ESG AND SMART BETA: A RESEARCH IN TURKISH CAPITAL MARKET

Year 2024, Issue: 43, 109 - 124, 05.05.2024

Seda Turnacıgil

https://doi.org/10.18092/ulikidince.1416860

Abstract

There is growing evidence that integrating environmental, social and governance (ESG) activities, which include businesses' non-financial information, into investment decisions can increase risk-adjusted returns and contribute to long-term sustainability. This study examined whether portfolios that are compatible not only with financial performance but also with sustainability goals and ethical issues can be created. In addition, this study evaluates ESG and smart beta strategies together in supporting sustainable investment. For this, portfolios were created based on high (low) ESG score, high (low) market value and high (low) return on assets (ROA) in each quarter between January 2021 and September 2023. Then, the excess returns and risk-adjusted (CAPM) returns of these portfolios were examined. Accordingly, it cannot be said that portfolios created based on high ESG scores in Turkiye provide better returns according to risk than low ESG portfolios and smart beta strategies. It can be said that the best investment strategy between the specified periods is investment in high market capitalization or high ROA portfolios.

Keywords

ESG, Passive Investment, smart beta, Portfolio performance, Corporate Social Responsibility

ESG VE AKILLI BETA: TÜRK SERMAYE PİYASASINDA BİR ARAŞTIRMA

Abstract

İşletmelerin finansal olmayan bilgilerini içeren çevresel sosyal ve yönetişim (ESG) faaliyetlerini yatırım kararlarına eklemenin uzun vadeli sürdürülebilirliği desteklediği ve portföyün riske göre düzenlenmiş getirilerini arttırdığına dair araştırmalar mevcuttur. Bu çalışmada Türkiye’de işletmelerin sürdürülebilirlik faaliyetlerinin yatırım kararlarında bir faktör olarak ele alınıp alınamayacağı incelenmiştir. Bu amaçla, yatırım stratejilerinde sıklıkla başvurulan ve büyüklük, değer, momentum gibi kriterlere göre portföy oluşturmayı hedefleyen akıllı beta stratejilerine, işletmelerin sürdürülebilirlik faaliyetlerini ölçen ESG puanı kriterini eklemenin faydası ölçülmüştür. Çalışmada Ocak 2021-Eylül 2023 tarihleri arasındaki her çeyrek dönemde yüksek (düşük) ESG puanı, yüksek (düşük) piyasa değeri ve yüksek (düşük) aktif karlılığı baz alınarak portföyler oluşturulmuş, bu portföylerin normal-üstü getiri ve riske göre ayarlanmış (CAPM) getirileri ölçülerek portföyler arasında kıyaslama yapılmıştır. Buna göre Türkiye’de yüksek ESG puanları baz alınarak oluşturulan portföylerin düşük ESG portföylerinden ve akıllı beta stratejilerinden daha iyi riske göre getiri sağladığı söylenememektedir. Belirtilen dönemler arasında en faydalı yatırım stratejisinin yüksek piyasa değerine göre veya yüksek aktif karlılığına göre oluşturulan portföylere yatırım olduğu görülmektedir.

Keywords

ESG, PASİF YATIRIM, AKILLI BETA, PORTFÖY PERFORMANSI, KURUMSAL SOSYAL SORUMLULUK

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