YATIRIM FONLARI PERFORMANSI KLASİK PERFORMANS ÖLÇÜMLERİ VE VZA ANALİZİ

Yıl 2009, Cilt: 1 Sayı: 83, 85 - 114, 01.04.2009

Mehmet Hasan Eken Ebru Pehlivan

Öz

Anahtar Kelimeler

-

YATIRIM FONLARI PERFORMANSI KLASİK PERFORMANS ÖLÇÜMLERİ ve VZA ANALİZİ

Öz

Bu çalışmada amaçlanan daha önce sıklıkla uygulanan portföy teorisi performans ölçüm endeksleri ile Veri Zarflama Analizi hesaplamalarını yatırım fonları performansına uygulamak ve sonuçlarını karşılaştırmaktır. Çalışmada sırasıyla hem portföy teorisi performans ölçüm yöntemleri hem de matematiksel bir yöntem bir arada kullanılmıştır. Buna göre 2000 ve 2006 yılları arasında Türk Sermaye Piyasalarında faaliyet gösteren A ve B tipi yatırım fonlarının yıllık performansları değerlemeye alınmıştır. Çalışmanın birinci ve ikinci bölümlerinde sırasıyla performans değerleme ve Veri Zarflama Analizine değinilmiştir. Üçüncü bölümde yöntemler arası karşılaştırma yapılmış, takip eden bölümlerde kullanılan model ve veriler ele alınmış, son bölümde ampirik bulgular işlenmiştir

