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Performance Evaluation of the Hedge Funds Established in Turkey

Year 2019, Volume: 14 Issue: 3, 855 - 876, 31.12.2019
https://doi.org/10.17153/oguiibf.516308

Abstract






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.




References

  • Referans1 Ackermann, Carl; McEnally, Richard; Ravenscraft, David (1999), “The performance of hedge funds: Risk, return and incentives”, Journal of Finance, Vol. 54, No. 3: 833-874.Referans2 Agarwal, Vikas; Naik, Narayan (2000), “Multi-period performance persistence analysis of hedge funds”, Journal of Financial and Quantitative Analysis, Vol. 35, No. 3: 327-342.Referans3 Amin, Gaurav; Kat, Harry (2002), “Portfolios of hedge funds”, https://pdfs.semanticscholar.org/ad4f/fe0eb691e201acd49fcac825f91fd7c54d29.pdf, (Erişim: 2.10.2018).Referans4 Amin, Gaurav; Kat, Harry (2003), “Hedge fund performance 1990-2000: Do the "money machines" really add value?”, Journal of Financial and Quantitative Analysis, Vol. 38, No. 2: 251-274.Referans5 Ang, Andrew; Gorovyy, Sergiy; Van Inwegen, Gregory (2011), “Hedge fund leverage”, Journal of Financial Economics, Vol. 102, No. 1: 102-126.Referans6 Aragon, George (2007), “Share restrictions and asset pricing: Evidence from the hedge fund industry”, Journal of Financial Economics, Vol. 83, No. 1: 33-58.Referans7 Bali, Turan; Atılgan, Yiğit; Demirtaş, Özgür (2013), Investing in hedge funds: A guide to measuring risk and return characteristics, Oxford: Academic Press.Referans8 Bali, Turan; Brown, Stephen; Caglayan, Mustafa (2014), “Macroeconomic risk and hedge fund returns”, Journal of Financial Economics, Vol. 114, No. 1: 1-19.Referans9 Basso, Antonella; Funari, Stefania (2001), “A data envelopment analysis approach to measure the mutual fund performance”, European Journal of Operational Research, Vol. 135, No. 3: 477-492.Referans10 Capocci, Daniel; Hübner, Georges (2004), “Analysis of hedge fund performance”, Journal of Empirical Finance, Vol. 11, No. 1: 55-89.Referans11 Chen, Yong (2011), “Derivative use and risk taking: Evidence from the hedge funds industry”, Journal of Financial and Quantitative Analysis, Vol. 46, No. 4: 1073-1106.Referans12 Corkalo, Sime (2011), “Comparison of value at risk approaches on a stock portfolio”, Croatian Operational Research Review, Vol. 2, No. 1: 81-90.Referans13 Cumming, Douglas; Dai, Na (2010), “Hedge fund regulation and misreported returns”, European Financial Management, Vol. 16, No. 5: 829-857.Referans14 El Kalak, Izidin; Azevedo, Alcino; Hudson, Robert (2016), “Reviewing the hedge funds literature: Hedge funds and hedge funds' managerial characteristics”, International Review of Financial Analysis, Vol. 48, No. C: 85–97.Referans15 Eling, Martin (2006), “Performance measurement of hedge funds using data envelopment analysis”, Financial Markets and Portfolio Management, Vol. 20, No. 4: 442-471.Referans16 Eling, Martin (2009), “Does hedge fund performance persist? Overview and new empirical evidence”, European Financial Management, Vol. 15, No. 2: 362-401.Referans17 Eling, Martin; Schuhmacher, Frank (2007), “Does the choice of performance measure influence the evaluation of hedge funds?”, Journal of Banking and Finance, Vol. 31, No. 9: 2632-2647.Referans18 Fung, William; Hsieh, David (1997), “Empirical characteristics of dynamic trading strategies: The case of hedge funds”, Review of Financial Studies, Vol. 10, No. 2: 275-302.Referans19 Garbaravicius, Tomas; Dierick, Frank (2005), “Hedge funds and their implications for financial stability”, Occasional Paper Series, European Central Bank, No. 34: 1-73. Referans20 Getmansky, Mila (2004), “The life cycle of hedge funds: Fund flows, size and performance”, https://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2005-Milan/papers/89-getmansky_paper.pdf, (Erişim: 10.05.2018).Referans21 Getmansky, Mila; Lo, Andrew; Makarov, Igor (2004), “An econometric model of serial correlation and illiquidity in hedge fund returns”, Journal of Financial Economics, Vol. 74, No. 3: 529-609.Referans22 Goetzmann, William; Ingersoll, Jonathan; Spiegel, Matthew; Welch, Ivo (2002), “Sharpening sharpe ratios”, https://www.nber.org/papers/w9116.pdf, (Erişim: 22.06.2018).Referans23 Gregoriou, Greg (2003), “Performance appraisal of funds of hedge funds using data envelopment analysis”, Journal of Wealth Management, Vol. 5, No. 4: 88-95.Referans24 Gregoriou, Greg; Gueyie, Jean-Pierre (2003), “Risk adjusted performance of funds of hedge funds using a modified Sharpe ratio”, Journal of Wealth Management, Vol. 6, No. 3: 77-83.Referans25 Gregoriou, Greg; Rouah, Fabrice (2003), “Large versus small hedge funds: Does size affect performance?”, Journal of Alternative Investments, Vol. 5, No. 3: 75-84.Referans26 Gregoriou, Greg; Sedzro, Komlan; Zhu, Joe (2005), “Hedge fund performance appraisal using data envelopment analysis”, European Journal of Operational Research, Vol. 164, No. 2: 555-571.Referans27 Herzberg, Martin; Mozes, Haim (2003), “The persistence of hedge fund risk: Evidence and implications for investors”, Journal of Alternative Investments, Vol. 6, No. 2: 22-42.Referans28 Holler, Julian (2012), Hedge funds and financial markets: An asset management and corporate governance perspective, Wiesbaden: Springer Gabler.Referans29 http://www.spk.gov.tr/Sayfa/AltSayfa/819 (Erişim: 03.02.2018).Referans30 https://www.barclayhedge.com/solutions/assets-under-management/hedge-fund-assets-under-management/hedge-fund-industry/ (Erişim: 20.12.2018).Referans31 https://www.kap.org.tr/tr/YatirimFonlari/YF (Erişim: 09.09.2018)Referans32 Jaeger, Lars (2008), Alternative beta strategies and hedge fund replication, Chichester: John Wiley and Sons Ltd.Referans33 Keler, Şahin (2008), “Portföy yönetiminde yeni açılımlar ve dinamik portföy yönetimi olarak hedge fon yönetimi”, https://tez.yok.gov.tr/UlusalTezMerkezi/tezSorguSonucYeni.jsp, (Erişim: 15.01.2018).Referans34 Koh, Francis; Koh, Winston; Teo, Melvyn (2003), “Asian hedge funds: Return persistence, style and fund characteristics”, https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=6165&context=lkcsb_research, (Erişim: 22.04.2018).Referans35 Kumar, Dinesh; Roy, Ashit; Saranga, Haritha; Singal, K. (2010), “Analysis of hedge fund strategies using slack-based DEA models”, Journal of Operational Research Society, Vol. 61, No. 12: 1746-1760.Referans36 Lhabitant, François-Serge (2004), Hedge funds: Quantitative Insights, Chichester: John Wiley and Sons Ltd.Referans37 Lhabitant, François-Serge; Learned, Michelle (2002), “Hedge funds diversification: How much is enough?”, The Journal of Alternative Investments, Vol. 5, No. 3: 23-49.Referans38 Liang, Bing (1999), “On the performance of hedge funds”, Financial Analysts Journal, Vol. 55, No. 4: 72-85.Referans39 Liang, Bing; Park, Hyuna (2007), “Risk measures for hedge funds: A cross-sectional approach”, European Financial Management, Vol. 13, No. 2: 333-370.Referans40 Lo, Andrew (2002), “The statistics of Sharpe ratios”, Financial Analysts Journal, Vol. 58, No. 4: 36-52.Referans41 Marston, Richard (2011), Portfolio design: A modern approach to asset allocation, New Jersey: John Wiley & Sons Ltd.Referans42 McGuire, Patrick; Tsatsaronis, Kostas (2008), “Estimating hedge fund leverage”, https://www.bis.org/publ/work260.pdf, (Erişim: 17.04.2018).Referans43 Nguyen, Huyen; Thanh, Thi (2006), “On the use of data envelopment analysis in hedge fund selection”, http://fmwww.bc.edu/repec/mmf2006/up.18346.1145733238.pdf, (Erişim: 01.04.2018).Referans44 Nguyen, Huyen; Thanh, Thi (2007), “On the Consistency of Performance Measures for Hedge Funds”, http://perso.univ-lemans.fr/~hnguyen/papiers/Consistency.pdf, (Erişim: 05.06.2018).Referans45 Önder, Melih (2012), “Serbest Fonlar: Hedge Fonların Türkiye Uyarlaması”, www.logosportfoy.com/TKYD_sayi_17_Melih_Onder.pdf, (Erişim: 08.09.2018).Referans46 Preqin (2017), Preqin Global Hedge Fund Report, London: Preqin.Referans47 Preqin (2018), Preqin Global Hedge Fund Report, London: Preqin.Referans48 Yadav, Inder; Mishra, Rajeev (2017), “The global hedge fund industry: Structure, strategies and growth”, Global Business Review SAGE Publications, Vol. 18, No. 4: 955-973.

