the Sharpe ratio and Sortino ratio; moreover, the MSCI World index has been taken as a benchmark. The findings demonstrated that the majority of hedge fund indices performed better than the benchmark MSCI World and provide better risk-adjusted performance than mutual funds.

Keywords

Hedge Funds, Alpha, Sharpe Ratio, Sortino Ratio, Serbest Yatırım Fonları, Sharpe Rasyonu, Sortino Rasyonu

References

• Acaravcı Kakilli, S. (2010). Finansal piyasalarda hedge fonlar: strateji ve riskler. Cag University Journal of Social Sciences, 7(1), 84-106.
• Ackerman, C., McAnally, R. & Ravenscraft. D. (1999). The performance of hedge funds: risk, return, and incentives. Journal of Finance, 54, 833-874.
• Agarwal, V. & Naik, N.Y. (2000). Generalized style analysis of hedge funds. Journal of Asset Management,1(1), 93-109.
• Agarwal, V., Daniel, N. D., & N. Y. Naik. (2009). Role of managerial incentives and discretion in hedge fund performance. Journal of Finance,64, 2221-2256.
• Bodi, Z., Kane, A. & Marcus, A. (2005). Investments. McGraw Hill/Irwin, 6th edition.
• Brown, S. J., Goetzmann, W.N. & Ibbotson, R.G. (1999). Offshore hedge funds: survival and performance 1989-1995. Journal of Business, 72, 91-118.
• Capocci, D. & Georges Hübner, G. (2004). Analysis of hedge fund performance. Journal of Empirical Finance, 11, 55-89.
• Çağıl, G. & Hosseini, S.Y. (2011). Türkiye’de kurulan hedge fonlar ve performans analizi uygulaması. Marmara Üniversitesi Bankacılık ve Sigortacılık Enstitüsü E-Dergisi, 1(1), 1-22.
• Chordia, T. (1996). The structure of mutual fund charges. Journal of Financial Economics, 41(1), 3-39. CISDM Research Department (2022). Hedge fund indices, Available at: https://www.isenberg.umass.edu/centers/center-for-international-securities-and-derivatives-markets/cisdm-indices.
• Credit Suisse (2022). Broad hedge fund index, Available online at: https://lab.credit-suisse.com/ #/en/index/HEDG/HEDG_CVARB/overview
• Eling, M. & Faust, R. (2010). The performance of hedge funds and mutual funds in emerging markets. Journal of Banking and Finance, 34, 1993-2009.
• Eurekahedge (2022). Eurekahedge asset-weighted hedge fund index. Available at: https://eurekahedge.com/Indices/hedge-fund-index-methodology
• Fung, W. & Hsieh, D. A. (1999). A primer on hedge funds. Journal of Empirical Finance, 309-331.
• Fung, W. & Hsieh, D. A. (2001). The risk in hedge fund strategies: theory and evidence from trend followers. Review of Financial Studies,14, 313-341.
• Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. Journal of Finance, 389-416. https://doi.org/10.1111/j.1540-6261.1968.tb00815.x
• Kosowski, R., Narayan Y. N., & Melvyn T. (2007). Do hedge funds deliver alpha? a bayesian and bootstrap analysis. Journal of Financial Economics 84, 229—264.
• Liang, B. (1999). On the performance of hedge funds. Financial Analysts Journal, 55(4), 72—85.
• Liang, B. & Kat, M.H. (2001). Hedge fund performance: 1990–1999. Financial Analysts Journal, 57, 11–18.
• Lintner, J. (1965). The Valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-3.
• Morgan Stanley, MSCI World historical prices, available at https://www.msci.com
• Nicholas, J. (2004). Hedge fund of funds investing, an investor's guide. Princeton: Bloomberg Press.
• Patro, D.K. (2001). Measuring performance of international closed-end funds. Journal of Banking & Finance, 25(9), 1741-1767.
• Perold, A. F. (2004). The capital asset pricing model. Journal of Economic Perspectives, 18(3), pp. 3-24. https://doi.org/10.1257/0895330042162340
• Schneeweis, T. & Spurgin, R. (1998). Multifactor analysis of hedge funds managed futures and mutual fund return and risk characteristics. Journal of Alternative Investments, 1, 1-24.
• SEC, office of investor education and advocacy, mutual funds, and ETFs: A Guide for investors, SEC Pub. 182, December 2016,
• Sharpe. W. F. (1964). Capital Asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance, 19, 425-442.
• Stefanini, F. (2006). Investment strategies of hedge funds. West Sussex: Wiley Finance.
• Stowell, D. P. (2010). An introduction to investment banks, Hedge Funds, and Private Equity. The New Paradigm.
• Stulz, R. (2007). Hedge Funds: Past, Present and Future. Fisher College of Business. Ohio State University. National Bureau of Economics.
• Yahoo! Finance, Mutual fund strategies historical prices, available at: https://finance.yahoo.com (last visited June 2022)