Performance Evaluation of the Hedge Funds Established in Turkey

Yıl 2019, Cilt: 14 Sayı: 3, 855 - 876, 31.12.2019

Yusuf Emre Direkçi İbrahim Halil Ekşi

https://doi.org/10.17153/oguiibf.516308

Öz

The aim of this study is to evaluate the performance of the hedge
funds in Turkey. Hedge funds, which are quite new to Turkish financial
markets, are examined and the performance of the funds that have been founded
in Turkey starting from 2008 are analyzed. Analyzed hedge funds, which are in
total of 22 funds, are the ones that we have the data for a period of 36
months (2014-2017). The mean returns of the funds and the risks they take are
calculated with the use of Istanbul Stock Exchange (BIST100) as a market
indicator. Moreover, Data Envelopment Analysis (DEA) has been applied in
order to measure the performance of the funds. According to the results, 91%
of the funds have been found to have positive monthly geometric return on
average. When it comes to the results of DEA, which has been done with 2
different models called BCC and CCR models, the first model has found 55% of
the funds efficient whereas the latter has found 41% of them efficient.

Anahtar Kelimeler

Hedge Funds, İstanbul Stock Exchange, Geometric Mean, Data Envelopment Analysis, Efficiency

Türkiye’de Kurulan Serbest Yatırım Fonlarının Performans Değerlendirmesi

Öz

Bu çalışmanın amacı Türkiye’de faaliyet gösteren serbest yatırım
fonlarının performanslarını değerlendirmektir. Çalışmada, Türk finans
piyasası için oldukça yeni bir kavram olan serbest yatırım fonları incelenmiş
ve 2008 yılından itibaren Türkiye’de de faaliyet göstermeye başlamış fonların
performans analizi gerçekleştirilmiştir. Araştırmanın çalışma grubunu 36
aylık (2014-2017) verisine sahip olunan 22 fon oluşturmuştur. Borsa İstanbul
(BİST100) verilerinin de piyasa göstergesi olarak kullanıldığı çalışmada
fonların ortalama getirileri ve aldıkları riskler hesaplanmış ve performans
ölçümü için Veri Zarflama Analizi (VZA) gerçekleştirilmiştir. Sonuçlara göre,
analize konu olan fonların %91’inin pozitif aylık ortalama geometrik getiriye
sahip olduğu tespit edilmiştir. BCC modeli ve CCR modeli olarak iki farklı
şekilde gerçekleştirilen VZA sonucunda da ilk modele göre fonların %55’i,
ikinci modele göre ise %41’i etkin bulunmuştur.

Anahtar Kelimeler

Serbest Yatırım Fonları, Borsa İstanbul, Geometrik Ortalama, Veri Zarflama Analizi, Etkinlik

Kaynakça

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