Türkiye’de Kurulan Serbest Yatırım Fonlarının Performans Değerlendirmesi

Year 2019, Volume: 14 Issue: 3, 855 - 876, 31.12.2019
https://doi.org/10.17153/oguiibf.516308

Abstract






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.




References

  • Referans1 Ackermann, Carl; McEnally, Richard; Ravenscraft, David (1999), “The performance of hedge funds: Risk, return and incentives”, Journal of Finance, Vol. 54, No. 3: 833-874.Referans2 Agarwal, Vikas; Naik, Narayan (2000), “Multi-period performance persistence analysis of hedge funds”, Journal of Financial and Quantitative Analysis, Vol. 35, No. 3: 327-342.Referans3 Amin, Gaurav; Kat, Harry (2002), “Portfolios of hedge funds”, https://pdfs.semanticscholar.org/ad4f/fe0eb691e201acd49fcac825f91fd7c54d29.pdf, (Erişim: 2.10.2018).Referans4 Amin, Gaurav; Kat, Harry (2003), “Hedge fund performance 1990-2000: Do the "money machines" really add value?”, Journal of Financial and Quantitative Analysis, Vol. 38, No. 2: 251-274.Referans5 Ang, Andrew; Gorovyy, Sergiy; Van Inwegen, Gregory (2011), “Hedge fund leverage”, Journal of Financial Economics, Vol. 102, No. 1: 102-126.Referans6 Aragon, George (2007), “Share restrictions and asset pricing: Evidence from the hedge fund industry”, Journal of Financial Economics, Vol. 83, No. 1: 33-58.Referans7 Bali, Turan; Atılgan, Yiğit; Demirtaş, Özgür (2013), Investing in hedge funds: A guide to measuring risk and return characteristics, Oxford: Academic Press.Referans8 Bali, Turan; Brown, Stephen; Caglayan, Mustafa (2014), “Macroeconomic risk and hedge fund returns”, Journal of Financial Economics, Vol. 114, No. 1: 1-19.Referans9 Basso, Antonella; Funari, Stefania (2001), “A data envelopment analysis approach to measure the mutual fund performance”, European Journal of Operational Research, Vol. 135, No. 3: 477-492.Referans10 Capocci, Daniel; Hübner, Georges (2004), “Analysis of hedge fund performance”, Journal of Empirical Finance, Vol. 11, No. 1: 55-89.Referans11 Chen, Yong (2011), “Derivative use and risk taking: Evidence from the hedge funds industry”, Journal of Financial and Quantitative Analysis, Vol. 46, No. 4: 1073-1106.Referans12 Corkalo, Sime (2011), “Comparison of value at risk approaches on a stock portfolio”, Croatian Operational Research Review, Vol. 2, No. 1: 81-90.Referans13 Cumming, Douglas; Dai, Na (2010), “Hedge fund regulation and misreported returns”, European Financial Management, Vol. 16, No. 5: 829-857.Referans14 El Kalak, Izidin; Azevedo, Alcino; Hudson, Robert (2016), “Reviewing the hedge funds literature: Hedge funds and hedge funds' managerial characteristics”, International Review of Financial Analysis, Vol. 48, No. C: 85–97.Referans15 Eling, Martin (2006), “Performance measurement of hedge funds using data envelopment analysis”, Financial Markets and Portfolio Management, Vol. 20, No. 4: 442-471.Referans16 Eling, Martin (2009), “Does hedge