Postmodern Portföy Teorisi Çerçevesinde Portföy Oluşturma

Abstract

Bu çalışmada Borsa İstanbul Katılım 30 endeksinde yer alan pay senetleriyle Sharpe ve Sortino oranlarının maksimizasyonuna dayalı alternatif ağırlık belirleme stratejileri kullanılmış, modern portföy teorisi ve postmodern portföy teorisiyle uyumlu portföyler oluşturulmuştur. Sharpe portföyü için geleneksel risk ölçütleri, Sortino için aşağı yönlü metrikler kullanılarak ağırlıklar hesaplanmış ve elde edilen ağırlıklarla 6 Mayıs 2022 – 28 Haziran 2024 tarihleri arasındaki dört endeks izleme döneminde 527 işlem günü için portföy getiri serileri oluşturulmuştur. Ayrıca eşit ağırlıklı portföyler ve Katılım 30 endeksi karşılaştırma ölçütü olarak kullanılmıştır. Analiz sonuçları Sharpe getiri serisinin endeksi yakından izlediğini, Sortino portföyünün ise piyasanın yükseliş trendine girdiği spesifik periyotlarda hem karşılaştırma endeksinin hem de geleneksel piyasa endeksinin üstünde performans sergilediğini göstermektedir. Bu çalışma MPT ve PMPT yaklaşımlarının ve ölçütlerinin varlık tahsisi ve portföy yönetiminde uygulanabilirliğine ilişkin kanıtlar sunmaktadır. Ayrıca çalışma yatırımcıların farklı piyasa koşullarında ilgili modelleri kullanarak varlıklarını yönetebileceğini ve portföylerini dengeleyebileceğini göstermektedir.

Keywords

• Postmodern Portföy Teorisi
• Aşağı Yönlü Risk
• Portföy Optimizasyonu
• Katılım Endeksi

Portfolio Construction with Postmodern Portfolio Theory Framework

Abstract

This study includes alternative portfolio construction approaches consistent with the Modern Portfolio Theory (MPT) and Postmodern Portfolio Theory (PMPT). We propose a weighting strategy based on Sharpe and Sortino optimization, and unlike MPT, we create PMPT portfolios using downside metrics, such as downside risk, downside beta, and downside capital asset pricing model (D-CAPM). Portfolios consist of stocks in the Borsa Istanbul Participation 30 Index (XK030), with the stocks in the portfolio having been revised according to screening periods. In addition, we created an equally weighted portfolio and used XK030 as a benchmark for comparative analysis. The sample period covers 527 trading days between May 6, 2022, and June 28, 2024. The results show that the Sharpe portfolio consistently follows the benchmark index throughout the observation period. Sortino outperforms both the benchmark and conventional market index in some specific periods when the market has an upward trend, especially. This study provides evidence that the MPT and PMPT approaches and measures can be used in asset allocation and portfolio management. Investors can manage their assets and balance portfolio weights by implementing the models in different market conditions.

Keywords

• Postmodern Portfolio Theory
• Downside Risk
• Portfolio Optimization
• Participation Index

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