HİSSE SENEDİ YATIRIM FONLARININ ŞARTLI PERFORMANS DEĞERLENDİRMESİ

Authors : M Mete DOĞANAY

Pages : 165-179

View : 17 | Download : 11

Publication Date : 2004-06-01

Article Type : Research Paper

Abstract :Traditional performance evaluation methods for mutual funds are unconditional. These methods assume that alpha, beta and the timing coefficients of a mutual do not vary vvith time. On the other hand, conditional methods make the assumption that ali these three coefficients vary with time. These methods use predetermined information variables and eliminate some biases which are present in traditional methods. İn this article 14 equity funds1 performances are evaluated by using both unconditional and conditional methods. Tests showed that there is no statistical difference betvveen unconditional alpha and the expected value of the conditional alpha. But, it was also shown that conditional alpha is a berter indicator of a fund\`s future performance. As for timing coefficient, statistical evidence vvas found that when the negative covariance between mutual fand betas and the conditiona! expected return of the market port-folio is controlled in conditional timing modei, the timing coefficients of the funds are improved.
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