Year 2019, Volume 14 , Issue 3, Pages 855 - 876 2019-12-31

Türkiye’de Kurulan Serbest Yatırım Fonlarının Performans Değerlendirmesi
Performance Evaluation of the Hedge Funds Established in Turkey

Yusuf Emre DİREKÇİ [1] , İbrahim Halil Ekşi [2]


Bu çalışmanın amacı Türkiye’de faaliyet gösteren serbest yatırım fonlarının performanslarını değerlendirmektir. Çalışmada, Türk finans piyasası için oldukça yeni bir kavram olan serbest yatırım fonları incelenmiş ve 2008 yılından itibaren Türkiye’de de faaliyet göstermeye başlamış fonların performans analizi gerçekleştirilmiştir. Araştırmanın çalışma grubunu 36 aylık (2014-2017) verisine sahip olunan 22 fon oluşturmuştur. Borsa İstanbul (BİST100) verilerinin de piyasa göstergesi olarak kullanıldığı çalışmada fonların ortalama getirileri ve aldıkları riskler hesaplanmış ve performans ölçümü için Veri Zarflama Analizi (VZA) gerçekleştirilmiştir. Sonuçlara göre, analize konu olan fonların %91’inin pozitif aylık ortalama geometrik getiriye sahip olduğu tespit edilmiştir. BCC modeli ve CCR modeli olarak iki farklı şekilde gerçekleştirilen VZA sonucunda da ilk modele göre fonların %55’i, ikinci modele göre ise %41’i etkin bulunmuştur.

The aim of this study is to evaluate the performance of the hedge funds in Turkey. Hedge funds, which are quite new to Turkish financial markets, are examined and the performance of the funds that have been founded in Turkey starting from 2008 are analyzed. Analyzed hedge funds, which are in total of 22 funds, are the ones that we have the data for a period of 36 months (2014-2017). The mean returns of the funds and the risks they take are calculated with the use of Istanbul Stock Exchange (BIST100) as a market indicator. Moreover, Data Envelopment Analysis (DEA) has been applied in order to measure the performance of the funds. According to the results, 91% of the funds have been found to have positive monthly geometric return on average. When it comes to the results of DEA, which has been done with 2 different models called BCC and CCR models, the first model has found 55% of the funds efficient whereas the latter has found 41% of them efficient.

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Primary Language tr
Subjects Social
Journal Section Articles
Authors

Orcid: 0000-0002-9541-7508
Author: Yusuf Emre DİREKÇİ
Institution: HASAN KALYONCU ÜNİVERSİTESİ
Country: Turkey


Orcid: 0000-0002-0239-3253
Author: İbrahim Halil Ekşi (Primary Author)
Institution: GAZİANTEP ÜNİVERSİTESİ
Country: Turkey


Dates

Application Date : January 22, 2019
Acceptance Date : January 2, 2020
Publication Date : December 31, 2019

APA DİREKÇİ, Y , Ekşi, İ . (2019). Türkiye’de Kurulan Serbest Yatırım Fonlarının Performans Değerlendirmesi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi , 14 (3) , 855-876 . DOI: 10.17153/oguiibf.516308