fund performance persist? Overview and new empirical evidence”, European Financial Management, Vol. 15, No. 2: 362-401.Referans17 Eling, Martin; Schuhmacher, Frank (2007), “Does the choice of performance measure influence the evaluation of hedge funds?”, Journal of Banking and Finance, Vol. 31, No. 9: 2632-2647.Referans18 Fung, William; Hsieh, David (1997), “Empirical characteristics of dynamic trading strategies: The case of hedge funds”, Review of Financial Studies, Vol. 10, No. 2: 275-302.Referans19 Garbaravicius, Tomas; Dierick, Frank (2005), “Hedge funds and their implications for financial stability”, Occasional Paper Series, European Central Bank, No. 34: 1-73. Referans20 Getmansky, Mila (2004), “The life cycle of hedge funds: Fund flows, size and performance”, https://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2005-Milan/papers/89-getmansky_paper.pdf, (Erişim: 10.05.2018).Referans21 Getmansky, Mila; Lo, Andrew; Makarov, Igor (2004), “An econometric model of serial correlation and illiquidity in hedge fund returns”, Journal of Financial Economics, Vol. 74, No. 3: 529-609.Referans22 Goetzmann, William; Ingersoll, Jonathan; Spiegel, Matthew; Welch, Ivo (2002), “Sharpening sharpe ratios”, https://www.nber.org/papers/w9116.pdf, (Erişim: 22.06.2018).Referans23 Gregoriou, Greg (2003), “Performance appraisal of funds of hedge funds using data envelopment analysis”, Journal of Wealth Management, Vol. 5, No. 4: 88-95.Referans24 Gregoriou, Greg; Gueyie, Jean-Pierre (2003), “Risk adjusted performance of funds of hedge funds using a modified Sharpe ratio”, Journal of Wealth Management, Vol. 6, No. 3: 77-83.Referans25 Gregoriou, Greg; Rouah, Fabrice (2003), “Large versus small hedge funds: Does size affect performance?”, Journal of Alternative Investments, Vol. 5, No. 3: 75-84.Referans26 Gregoriou, Greg; Sedzro, Komlan; Zhu, Joe (2005), “Hedge fund performance appraisal using data envelopment analysis”, European Journal of Operational Research, Vol. 164, No. 2: 555-571.Referans27 Herzberg, Martin; Mozes, Haim (2003), “The persistence of hedge fund risk: Evidence and implications for investors”, Journal of Alternative Investments, Vol. 6, No. 2: 22-42.Referans28 Holler, Julian (2012), Hedge funds and financial markets: An asset management and corporate governance perspective, Wiesbaden: Springer Gabler.Referans29 http://www.spk.gov.tr/Sayfa/AltSayfa/819 (Erişim: 03.02.2018).Referans30 https://www.barclayhedge.com/solutions/assets-under-management/hedge-fund-assets-under-management/hedge-fund-industry/ (Erişim: 20.12.2018).Referans31 https://www.kap.org.tr/tr/YatirimFonlari/YF (Erişim: 09.09.2018)Referans32 Jaeger, Lars (2008), Alternative beta strategies and hedge fund replication, Chichester: John Wiley and Sons Ltd.Referans33 Keler, Şahin (2008), “Portföy yönetiminde yeni açılımlar ve dinamik portföy yönetimi olarak hedge fon