This project examined the performance of a number of open-ended Turkish mutual fund
managers, over the period 2004:02 to 2012:12. Two categories of mutual funds are considered:
twenty-two money market mutual funds and twenty-one fixed-income mutual funds. Initially, the
performance of these funds is evaluated using the widely-used measures of performance, such as
the Sharpe measure and the Treynor measure. As a benchmark portfolio a relevant index for the
types of mutual funds considered. According to relative-return ratios of performance, almost all
mutual-fund managers did not manage to beat their benchmarks. Subsequently, conditional and
unconditional model specifications are used in order to derive alpha estimates and gamma
estimates, i.e. evidence for the presence of selectivity and market-timing abilities on the part of
mutual fund managers. Based on the aforementioned specification no Turkish mutual fund
manager exhibited superior selectivity and market-timing skills.
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