Risk Tabanlı Smart Beta Stratejilerin Borsa İstanbul’da Uygulanması

Year 2020, , 353 - 367, 24.08.2020

Selim Baha Yıldız

https://doi.org/10.18657/yonveek.620703

Cited By: 1

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

References

• Arnott, R. D., Hsu, J., ve Moore, P. (2005). Fundamental Indexation. Financial AnalystJournal, 61(2), 83-99.
• Cesarone, F., ve Colucci, S. (2015). Minimum Risk vs. Capital and Risk Diversification strategies for portfolio construction. Capital and Risk Diversification Strategies for Portfolio Construction (January 20, 2015).
• Chaves, D., Hsu, J., Li, F., ve Shakernia, O. (2011). Risk parity portfolio vs. other asset allocation heuristic portfolios. The Journal of Investing, 20(1), 108-118.Choueifaty, Y. (2006). Methods and systems for providing an anti-benchmark portfolio. Patent number: USPTO 60/816, 276. Retrieved from https://www.google.com/patents/US7958038.
• Choueifaty, Y., ve Coignard, Y. (2008). Toward maximum diversification. The Journal of Portfolio Management, 35(1), 40-51.
• Choueifaty, Y., Froidure, T., ve Reynier, J. (2013). Properties of the most diversified portfolio. Journal of investment strategies, 2(2), 49-70.
• Chow, T. M., Hsu, J., Kalesnik, V., ve Little, B. (2011). A survey of alternative equity index strategies. Financial Analysts Journal, 67(5), 37-57.
• Clarke, R. G., De Silva, H., ve Thorley, S. (2006). Minimum-variance portfolios in the US equity market. The Journal of Portfolio Management, 33(1), 10-24.
• Clarke, R., De Silva, H., ve Thorley, S. (2013). Risk parity, maximum diversification, and minimum variance: An analytic perspective. The Journal of Portfolio Management, 39(3), 39-53.
• De Carvalho, R. L., Lu, X., ve Moulin, P. (2012). Demystifying equity risk–based strategies: A simple alpha plus beta description. The Journal of Portfolio Management, 38(3), 56-70.
• DeMiguel, V., Garlappi, L., ve Uppal, R. (2009). How inefficient are simple asset allocation strategies. Review of Financial Studies, 22(5), 1915-1953.
• Demey, P., Maillard, S., ve Roncalli, T. (2010). Risk-based indexation. Available at SSRN 1582998.
• Hatzakis, E.D., (2017). Redefining Indexing Using Smart Beta Strategies. Merrill Lynch Semptember 2017 Report.
• Haugen, R. A., ve Baker, N. L. (1991). The efficient market inefficiency of capitalization–weighted stock portfolios. The Journal of Portfolio Management, 17(3), 35-40.Hsu, J. C. (2006). Cap-weighted portfolios are sub-optimal portfolios1. Journal of Investment Management, vol.4, no.3: 1-10.
• Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47, 13–37.
• Maillard, S., Roncalli, T., ve Teïletche, J. (2010). The properties of equally weighted risk contribution portfolios. The Journal of Portfolio Management, 36(4), 60-70.Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.
• Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica 34, 768–783.
• Millet, F. (2015). Smart Beta Broader than You Think. Lyxor Expert Opinion. www.lyxor.com.
• Plyakha, Y., Uppal, R., ve Vilkov, G. (2012). Why does an equal-weighted portfolio outperform value-and price-weighted portfolios?. Available at SSRN 2724535.
• Qian, E. (2006). On the financial interpretation of risk contribution: Risk budgets do add up. Journal of Investment Management 4, 1–11.
• Roncalli, T. (2014). Introduction to Risk Parity and Budgeting. CRC Press.
• Sharpe, William F., 1964. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 19, 425–442.