Araştırma Makalesi
Yıl 2025,
Cilt: 34 Sayı: 1, 614 - 633, 30.04.2025
Öz
Sharpe oranı, portföy stratejilerinin ve yatırım fonlarının performanslarının değerlendirmesinde en sık kullanılan, alıntılanan ve riske karşı ayarlanmış performans yöntemlerinin öncüsü olarak karşımıza çıkmaktadır. Zaman içerisinde Sharpe oranından türetilmiş çok sayıda performans değerlendirme yöntemi uygulamalarda yerini almıştır. Bu durum yöntemlerin birbirleriyle karşılaştırılarak portföy performans değerlendirmesinde farklı sıralamalara yol açıp açmadığı sorusunu gündeme getirmiştir. Bu çalışmanın birinci aşamasında Sharpe oranı, Alternatif Sharpe oranı, Ayarlanmış Sharpe oranı, Çarpıklığa Göre Ayarlanmış Sharpe oranı, Revize Sharpe oranı, Alternatif Çarpıklığa Göre Ayarlanmış Sharpe oranı ve Düzgünleştirilmiş Sharpe oranı yöntemlerinin performans sıralamasında farklı sonuçlar üretip üretmediği MSCI Gelişmekte Olan Piyasalar listesinde yer alan ülkeler özelinde incelenmiştir. İkinci aşamada ise Treynor oranı, Jensen oranı ve M2 performans ölçüm yöntemleri ile kıyaslama yapılmaktadır. Elde edilen sonuçlara göre inceleme dönemi için Alternatif Çarpıklığa Göre Ayarlanmış Sharpe oranı ve Düzgünleştirilmiş Sharpe oranı yöntemleri haricinde diğer yöntemlerin neredeyse aynı sonuçlar verdiği, bu iki yöntemden elde edilen bulgu ve sonuçların ise performans sıralamalarında diğer yöntemlere kıyasla elde edilen sonuçlarda farklılığa yol açtığı tespit edilmiştir.
Anahtar Kelimeler
Kaynakça
- Amédée-Manesme, C., & Barthélémy, F. (2022). Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion. Annals of Operations Research, 313(2), 691–712. https://doi.org/10.1007/s10479-020-03858-4
- Arslan, M. (2005). A tipi yatırım fonlarında yöneticilerin zamanlama kabiliyeti ve performans ilişkisi analizi: 2002-2005 dönemi bir uygulama. Gazi Üniversitesi Ticaret ve Turizm Eğitim Fakültesi Dergisi, (2).
- Auer, B. R. (2015). Does the choice of performance measure influence the evaluation of commodity investments?. International Review of Financial Analysis, 38, 142–150. https://doi.org/10.1016/j.irfa.2014.10.003
- Aydın, M., Şiriner, İ., & Koç, Ş. A. (2022). Measuring Stock Performance in BIST Liquid Bank Index. Global Agenda in Social Sciences: Global Studies Vol. 9, 31.
- Bacon, C. R. (2021). Practical risk-adjusted performance measurement. John Wiley & Sons.
- Bailey, D. H., & Lopez de Prado, M. (2012). The Sharpe ratio efficient frontier. Journal of Risk, 15(2), 13.
- Bailey, D. H., De Prado, M. L., & Del Pozo, E. (2013). The strategy approval decision: A Sharpe ratio indifference curve approach. Algorithmic Finance, 2(1), 99–109. https://doi.org/10.3233/af-13018
- Ballestero, E., & Pla-Santamaria, D. (2005). Grading the performance of market indicators with utility benchmarks selected from Footsie: a 2000 case study. Applied Economics, 37(18), 2147–2160. https://doi.org/10.1080/00036840500278053
- Boudt, K., Cornilly, D., Van Holle, F., & Willems, J. (2020). Algorithmic portfolio tilting to harvest higher moment gains. Heliyon, 6(3), e03516. https://doi.org/10.1016/j.heliyon.2020.e03516
- Cvitanić, J., Lazrak, A., & Wang, T. (2008). Implications of the Sharpe ratio as a performance measure in multi-period settings. Journal of Economic Dynamics & Control, 32(5), 1622–1649. https://doi.org/10.1016/j.jedc.2007.06.009
- Eling, M., & Schuhmacher, F. (2007). Does the choice of performance measure influence the evaluation of hedge funds? Journal of Banking & Finance, 31(9), 2632–2647. https://doi.org/10.1016/j.jbankfin.2006.09.015
- Goetzmann, W., Ingersoll, J., Spiegel, M., Welch, I. (2002). Sharpening Sharpe ratios. National Bureau of Economic Research Working Paper No. W9116. https://doi.org/10.3386/w9116
- Gökgöz, F., & Günel, M. O. (2012). Türk Yatırım Fonlarının Portföy Performanslarının Analizi. Ankara Üniversitesi Sosyal Bilimler Dergisi, 3(2), 3-25.
