Performance Evaluation of A-Type Turkish Mutuals Funds in the Era of Quantitative Easing

Authors : Gözde ÜNAL, Ömer Faruk TAN

Pages : 35-46

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Publication Date : 2016-06-11

Article Type : Research Paper

Abstract :This paper aims to evaluate the performance of A-type Turkish funds between January 2009 and November 2014. This study period coincides with the period of quantitative easing during which developing economies in financial markets have been influenced dramatically. Thanks to the increase in the money supply directed towards the capital markets, a relief was experienced in related markets following the crisis period. During this 5-year 10-month period, in which the relevant quantitative easing continued, Borsa Istanbul insert ignore into journalissuearticles values(BIST); yielded 21% compounded on average, per annum. A-type Turkish funds are investigated in order to compare these funds performance within this period. Within this framework, 15 A-type equity funds and 18 A-type variable funds are selected. So as to measure these funds’ performance, Sharpe ratio insert ignore into journalissuearticles values(1966);, Treynor ratio insert ignore into journalissuearticles values(1965); and Jensen alpha insert ignore into journalissuearticles values(1968); methods are used. Moreover, Jensen’s alpha also provides information on selectivity skills of fund managers. Furthermore, Treynor&Mazuy insert ignore into journalissuearticles values(1966); regression analysis method is applied for market timing ability of fund managers.
Keywords : Performance Evaluation, Mutual Funds, Sharpe Ratio, Jensen\`s Alpha