PERFORMANCE EVALUATION OF MUTUAL AND PENSION FUNDS TRADED ON BORSA ISTANBUL UNDER THE CONTROL OF FUND COSTS
Abstract
In this study, the performances of 10 groups of A and B Type mutual funds and the performance of the Pension (total) fund are evaluated at daily and monthly frequencies. Different from many studies aiming to evaluate fund performance, this study takes into account the expense ratios in calculating the net returns of fund groups. Whether the fund groups provide return that is proportional to risk is tested by using Capital Asset Pricing Model (CAPM) and the Fama – French three factor model. Jensen Alpha which is a risk-adjusted performance measure is obtained from the aforementioned asset pricing models and is used to test whether fund groups provide abnormal return. Consequently, contrary to the expectations, a great majority of funds evaluated under the control of expenses do not exhibit high performance
Details
| Journal Section | Articles |
|---|---|
| Authors | |
| Publication Date | January 15, 2016 |
| Published in Issue | Year 2015 Volume: 2 Issue: 4 |
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