Risk Tabanlı Smart Beta Stratejilerin Borsa İstanbul’da Uygulanması

Abstract

Bu çalışmada 2013-2018 yılları arasında piyasa değeri ağırlıklı hesaplanan BİST 30 Endeksinin getiri-risk performansı ile endeks içindeki hisse senedi ağırlıklarının risk tabanlı (Minimum Varyans - Eşit Risk Katkılı - Maksimum Çeşitlendirilmiş) ve eşit ağırlıklı stratejilere göre belirlendiği portföylerin performanslarının karşılaştırılması yapılmıştır. Oluşturulan stratejilerin hepsinin yıllıklandırılmış getirisi kıyaslama ölçütü kabul edilen BİST 30 Endeksinin getirisine göre üç kattan daha fazla bulunmuştur. Benzer şekilde tüm stratejilerin yıllıklandırılmış riski kıyaslama ölçütüne göre daha düşük düzeydedir. İnceleme dönemi boyunca portföyünde bankacılık hisse senedi ağırlığı az olan Maksimum Çeşitlendirilmiş Strateji getiri açısından, Minimum Varyans Stratejisi ise risk açısından diğer incelenen portföylere göre daha iyi performans sergilemişlerdir.
Anahtar Kelimeler: Smart Beta, Minumum Varyans Strateji, Eşit Risk Katkılı Strateji, Maksimum Çeşitlendirilmiş Strateji
JEL Sınıflandırması: G11

Keywords

• Smart Beta
• Minumum Varyans Strateji
• Eşit Risk Katkılı Strateji
• Maksimum Çeşitlendirilmiş Strateji

Application of Risk-Based Smart Beta Strategies in Borsa İstanbul

Abstract

This study compares the return-risk performance of the BIST 30 Index, for which weighted market value was computed for the 2013-2018 period, and the performance of portfolios, for which the weights of the stocks in the index were determined according to risk-based (Minimum Variance – Equal Risk Contribution - Maximum Diversification) and equally weighted strategies. The annualized returns of all the devised strategies were found to be more than three times the return of the BIST 30 Index as the benchmark. Similarly, the annualized risk for all strategies is lower than the benchmark. Throughout the study period, Maximum Diversification Strategy with a low weight of banking stocks in its portfolio outperformed the other portfolios under study in terms of returns, while Minimum Variance Strategy outperformed them in terms of risk.
Key Words: Smart Beta, Minumum Variance Strategy, Equal Risk Contribution Strategy, Maximum Diversification Strategy
JEL Classification: G11

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