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BÝST Endekslerinin Risk Temelli Performans Karþýlaþtýrmasý

Author

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  • Öykü YÜCEL

    (TED Üniversitesi, ÝÝBF Ýþletme Bölümü, Ankara.)

Abstract

Bu çalýþmayla Borsa Ýstanbul kapsamýnda 2005 senesinden itibaren kesintisiz olarak hesaplanan endekslerin çeþitli performans ölçütleri kullanýlarak risk temelli performanslarýnýn karþýlaþtýrýlmasý ve endekslerin performanslarýnýn puanlanýp sýralamaya tabi tutularak yatýrýmcýlarýn karar verme süreçlerinin desteklenmesi hedeflenmiþtir. Çalýþmanýn örneklemi Ocak 2005 tarihinden Ocak 2016 tarihine kadar BIST kapsamýnda kesintisiz olarak hesaplanan otuz adet sektör endeksidir. Çalýþmada beþ yýllýk dönemler için performans deðerlendirmesi yapýlmýþtýr. Risk temelli performans karþýlaþtýrmasý yapýlýrken literatürde portföy performans deðerlendirmesinde yaygýn olarak kullanýlan Sharpe, Treynor, Jensen, Sortino, Fama ölçütleri, deðerleme oraný, M2 ve T2 performans ölçütleri kullanýlmýþtýr. Ýlgili endeksler her bir ölçüte göre sýralandýktan sonra Spearman sýra korelasyon testiyle risk temelli performans deðerleme ölçütleri arasýndaki iliþki incelenmiþtir

Suggested Citation

  • Öykü YÜCEL, 2016. "BÝST Endekslerinin Risk Temelli Performans Karþýlaþtýrmasý," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 4(4), pages 151-164.
    • Handle: RePEc:eco:journ4:2016-04-04
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    Keywords

    Pay endeksleri; Risk temelli performans deðerleme; Portföy performans ölçütleri.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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