PORTFOLIO OPTIMISATION BASED ON ALTERNATIVE METHODS

Yıl 2021, Sayı: 59, 333 - 358, 31.08.2021

Önder Büberkökü

https://doi.org/10.18070/erciyesiibd.881391

Cited By: 2

Öz

In this study, the performances of four different portfolio optimisation methods consisting
of the Omega ratio, conditional value-at-risk (CVaR), maximum drawdown (MDD), and Markowitz
(1952) mean variance methods are compared using monthly data for the period fromJanuary 2000 to
September 2020. Portfolio optimisation methods are applied b y taking into account three different
targeted annual return rates. Sharpe ratio, Treynor ratio, Information ratio, Sortino ratio, Calmar ratio,
and Jensen’s alpha measure are used to evaluate the performance of portfolio optimisation methods.
The study findings indicate that the portfolio optimisation method based on the Omega ratio exhibits
the best performance for the period examined. However, findings also indicate that optimal portfolios
based on the Omega ratio contain significant concentration risk in addition to high market risk.

Anahtar Kelimeler

Portfolio Optimisation, Omega Ratio, Conditional Value-At-Risk, Maximum Drawndown

ALTERNATİF YÖNTEMLERE DAYALI PORTFÖY OPTİMİZASYONU

Öz

Bu çalışmada koşullu riske maruz değer (Conditional value-at-risk, CVaR), maksimum düşüş oranı (Maximum drawndown, MDD), Omega rasyosu ve Markowitz (1952) ortalama-varyans yönteminden oluşan dört farklı portföy optimizasyon yönteminin performansları aylık veriler kullanılarak Ocak 2000 ile Eylül 2020 dönemi için karşılaştırılmıştır. Portföy optimizasyon yöntemleri hedeflenen üç farklı yıllık getiri oranı dikkate alınarak uygulanmıştır. Portföy optimizasyon yöntemlerinin performanslarının değerlendirilmesinde Sharpe rasyosu, Treynorrasyosu, Bilgi rasyosu, Sortino rasyosu, Calmar rasyosu ve Jensen (alfa) kriterinden yararlanılmıştır. Çalışma bulguları incelenen dönem için en iyi performansı Omega rasyosuna dayalı portföy optimizasyon yönteminin sergilediği sonucuna işaret etmektedir. Fakat, bulgular Omega rasyosuna dayalı portföylerin yoğunlaşma riskine ilaveten önemli oranda piyasa riski de içerdiğini göstermektedir.

Anahtar Kelimeler

Portföy optimizasyonu, Omega rasyosu, Şartlı riske maruz değer, Maksimum düşüş oranı

Kaynakça

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