- Jensen, M. C. (1968)., The Performance of Mutual Funds in the Period of 1945-1964, Journal of Finance, 389-419. Lo, A. W. (2002). The statistics of sharpe ratios. Financial Analysts Journal, 58(4), 36–52. https://doi.org/10.2469/faj.v58.n4.2453
- Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7, 77–91.
- Modigliani, F., & Leah, M. (1997). Risk-adjusted performance. Journal of portfolio management, 23(2), 45.
- Mistry, J., & Shah, J. (2013). Dealing with the limitations of the Sharpe ratio for portfolio evaluation. Journal of Commerce and Accounting Research, 2(3), 10.
- Nagy, B. Z., & Benedek, B. (2021). Higher co-moments and adjusted Sharpe ratios for cryptocurrencies. Finance Research Letters, 39, 101543. https://doi.org/10.1016/j.frl.2020.101543
- Ornelas, J. R. H., Júnior, A. F. S., & Fernandes, J. L. B. (2010). Yes, the choice of performance measure does matter for ranking of us mutual funds. International Journal of Finance and Economics, 17(1), 61–72. https://doi.org/10.1002/ijfe.437
- Pézier, J., & White, A. (2006). The relative merits of investable hedge fund indices and of funds of hedge funds in optimal passive portfolios (No. icma-dp2006-10). Henley Business School, University of Reading.
- Scholz, H. (2006). Refinements to the Sharpe ratio: Comparing alternatives for bear markets. Journal of Asset Management, 7(5), 347–357. https://doi.org/10.1057/palgrave.jam.2250040
- Schuster, M., & Auer, B. R. (2012). A note on empirical Sharpe ratio dynamics. Economics Letters, 116(1), 124–128. https://doi.org/10.1016/j.econlet.2012.02.005
- Shah, IrfanUllah-Iqbal, Junaid-Malik, MuhammadFaizan (2012), “Comparative Valuation Between Islamic and Conventional Mutual Fund”, International ResearchJournal of Finance andEconomics, 96(1), s.28-33.
- Shao, S., Yang, L., Zhang, Y., & Meng, Z. (2015). A modified Markowitz Multi-Period Dynamic Portfolio selection model based on the LDIW-PSO. International Journal of Economics and Finance, 8(1), 90. https://doi.org/10.5539/ijef.v8n1p90
- Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119–138. http://www.jstor.org/stable/2351741
- Sharpe, W. (1994). The sharpe ratio. The Journal of Portfolio Management, 21(1), 49–58.
- Treynor, J.L. (1965)., How to Rate Management of Investment Funds. Harvard Business Review, 63-75.
- Watanabe, Y. (2014). New Prospect Ratio: Application to Hedge Funds with Higher Order Moments. Journal of Performance Measurement, 19(1).
- White, J., & Haghani, V. (2017). A brief history of sharpe ratio, and beyond. Available online: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3077552 (Erişim Tarihi: 05/07/2023)
- Yıldız, S. B., Ovalı, M., & Berberoğlu, B. (2020). Evaluation the performance of stock funds using multi-criteria decision-making methods. Journal of Business, Economics and Finance, 12(1), 70–71. https://doi.org/10.17261/pressacademia.2020.1351
- Yücel, Ö. (2016). BİST Endekslerinin Risk Temelli Performans Karşılaştırması. İşletme ve İktisat Çalışmaları Dergisi, 4(4), 151-164.