Anahtar Kelimeler

VZA, Modern Portföy Teorisi, Performans Ölçümü, Etkinlik

Kaynakça

• Alirezaa, M.R. ve Hassani Mir, S.A., (2004),; An Empric Application to the Span- ish wine Prosucers, 4th International Symposium of DEA, Aston Businees School, UK.
• Basso, A. ve Funari, S., (2001), “A Data Envelopment Analysis Approach To
• Measure The Mutual Fund Performance”, European Journal of Opera- tional Research, Cilt.135, Vol. 3, 477–492 Cadsby, C. B., (1986), “Performance Hypothesis Testing with the Sharpe and Treynor Measures: A Comment”, The Journal of Finance, Cilt. 41, No. 5. , –1176.
• Campbell, J. Y., Cochrane, J. H., (2000),“Explaning the Poor Performance of
• Consumption Based Asset Pricing Models”, The Journal of Finance, Cilt.55, No.6 Canada, J. R., Sullivan, W. G. Ve White, J. A., ( 1996), Capital Investment Analy- sis For Engineering And Management, Upper Saddle River, N.J. : Prentice Hall.
• Carhart, M. M., (1997), “On Persistence in Mutual Fund Performance”, The Journal of Finance, Cilt. 52, No. 1. , 57–82.
• Chang, K., (2004), “Evaluating Mutual Fund Performance: An Application Of
• Minimum Convex İnput Requirement Set Approach”, European Journal of Operational Research,Cilt.31, No.6 , 929-940. Chen, Z. ve Lin, R., (2006), “Mutual Fund Performance Evaluation Using Data
• Envelopment Analysis With New Risk Measures”, Cilt. 28,375–398. Cooper, W.W, Seiford, L.M. ve Tone, K., (2006), Introduction to Data Envelop- ment Analyis and Its Uses, Springer Science Business Media, Inc.
• Cumby, R. E., Glen, J. D. (1990),“Evaluating the Performance of International
• Mutual Funds”, The Journal of Finance, Cilt. 45, No. 2. 497–521. Danie, K., Grinblatt, M., Titman, S., Wermers, R., (1997), “Measuring Mutual
• Fund Performance with Characteristic-Based Benchmarks” The Journal of Finance, Cilt. 52, No. 3, 1035–1058.
• Ditmar, R. F., (2002), “Nonlinear Pricing Kernels, Kurtosis Preference and Evi- dence from the Cross Section of Equity Returns”, The Journal of Finance, Cilt.57, No.1.
• Eling, M., (2006), “Performance Measurement Of Hedge Funds Using Data Envel- opment Analysis”, Swiss Society for Financal Market Research, 442-471.
• Elton, E.J. ve Gruber, M. J., (1995), Modern Portfolio Theory And Investment
• Analysis, New York : John Wiley and Sons. Fama, E. F., French, K. R. (2006), “The Value Premium and the CAPM”,The
• Jounral of Finance, Cilt.61, No.5. Fama, F. E., ve French, K. R., (1996), “The CAPM is Wanted, Dead or Alive”,
• The Journal of Finance, Cilt. 51, No. 5., 1947-1958.
• Gitman, L. J., (1998), Principles Of Managerial Finance, Reading, Mass. : Addi- son Wesley.
• Grant, D., (1977), “Portfolio Performance and the "Cost" of Timing Decisions”,
• The Journal of Finance, Cilt. 32, No: 3. , 837–846. Haugen, R. A., (1997), Modern Investment Theory, Upper Saddle River, NJ: Pren- tice Hall. http://www.hazine.gov.tr http://www.imkb.gov.tr
• Jensen, M.C. , (1968) , “The Performance of Mutual Funds in the Period 1945 –
• ”,The Journal of Finance, Cilt. 23, No. 2, 389–416. Jobson, J. D. ve Korkie, B. M. , (1981), “Performance Hypothesis Testing with the Sharpe and Treynor Measures”, The Journal of Finance, Cilt. 36, No. 4. , –908.
• Joro, T. ve Na, P., (2005), “Portfolio Performance Evaluation In A Mean–
• Variance–Skewness Framework”. Karacaer, Ş., (1998), “Antalya Yöresindeki 4 ve 5 Yıldızlı Otellerde Toplam Etkin- lik Ölçümü: Bir Veri Zarflama Analizi Uygulaması”,Hacettepe Üniversitesi,
• Sosyal Bilimler Enstitüsü. Kazemi, M., Moini, A., Asgharpour, M.J., (2004), 4th International Symposium of
• DEA, Aston Businees School, UK Korkie, B., Jobson, J.D., (1984), “On the Jensen Measure and Marginal Im- provements in Portfolio Performance: A Note “,The Journal of Finance, Cilt. 39, No. 1. 245–251.
• Kothari, S.P., Warner, J. B. (2001) “Evaluating Mutual Fund Performance”, The Journal of Finance, Cilt.56, No. 5.
• Kontodimopoulos, N, Dimitris, N, Efficieny Measurenet of Hemoodialysis Units in Greece with Data Envelopment Analysis, Helenic Open University, Patras Lynch, A.W., Musto, D. K., (2003), “How Investors Interpret Past Fund Returns”,
• The Journal of Finance, Cilt,52, No.5. Markowitz, H. M., (1991), “Foundations of Portfolio Theory”, The Journal of
• Finance, Cilt. 46, No. 2. , 469–477. Markowitz, H. M., (1966), “Portfolio Selection”, The Journal of Finance, Cilt.XX, No. X., 77-91.
• Kontodimopoulos, N. Ve Niakas, D., (2004), Effıcıency Measurement Of Hemo- dıalysıs Unıts In Greece Wıth Data Envelopment Analysıs, 4th International
• Symposium of DEA, Aston Businees School, UK Raja, I.G., (2004), “Data Envelopment Analysis Versus the Canonical Correla- tionTheory;An Empric Application to the Spanish wine Prosucers, 4th Inter- national Symposium of DEA, Aston Businees School, UK
• Reilly, F. K., Brown, K. C., (1997), Investment Analysis And Portfolio Manage- ment, Fort Worth, Tex. : Dryden Pres.
• Scott, W. L., (1991), Contemporary Financial Markets And Services, St. Paul; New
• York: West Publishing Company. Sharpe, W. F., (1968) , “Mutual Fund Performance and the Theory of Capital
• Asset Pricing: Reply “ , The Journal of Business, Cilt. 41, No. 2., 235-236. Sharpe, W. F., (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk”, The Journal of Finance, Cilt. 19, No. 3., 425–
• Sharpe, W. F., (1966), “Security Prices, Risk, and Maximal Gains from Diversifi- cation: Reply”, The Journal of Finance, Cilt. 21, No. 4. ,743–744.
• Sharpe, W. F., (1966), “Mutual Fund Performance”, The Journal of Business, Cilt. 39, No. 1, Bölüm. 2, 119–138.
• Thanassoulis, E., (2001), Introduction to the Theory and Application of Data En- velopment Analysis, Kluwer Academic Publishers.
• Villa, G., Lozano, S., (2004), “A Constant Sum of Outputs Dea Model for Olym- pic Games Target Setting”, 4th International Symposium of DEA, Aston Businees School, UK
• West, R. R., (1968) “Mutual Fund Performance and the Theory of Capital Asset