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dc.contributor.author
Nalmpantis, Konstantinos
en
dc.date.accessioned
2015-06-10T11:13:47Z
dc.date.available
2015-09-27T05:57:00Z
dc.date.issued
2015-06-10
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/259
dc.rights
Default License
dc.title
Performance Evaluation of Fixed - Income and Money Market Funds in Turkey
en
heal.type
masterThesis
heal.language
en
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
heal.publicationDate
2014-01
heal.bibliographicCitation
Nalmpantis Konstantinos, 2014, Performance Evaluation of Fixed - Income and Money Market Funds in Turkey, Master's Dissertation, International Hellenic University
en
heal.abstract
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.
en
heal.tableOfContents
1 INTRODUCTION .............................................................................................................................................. 1
2 LITERATURE REVIEW .................................................................................................................................. 3
3 METHOD OF ANALYSIS ................................................................................................................................ 5
3.1 RELATIVE RETURN MEASURES OF PERFORMANCE ........................................................................... 5
3.1.1 Treynor Measure .................................................................................................................................... 5
3.1.2 Sharpe Measure of Perfomance ............................................................................................................. 5
3.2 UNCONDITIONAL AND CONDITIONAL MODEL SPECIFICATION ..................................................... 6
3.2.1 Unconditional Model Specification ........................................................................................................ 6
3.2.2 Conditional Model Specification ............................................................................................................ 8
4 DATA ................................................................................................................................................................. 10
5 EMPIRICAL RESULTS .................................................................................................................................. 11
5.1 DESCRIPTIVE STATISTICS AND MEASURES OF PERFORMANCE ................................................... 11
5.1.1 Descriptive Statistics ............................................................................................................................ 11
5.1.2 Mutual Fund Performance based on the Treynor and the Sharpe Measures of Performance ............ 12
5.2 UNCONDITIONAL MEASURES OF PERFORMANCE ............................................................................ 13
5.2.1 Selectivity Ability and Alpha Estimates ................................................................................................ 14
5.2.2 Testing for Market Timing Skills .......................................................................................................... 15
5.3 CONDITIONAL MEASURES OF PERFORMANCE ................................................................................. 16
5.3.1 Selectivity Ability and Alpha Estimates ................................................................................................ 16
5.3.2 Market Timing Ability and Gamma Estimates ..................................................................................... 17
6 CONCLUSIONS ............................................................................................................................................... 18
6.1 CONCLUSIONS ........................................................................................................................................... 18
REFERENCES .......................................................................................................................................................... 20
APPENDIX A ............................................................................................................................................................. 23
APPENDIX B ............................................................................................................................................................. 27
APPENDIX C ............................................................................................................................................................. 29
en
heal.advisorName
Grose, Christos
en
heal.committeeMemberName
Leventis, Stergios
en
heal.committeeMemberName
Nomikos, Nick
en
heal.committeeMemberName
Grose, Christos
en
heal.academicPublisher
School of Economics and Business Administration, Msc in Banking and Finance
en
heal.academicPublisherID
ihu
heal.numberOfPages
34
heal.fullTextAvailability
true
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