Portföy Yönetiminde Sektörel Çeşitlendirmenin Getiri ve Risk Üzerindeki Etkisi: Borsa İstanbul'da Bir Uygulama

Yıl 2024, Sayı: 36, 162 - 183, 31.05.2024

Ahmet Akusta

https://doi.org/10.54600/igdirsosbilder.1385110

Öz

Bu çalışma, Borsa İstanbul içindeki sektörel çeşitlendirmeyi inceleyerek, portföy riski ve getiri dinamikleri üzerindeki etkisini aydınlatmayı amaçlamaktadır. 2020'den 2022'ye kadar olan dönemi kapsayan bu çalışma, bankacılık, enerji ve demir-çelik gibi önemli sektörlerden gelen hisse senetlerini ayrıntılı bir şekilde analiz etmektedir. Sağlam bir metodoloji kullanarak, araştırma, Monte Carlo simülasyonlarını kullanarak birçok hipotetik portföy oluşturur ve ardından bunları Verimli Sınır üzerinde değerlendirerek optimal risk-getiri dengelemelerini belirlemeye çalışır. Sharpe Oranı, Sortino Oranı ve Maksimum Çekilme gibi temel performans ölçütleri, analizi daha da zenginleştirerek portföy davranışlarının ayrıntılı bir görünümünü sunar. Bu çalışmanın önemi, çeşitlendirmenin teorik yapılarını Borsa İstanbul gibi yeni bir pazarın somut gerçekleriyle birleştirmesinde yatmaktadır. Ana bulgularımız, sektörel çeşitlendirmenin potansiyel faydalarını vurgularken, portföy oluşturmanın içerdiği karmaşıklıkları da ortaya koymaktadır. Elde edilen görüşler, yatırımcılar için değerli rehberlik sunar ve çeşitlendirilmiş bir portföyde risk azaltma ve getiri optimize etme arasındaki ince dengeyi vurgular. Ayrıca, bu çalışmanın, yatırım stratejileri geliştiren profesyoneller için önemli bir kaynak olabileceğini belirtmek önemlidir.

Anahtar Kelimeler

Portföy yönetimi, Getiri ve risk, Monte Carlo simülasyonları, Verimli Sınır, Sharpe Oranı, Sortino Oranı, Maksimum Erime

The Effect of Sectoral Diversification on Return and Risk in Portfolio Management: An Application in Borsa Istanbul

Öz

This paper investigates sectoral diversification within Borsa Istanbul, aiming to elucidate its impact on portfolio risk and return dynamics. Spanning the timeframe from 2020 to 2022, the study meticulously analyzes stocks from pivotal sectors, including banking, energy, and iron and steel. Employing a robust methodology, the research harnesses Monte Carlo simulations to generate many hypothetical portfolios, subsequently evaluating them on the Efficient Frontier to identify optimal risk-return trade-offs. Key performance metrics, such as the Sharpe Ratio, Sortino Ratio, and Maximum Drawdown, further enrich the analysis, providing a granular view of portfolio behaviors. The significance of this study lies in its bridging of theoretical constructs of diversification with the tangible realities of an emerging market like Borsa Istanbul. Our main findings underscore the potential benefits of sectoral diversification while highlighting the complexities inherent in portfolio construction. The insights gleaned offer valuable guidance for investors, emphasizing the delicate balance between risk mitigation and return optimization in a diversified portfolio.

Anahtar Kelimeler

Portfolio management, Return and risk, Monte Carlo simulations, Efficient Frontier, Sharpe Ratio, Sortino Ratio, Maximum Drawdown

Kaynakça

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