标题：Comparative Analysis of A,B Type and Exchange Traded Funds Performances with Mutual Fund Performance Measures,Regression Analysis and Manova Technique.
其他标题：Yatırım Fonu Performans Ölçütleri,Regresyon Analizleri ve MANOVA Yöntemine Göre A,B ve Borsa Yatırım Fonlarının Karşılaştırmalı Analizi
摘要：The objective of the study is to evaluate risk- reward relationship and relative performances of the 4 different groups of mutual funds. To this end,daily return data of these 12 mutual funds (3 type variable fund;3 B type variable fund;3 A type stock fund and 3 A type Exchange traded fund) together with daily market index (imkb100) return and daily return of riskless rate for the period from January 2006 to Feb 2010. The 180-day maturity T-Bill has been selected to represent riskless rate. To determine performances of mutual funds;Sharpe ratio,M2 measure,Treynor index,Jensen index,Sortino ratio,T2 ratio,Valuation ratio has been applied and these indicators produced conflicting results in ranking mutual funds. Then timing and selection capability of the fund manager has been determined by applying simple regression and Quadratic regression. Interestingly all funds found to have positive coefficient,indicating positive selection capability of managers;but in terms of timing capability only one fund managers showed success. Finally,to determine extent to which mean returns are differs between mutual funds,market index (imkb100) and riskless rate (180 day TBill) results of the analysis revealed that mean returns of individual security returns differs at P≤0,01 level. That shows instability in returns and poor ex-ante forecast modeling capability.
其他摘要：Çalışmanın amacı 4 farklı grupta oluşan yatırım fonlarının risk getiri ilişkisi ve göreceli performans düzeylerinin değerlendirmektir. Çalışmamızda,02.01.2006 ile 05.02.2010 dönemini kapsayan A tipi değişken fon,B tipi değişken fon,A tipi hisse senedi fon
关键词：Mutual Fund Performance Measures;Exchange Traded Funds;Timing Capability;Selection Capability;MANOVA Analysis.
其他关键词：Yatırım Fonu Performans Ölçütleri;Borsa Yatırım Fonları;Zamanlama Kabiliyeti;Seçicilik Kabiliyeti;MANOVA Analizi.
