Yatırım Fonları Performanslarının Veri Zarflama Analizi Yöntemiyle Değerlendirilmesi

Fon performanslarının ölçümü amacıyla geliştirilen geleneksel yöntemler belli bir gösterge portföye ve sadece risk-getiri kriterlerine göre değerlendirme yaptıklarından dolayı eleştirilmişlerdir. Bu olumsuzlukları gidermek amacıyla Murthi ve diğerleri, VZA yöntemiyle Sharpe oranım birleştirerek VZA portföy endeksini geliştirmişlerdir. Bu yaklaşımla, yatırımcının elde edebileceği net getiri hesaplanmasının yanı sıra, sözkonusu unsurların getiri üzerindeki etkileri de ayrı ayrı belirlenebilmiştir. Çalışmada bu amaçlan gerçekleştirebilmek için, 2001-2003 dönemi boyunca 53 yatırım fonu değişken, hisse ve karma fon bazında değerlendirilmiştir. Girdiye yönelik ikili VZA modellerinin uygulanması sonucu en yüksek performansın fon türü bazında değişken fonlar, fon bazında ise Bender, Koç ve İş Fon tarafından gerçekleştirildiği görülmektedir. Ölçek getirişine dayalı VZA modelinin sonuçlan ise Türk yatınm fonlannm maliyet avantajından yararlanmak içi fon büyüklüklerinin artırmalan gerektiğini ortaya koymuştur.

Evaluation of Portfolio Performance with Data Envelopment Analysis

The traditional methods developed for evaluating fund performance have been critized for using benchmark portfolio, based only on risk - return criteria and aiming average performance. In order to overcome these disadvantages, Murthi and others have developed the DEAPEE index which applies both DEA methods and Sharpe index. With this approach, besides the calculation of net return of an investment, the effect of each factors on return has been separately evaluated. In this study, to perform the aims mentioned above, 53 A type mutual funds have been evaluated based on classifications as variable, stocks and mixed funds for 2001-2003 period. The results of DEA models showed that variable funds had relatively high performance on fund type basis and Bender, Koc and Is Fund had a relatively good performance on a fund basis. Variables DEA model results indicated that A type Turkish funds must increase their scales to have an advantage within economies of scale.

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