- Zakamouline, V., & Koekebakker, S. (2009). Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance. Journal of Banking & Finance, 33(7), 1242–1254. https://doi.org/10.1016/j.jbankfin.2009.01.005
- https://www.investing.com/ (Erişim Tarihi: 12/03/2024) https://www.msci.com/ (Erişim Tarihi: 12/03/2024)
Yıl 2025,
Cilt: 34 Sayı: 1, 614 - 633, 30.04.2025
Öz
The Sharpe ratio is widely recognized as a foundational method for risk-adjusted performance evaluation in assessing portfolio strategies and investment fund performance. Over time, various performance evaluation methods have emerged that are based on the Sharpe ratio. This proliferation of methods raises the question of whether they yield differing rankings in portfolio performance evaluation when compared to one another. In the first stage of this study, it is examined whether the performance rankings of methods such as—Sharpe ratio, Alternative Sharpe ratio, Adjusted Sharpe ratio, Skew-adjusted Sharpe ratio, Revised Sharpe ratio, Alternative Skew-adjusted Sharpe ratio, and Smoothed Sharpe are examined to determine whether they yield different performance rankings across countries listed in theMSCI Emerging Markets Index. In the second stage, a comparison is made using alternative performance measurement methods such as the Treynor ratio, Jensen ratio, and M2 performance measure. The findings indicate that, all methods except the Alternative Skew-adjusted Sharpe ratio and Smoothed Sharpe ratioproduce nearly identical results.. However, these two methods lead to notable differences in performance rankings compared to the other approaches.
Anahtar Kelimeler
Kaynakça
- Amédée-Manesme, C., & Barthélémy, F. (2022). Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion. Annals of Operations Research, 313(2), 691–712. https://doi.org/10.1007/s10479-020-03858-4
- Arslan, M. (2005). A tipi yatırım fonlarında yöneticilerin zamanlama kabiliyeti ve performans ilişkisi analizi: 2002-2005 dönemi bir uygulama. Gazi Üniversitesi Ticaret ve Turizm Eğitim Fakültesi Dergisi, (2).
- Auer, B. R. (2015). Does the choice of performance measure influence the evaluation of commodity investments?. International Review of Financial Analysis, 38, 142–150. https://doi.org/10.1016/j.irfa.2014.10.003
- Aydın, M., Şiriner, İ., & Koç, Ş. A. (2022). Measuring Stock Performance in BIST Liquid Bank Index. Global Agenda in Social Sciences: Global Studies Vol. 9, 31.
- Bacon, C. R. (2021). Practical risk-adjusted performance measurement. John Wiley & Sons.
- Bailey, D. H., & Lopez de Prado, M. (2012). The Sharpe ratio efficient frontier. Journal of Risk, 15(2), 13.
- Bailey, D. H., De Prado, M. L., & Del Pozo, E. (2013). The strategy approval decision: A Sharpe ratio indifference curve approach. Algorithmic Finance, 2(1), 99–109. https://doi.org/10.3233/af-13018
- Ballestero, E., & Pla-Santamaria, D. (2005). Grading the performance of market indicators with utility benchmarks selected from Footsie: a 2000 case study. Applied Economics, 37(18), 2147–2160. https://doi.org/10.1080/00036840500278053
- Boudt, K., Cornilly, D., Van Holle, F., & Willems, J. (2020). Algorithmic portfolio tilting to harvest higher moment gains. Heliyon, 6(3), e03516. https://doi.org/10.1016/j.heliyon.2020.e03516
- Cvitanić, J., Lazrak, A., & Wang, T. (2008). Implications of the Sharpe ratio as a performance measure in multi-period settings. Journal of Economic Dynamics & Control, 32(5), 1622–1649. https://doi.org/10.1016/j.jedc.2007.06.009
- Eling, M., & Schuhmacher, F. (2007). Does the choice of performance measure influence the evaluation of hedge funds? Journal of Banking & Finance, 31(9), 2632–2647. https://doi.org/10.1016/j.jbankfin.2006.09.015
- Goetzmann, W., Ingersoll, J., Spiegel, M., Welch, I. (2002). Sharpening Sharpe ratios. National Bureau of Economic Research Working Paper No. W9116. https://doi.org/10.3386/w9116
- Gökgöz, F., & Günel, M. O. (2012). Türk Yatırım Fonlarının Portföy Performanslarının Analizi. Ankara Üniversitesi Sosyal Bilimler Dergisi, 3(2), 3-25.
