Yüksek Enflasyonda Farklı Varlık Sınıflarının Performansı ve Etkin Portföy Yönetimi

Öz

Son yıllarda Türkiye'de yaşanan yüksek enflasyon, yatırımcıların reel değerini koruyabilen yatırım araçlarına olan ihtiyacını artırmıştır. Bu nedenle, enflasyona göre ayarlanmış portföylerin oluşturulması önem kazanmıştır. Bu çalışma, Mayıs 2013 ile Ağustos 2024 dönemini kapsayan bir veri seti kullanarak—enflasyon, BIST100, USD/TRY döviz kuru, altın fiyatları ve Türkiye Konut Fiyat Endeksi—bu ihtiyacı yanıtlamayı amaçlamıştır. Özellikle USDTRY, enflasyona karşı koruma aracı olarak literatürde sınırlı sayıda incelenmiş olup, bu çalışmaya dahil edilerek önemli bir katkı sağlanmıştır. Varlık getirilerinin enflasyon ile ilişkisi Fisher denklemiyle incelenmiştir. Regresyon sonuçları, dövizin ve altının enflasyona karşı koruma potansiyeline sahip olduğunu, ancak konut getirilerinin en güçlü korumayı sağladığını ortaya koymuştur. BIST100'ün enflasyona karşı anlamlı bir koruma sağlamadığı gözlenmiştir. Daha sonra, klasik ortalama-varyans modeli yerine enflasyona göre ayarlanmış ortalama-varyans optimizasyonu kullanılarak portföy oluşturulmuştur; böylece reel getiriye göre optimizasyon hedeflenmiştir. Enflasyonun portföy getiri ve risk hesaplamalarına doğrudan dahil edilmesini sağlamak önemli bir katkı sunmaktadır. Böylece, yatırımcıların enflasyon etkisini minimize eden ve reel getiriyi maksimize eden daha etkili bir portföy stratejisi geliştirilmiştir. Portföyün kümülatif getirisi enflasyonu önemli ölçüde aşmış ve yatırımcılara reel getiri sunmuştur. Özellikle 2023 yılından itibaren portföy getirilerinin enflasyonu aşması, yatırımcılar için enflasyonist baskılar karşısında etkin bir koruma sağlamıştır. Bu çalışma, enflasyon riskini azaltmaya yönelik etkili stratejiler geliştirilmesine katkıda bulunmaktadır.

Anahtar Kelimeler

• Enflasyon Koruma
• Portföy Optimizasyonu
• BIST100
• Altın
• Gayrimenkul

PERFORMANCE OF DIFFERENT ASSET CLASSES AND EFFECTIVE PORTFOLIO MANAGEMENT DURING HIGH INFLATION

Abstract

In recent years, the high inflation in Turkey has increased the need for investment instruments that can preserve real value. As a result, creating inflation-adjusted portfolios has become increasingly important. This study aims to address this need by using data from May 2013 to August 2024, including inflation, the BIST100 index, USD/TRY exchange rates, gold prices, and the Turkey Property Price Index. Notably, USD/TRY has been rarely examined in the literature as an inflation hedge, making its inclusion in this study a significant contribution. The relationship between asset returns and inflation was analyzed using the Fisher equation. The regression results show that foreign exchange and gold have the potential to hedge against inflation, while real estate offers the strongest protection. In contrast, the BIST100 index did not provide significant protection against inflation. The portfolio was constructed using inflation-adjusted mean-variance optimization instead of the classical model, targeting real returns. Incorporating inflation directly into portfolio return and risk calculations adds a crucial benefit. This approach led to the development of a more effective portfolio strategy that minimizes inflation’s impact and maximizes real returns. The cumulative return of the portfolio significantly exceeded inflation, particularly from 2023 onwards, providing investors with strong protection against inflationary pressures.

Keywords

• Inflation Hedging
• Portolio Optimization
• BIST100
• Gold
• Real Estate

Kaynakça

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