ISLAMIC ALGORITHMIC EQUITY PORTFOLIO

Authors : Ahmet GÖKBEL, Halil ARSLAN

Pages : 7-24

View : 32 | Download : 15

Publication Date : 2019-12-27

Article Type : Research Paper

Abstract :In the middle of century, while Markowitz and Fama developed modern portfolio strategies based solely on mathematical concept, it was criticized that modern theory was focused on ideal case rather than real case. Despite the low return, there are investors who invest in higher risk instruments due to their dependence on risk. Though behavioral finance emerged as a reaction to modern portfolio theory in this period, it is a matter of criticism that it defines investors as fully prone to irrationality. The development of technology, the increase in investment options, the fact that time is a vital resource and artificial intelligence technologies emphasize digital banking and algorithmic portfolio strategies. The Islamic algorithmic model portfolio, of which we have defined criteria, was published and indexed as KATMP code by Borsa İstanbul in July 2014 rather than being a theory. It is seen that the Islamic algorithmic model portfolio has overperformed both BIST100 index and other participation indices as yield performance in the last 4 years average. The model also has outperformed the so-called indexes in the Sharpe ratio. The Islamic algorithmic model portfolio is a serious candidate for the establishment of the Exchange Traded Fund with a structure that provides a better return and risk balance for passively managed general indices for portfolio managers. In addition, factors such as conservative management strategies, avoidance of complex and leveraged products and a more accurate approach in investment feasibility of KATMP companies should be taken into consideration in the success by the other companies.
Keywords : algorithmic trading, portfolio strategies, Islamic Portfolios, Participation Indexes