- Jensen, M. C. (1968)., The Performance of Mutual Funds in the Period of 1945-1964, Journal of Finance, 389-419. Lo, A. W. (2002). The statistics of sharpe ratios. Financial Analysts Journal, 58(4), 36–52. https://doi.org/10.2469/faj.v58.n4.2453
- Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7, 77–91.
- Modigliani, F., & Leah, M. (1997). Risk-adjusted performance. Journal of portfolio management, 23(2), 45.
- Mistry, J., & Shah, J. (2013). Dealing with the limitations of the Sharpe ratio for portfolio evaluation. Journal of Commerce and Accounting Research, 2(3), 10.
- Nagy, B. Z., & Benedek, B. (2021). Higher co-moments and adjusted Sharpe ratios for cryptocurrencies. Finance Research Letters, 39, 101543. https://doi.org/10.1016/j.frl.2020.101543
- Ornelas, J. R. H., Júnior, A. F. S., & Fernandes, J. L. B. (2010). Yes, the choice of performance measure does matter for ranking of us mutual funds. International Journal of Finance and Economics, 17(1), 61–72. https://doi.org/10.1002/ijfe.437
- Pézier, J., & White, A. (2006). The relative merits of investable hedge fund indices and of funds of hedge funds in optimal passive portfolios (No. icma-dp2006-10). Henley Business School, University of Reading.
- Scholz, H. (2006). Refinements to the Sharpe ratio: Comparing alternatives for bear markets. Journal of Asset Management, 7(5), 347–357. https://doi.org/10.1057/palgrave.jam.2250040
- Schuster, M., & Auer, B. R. (2012). A note on empirical Sharpe ratio dynamics. Economics Letters, 116(1), 124–128. https://doi.org/10.1016/j.econlet.2012.02.005
- Shah, IrfanUllah-Iqbal, Junaid-Malik, MuhammadFaizan (2012), “Comparative Valuation Between Islamic and Conventional Mutual Fund”, International ResearchJournal of Finance andEconomics, 96(1), s.28-33.
- Shao, S., Yang, L., Zhang, Y., & Meng, Z. (2015). A modified Markowitz Multi-Period Dynamic Portfolio selection model based on the LDIW-PSO. International Journal of Economics and Finance, 8(1), 90. https://doi.org/10.5539/ijef.v8n1p90
- Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119–138. http://www.jstor.org/stable/2351741
- Sharpe, W. (1994). The sharpe ratio. The Journal of Portfolio Management, 21(1), 49–58.
- Treynor, J.L. (1965)., How to Rate Management of Investment Funds. Harvard Business Review, 63-75.
- Watanabe, Y. (2014). New Prospect Ratio: Application to Hedge Funds with Higher Order Moments. Journal of Performance Measurement, 19(1).
- White, J., & Haghani, V. (2017). A brief history of sharpe ratio, and beyond. Available online: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3077552 (Erişim Tarihi: 05/07/2023)
- Yıldız, S. B., Ovalı, M., & Berberoğlu, B. (2020). Evaluation the performance of stock funds using multi-criteria decision-making methods. Journal of Business, Economics and Finance, 12(1), 70–71. https://doi.org/10.17261/pressacademia.2020.1351
- Yücel, Ö. (2016). BİST Endekslerinin Risk Temelli Performans Karşılaştırması. İşletme ve İktisat Çalışmaları Dergisi, 4(4), 151-164.
- Zakamouline, V., & Koekebakker, S. (2009). Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance. Journal of Banking & Finance, 33(7), 1242–1254. https://doi.org/10.1016/j.jbankfin.2009.01.005
- https://www.investing.com/ (Erişim Tarihi: 12/03/2024) https://www.msci.com/ (Erişim Tarihi: 12/03/2024)
Toplam 33 adet kaynakça vardır.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | Uluslararası İktisat (Diğer) |
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 30 Nisan 2025 |
| Gönderilme Tarihi | 13 Mayıs 2024 |
| Kabul Tarihi | 20 Mart 2025 |
| Yayımlandığı Sayı | Yıl 2025 Cilt: 34 Sayı: 1 |
