Serbest Fonlar Ve Yatırım Fonlarının Risk Ayarlı Performanslarının Karşılaştırmalı Analizi

Öz

Kolektif yatırım kuruluşları, finansal piyasaların sunduğu fırsatlardan yararlanmak için farklı yatırım stratejileri uygulamaktadırlar. Çeşitli kolektif yatırım kuruluşları arasında serbest fonlar (hedge fon) ile yatırım fonları büyük ilgi çekmektedir. Bu çalışmanın amacı, serbest yatırım fonu stratejileri ve yatırım fonu stratejilerini riske göre uyarlanmış performanslarını karşılaştırmaktır. Bu amaçla farkı veri tabanı sağlayıcıları tarafından hesaplanan serbest fon ve yatırım fonu endeksleri kullanılmıştır. 3 farklı veri tabanından (Eurekahedge, Credit Suisse, CISDM) elde edilen endeks verileri ile yatırım fonu ve serbest yatırım fonlarının performansları 2008-2021 dönemi için alternatif risk ölçütleri kullanılarak analiz edilmiştir. Performans ölçütleri olarak Varlık Fiyatlama Modeline (CAPM) dayanan Alfa, Sharpe rasyosu, ve Sortino rasyosu kullanılmıştır. Ayrıca, MSCI Dünya endeksi de referans olarak alınmıştır. Bulgular, serbest yatırım fonu stratejilerinin çoğunlukla MSCI World endeksinden daha iyi performans gösterdiğini ve yatırım fonlarından daha iyi riske göre ayarlanmış performans sağladığını göstermiştir.

Anahtar Kelimeler

• Serbest Yatırım Fonları
• Sharpe Rasyonu
• Sortino Rasyonu

Comparative Analysis of Hedge Funds and Mutual Funds Risk-Adjusted Performances

Öz

Collective investment schemes have been utilizing distinct investment strategies to exploit opportunities offered by the financial markets. Among the alternative collective investment schemes the hedge funds and mutual funds have been attracting great interest. The objective of this study is to compare risk adjusted performance of hedge fund strategies with mutual funds strategies. The hedge fund indexes and mutual funds indexes, which are calculated by different database providers are utilized for this purpose. In this study, the indexes from three database providers (Eurekahedge, Credit Suisse, CISDM) are analyzed for the 2008-2021 period using distinct performance measurement metrics as Alpha based on the Capital Asset Pricing Model (CAPM), the Sharpe ratio and Sortino ratio; moreover, the MSCI World index has been taken as a benchmark. The findings demonstrated that the majority of hedge fund indices performed better than the benchmark MSCI World and provide better risk-adjusted performance than mutual funds.

Anahtar Kelimeler

• Hedge Funds
• Alpha
• Sharpe Ratio
• Sortino Ratio
• Serbest Yatırım Fonları
• Sharpe Rasyonu
• Sortino Rasyonu

Kaynakça

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