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Performance Evaluation of A-Type Turkish Mutuals Funds in the Era of Quantitative Easing

Year 2015, Volume: 1 Issue: 2, 35 - 46, 11.06.2016

Abstract

This paper aims to evaluate the performance of A-type Turkish funds between January 2009 and November 2014. This study period coincides with the period of quantitative easing during which developing economies in financial markets have been influenced dramatically. Thanks to the increase in the money supply directed towards the capital markets, a relief was experienced in related markets following the crisis period. During this 5-year 10-month period, in which the relevant quantitative easing continued, Borsa Istanbul (BIST) yielded 21% compounded on average, per annum. A-type Turkish funds are investigated in order to compare these funds performance within this period. Within this framework, 15 A-type equity funds and 18 A-type variable funds are selected. So as to measure these funds’ performance, Sharpe ratio (1966), Treynor ratio (1965) and Jensen alpha (1968) methods are used. Moreover, Jensen’s alpha also provides information on selectivity skills of fund managers. Furthermore, Treynor&Mazuy (1966) regression analysis method is applied for market timing ability of fund managers.

References

  • Blake, C. R., E. J. Elton, and M. J. Gruber (1993): “The Performance of Bond Mutual Funds,” The Journal of Business, 66(3), 370–403.
  • Chen, D., C. Gan, and B. Hu (2013): “An empirical study of mutual funds performance in China,” Working Paper 2220323, Social Science Research Network.
  • Deepak, A. (2011): “Measuring performance of Indian mutual funds,” Working Paper 131176, Social Science Research Network.
  • Detzler, M. L. (1999): “The performance of global bond mutual funds,” Journal of Banking & Finance, 23(8), 1195–1217.
Year 2015, Volume: 1 Issue: 2, 35 - 46, 11.06.2016

Abstract

References

  • Blake, C. R., E. J. Elton, and M. J. Gruber (1993): “The Performance of Bond Mutual Funds,” The Journal of Business, 66(3), 370–403.
  • Chen, D., C. Gan, and B. Hu (2013): “An empirical study of mutual funds performance in China,” Working Paper 2220323, Social Science Research Network.
  • Deepak, A. (2011): “Measuring performance of Indian mutual funds,” Working Paper 131176, Social Science Research Network.
  • Detzler, M. L. (1999): “The performance of global bond mutual funds,” Journal of Banking & Finance, 23(8), 1195–1217.
There are 4 citations in total.

Details

Journal Section Makaleler
Authors

Gözde Ünal This is me

Ömer Faruk Tan This is me

Publication Date June 11, 2016
Published in Issue Year 2015 Volume: 1 Issue: 2

Cite

APA Ünal, G., & Tan, Ö. F. (2016). Performance Evaluation of A-Type Turkish Mutuals Funds in the Era of Quantitative Easing. Yildiz Social Science Review, 1(2), 35-46.