yönetimi”, https://tez.yok.gov.tr/UlusalTezMerkezi/tezSorguSonucYeni.jsp, (Erişim: 15.01.2018).Referans34 Koh, Francis; Koh, Winston; Teo, Melvyn (2003), “Asian hedge funds: Return persistence, style and fund characteristics”, https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=6165&context=lkcsb_research, (Erişim: 22.04.2018).Referans35 Kumar, Dinesh; Roy, Ashit; Saranga, Haritha; Singal, K. (2010), “Analysis of hedge fund strategies using slack-based DEA models”, Journal of Operational Research Society, Vol. 61, No. 12: 1746-1760.Referans36 Lhabitant, François-Serge (2004), Hedge funds: Quantitative Insights, Chichester: John Wiley and Sons Ltd.Referans37 Lhabitant, François-Serge; Learned, Michelle (2002), “Hedge funds diversification: How much is enough?”, The Journal of Alternative Investments, Vol. 5, No. 3: 23-49.Referans38 Liang, Bing (1999), “On the performance of hedge funds”, Financial Analysts Journal, Vol. 55, No. 4: 72-85.Referans39 Liang, Bing; Park, Hyuna (2007), “Risk measures for hedge funds: A cross-sectional approach”, European Financial Management, Vol. 13, No. 2: 333-370.Referans40 Lo, Andrew (2002), “The statistics of Sharpe ratios”, Financial Analysts Journal, Vol. 58, No. 4: 36-52.Referans41 Marston, Richard (2011), Portfolio design: A modern approach to asset allocation, New Jersey: John Wiley & Sons Ltd.Referans42 McGuire, Patrick; Tsatsaronis, Kostas (2008), “Estimating hedge fund leverage”, https://www.bis.org/publ/work260.pdf, (Erişim: 17.04.2018).Referans43 Nguyen, Huyen; Thanh, Thi (2006), “On the use of data envelopment analysis in hedge fund selection”, http://fmwww.bc.edu/repec/mmf2006/up.18346.1145733238.pdf, (Erişim: 01.04.2018).Referans44 Nguyen, Huyen; Thanh, Thi (2007), “On the Consistency of Performance Measures for Hedge Funds”, http://perso.univ-lemans.fr/~hnguyen/papiers/Consistency.pdf, (Erişim: 05.06.2018).Referans45 Önder, Melih (2012), “Serbest Fonlar: Hedge Fonların Türkiye Uyarlaması”, www.logosportfoy.com/TKYD_sayi_17_Melih_Onder.pdf, (Erişim: 08.09.2018).Referans46 Preqin (2017), Preqin Global Hedge Fund Report, London: Preqin.Referans47 Preqin (2018), Preqin Global Hedge Fund Report, London: Preqin.Referans48 Yadav, Inder; Mishra, Rajeev (2017), “The global hedge fund industry: Structure, strategies and growth”, Global Business Review SAGE Publications, Vol. 18, No. 4: 955-973.
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Details

Primary Language Turkish
Journal Section Articles
Authors

Yusuf Emre Direkçi 0000-0002-9541-7508

İbrahim Halil Ekşi 0000-0002-0239-3253

Publication Date December 31, 2019
Submission Date January 22, 2019
Published in Issue Year 2019 Volume: 14 Issue: 3

Cite

APA Direkçi, Y. E., & Ekşi, İ. H. (2019). Türkiye’de Kurulan Serbest Yatırım Fonlarının Performans Değerlendirmesi. Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 14(3), 855-876. https://doi.org/10.17153/oguiibf.516308