PORTFÖY SEÇİMİNDE AŞAĞI YÖNLÜ RİSKLERİN KULLANIMI: BIST30 ENDEKSİNDEKİ PAYLAR ÜZERİNE BİR UYGULAMA

Abstract

Yatırımcıların kayıplara kazançlardan daha fazla önem vermesi ve getiri serilerindeki asimetrik dağılım, portföy teorisinin ortalama-varyans yaklaşımından ortalama-semivaryans yaklaşımına evrilmesine neden olmuştur. Gelişmekte olan piyasalarda, pay getirilerindeki asimetrik eğilim de aşağı yönlü risk ölçütlerinin kullanımını desteklemektedir. Çalışmanın nihai amacı portföy seçiminde ortalama-varyans yaklaşımının, ortalama-semivaryans yaklaşımından farklı sonuçlara neden olup olmadığını araştırmaktır. Bu doğrultuda BIST30 endeksinde yer alan payların, 2016-2020 yılları arasındaki aylık getirileri kullanılarak Tek Endeksli Piyasa Modeli ile betaları ve aşağı yönlü betaları hesaplanmıştır. Daha sonra CAPM ve D-CAPM uygulanarak elde edilen istenen getiriler, gerçekleşen getiriler ile karşılaştırılmış ve pozitif/negatif alfalı paylar belirlenmiştir. Çalışma sonucunda, betalar ve aşağı yönlü betalar arasındaki fark istatistiksel olarak anlamlı olmasına rağmen hem CAPM hem de D-CAPM kullanılarak portföye alınması veya portföyden çıkarılması gereken payların aynı olduğu ortaya konulmuştur. Diğer bir sonuç da ortalama-semivaryans yaklaşımı kullanılarak yapılan çeşitlendirmenin, ortalama-varyans yaklaşımı kullanarak yapılan çeşitlendirmeden daha başarılı olmadığıdır. Çalışmanın sonuçları D-CAPM’in, gelişmekte olan bir piyasa olarak Borsa İstanbul’da, CAPM’den daha yüksek istenen getiriler sunması bakımından da önemlidir.

Keywords

• Aşağı yönlü beta
• D-CAPM
• semivaryans
• modern portföy teorisi
• finansal varlık Pazar doğrusu

UTILIZATION OF DOWNSIDE RISK MEASURES IN PORTFOLIO SELECTION: EVIDENCE FROM BIST30 INDEX

Abstract

Portfolio management has evolved from the mean-variance approach to the mean-semivariance approach because the investors have the tendency to prefer avoiding losses to acquiring equivalent gains and the distribution of return series tends to be non-symmetric. The non-symmetric tendency of stock returns in Emerging Markets also supports the utilization of downside risk measures. The ultimate purpose of the study is to analyze whether the mean-variance approach in portfolio selection causes different results from the mean-semivariance approach. For this purpose, betas and downside betas were obtained with the Single Index Market Model by using the monthly returns of the stocks within the scope of the BIST30 index between the years 2016-2020. Then, the required returns obtained by applying CAPM and D-CAPM were compared with the realized returns, and the stocks with positive and negative alpha were determined. Although there is a statistically significant difference between betas and downside betas, it is one of the most important results of the study that both CAPM and D-CAPM cause similar results in portfolio selection. Another result is that diversification using the mean-semivariance approach is no more successful than diversification using the mean-variance approach. The results of the study are also important in that D-CAPM generates higher required returns than CAPM in Borsa Istanbul as an Emerging Market.

Keywords

• downside beta
• d-capm
• semivariance
• modern portfolio theory
• security market line

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