Comparing Performances Of The Portfolios Created According To The Net Working Capital Approach: Example Of Istanbul Stock Exchange

Year 2020, Issue: 114, 241 - 262, 01.10.2020

Mehmet Emin Yıldız Naci Yılmaz

https://doi.org/10.33203/mfy.784933

Cited By: 1

Abstract

Testing whether portfolios created by using Graham's Net Working Capital (NWC) approach offer greater returns than the BIST 100 index is the main purpose of this study. Accordingly, between 2000 and 2020, the performance of the portfolios created by the NWC approach in Istanbul Stock Exchange (BIST) was measured by "back-tests" and compared using portfolio performance measurement techniques. As a result of the study, while portfolios of shares with the ratio of a market value to net working capital being greater than 1 provide an average monthly additional return of 2.19% compared to the BIST 100 index, according to sharp ratio, they also offered a better combination of risk-return than other portfolio groups. Another important result is that the reason for the portfolios selected with the NWC approach to deliver excess returns over the market may be independent of the company size.

Keywords

Net Working Capital, Graham, Portfolio Performance Measurement Techniques, BIST100 index, Anomaly

Net İşletme Sermayesi Yaklaşımı İle Oluşturulan Portföylerin Performanslarının Karşılaştırılması: Borsa İstanbul Örneği

Abstract

Graham’ın Net İşletme Sermayesi (NİS) yaklaşımı kullanılarak oluşturulan portföylerin, BIST 100 endeksinden daha fazla getiri sunup sunmadığını test etmek bu çalışmanın temel amacıdır. Bu doğrultuda, 2000 ile 2020 yılları arasında Borsa İstanbul’da NİS yaklaşımı ile oluşturulan portföylerin performansları, “back-testler” yapılarak ölçülmüş ve portföy performans ölçüm teknikleri kullanılarak karşılaştırılmıştır. Çalışma sonucunda net işletme sermayesinin piyasa değerine oranı 1’den büyük olan paylardan oluşan portföyler, BIST 100 endeksine göre aylık ortalama %2.19 ek getiri sağlarken; Sharp oranına göre ise diğer portföy gruplarından daha iyi bir risk-getiri bileşimi sunmuştur. Diğer bir önemli sonuç da NİS yaklaşımı ile seçilen portföylerin piyasa üzerinde getiri sağlama nedeninin, firma küçüklüğünden bağımsız olabileceğidir.

Keywords

Net İşletme Sermayesi, Graham, Portföy Performans Ölçüm Teknikleri, BIST100 endeksi, Anomali

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