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Comparison Of Investment Style: An Application On Share Weighted Funds Trading In Turkey

Author

Listed:
  • Turhan Korkmaz
  • Hasan Uygurturk

    () (Zonguldak Karaelmas University
    Zonguldak Karaelmas University)

Abstract

The investment style and the change of the investment style of the share weighted funds trading in Turkey for the period December 2006 to December 2009 are aimed to be determined, by this study. Thus the contents of the investment funds are carried out in the context of share indexes and risk-free investment vehicles. The fluctuation of the concerned contents in time is aimed to be displayed. Accordingly, the style analysis method, developed by W. F. Sharpe in 1992, is periodically applied for the each month of the 3 years both for the general and the analysis periods and findings are compared. As a result of the study, in the portfolio of the pension funds share group, the shares that form the financial index is standing in the forefront rather than the shares that form the share indexes, and it is ascertained that in A type investment funds there is no such condition. Nonetheless, it is concluded that the fund managers follow an investment strategy, which reduces the risk in the analysis period for both share weighted pension funds and the security funds.

Suggested Citation

  • Turhan Korkmaz & Hasan Uygurturk, 2011. "Comparison Of Investment Style: An Application On Share Weighted Funds Trading In Turkey," Anadolu University Journal of Social Sciences, Anadolu University, vol. 11(1), pages 1-12, January.
  • Handle: RePEc:and:journl:v:11:y:2011:i:1:p:1-12
    as

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    File URL: http://www.anadolu.edu.tr/arastirma/hakemli_dergiler/sosyal_bilimler/pdf/2011_1/2011_01_01.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Style analysis; share weighted investment funds; asset class factor model.;

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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