Evaluation of Portfolio Performance of Turkish Mutual Funds

This article attempts to measure performance of Type A and Type B funds relative to T-Bill rates and ISE-100 index in Turkey over the period of January 1998-June 2000 using Sharpe ratio, Treynor ratio, Jensen alpha, and Graham&Harvey index. 55 Type A, and 77 Type B Funds were included in the analysis. In order to test whether four indices make similar ranking, Spearman rank correlation analysis was utilized. In addition, Wilcoxon Signed-Rank test was applied to test the significance of the differences in Sharpe indices of alternative investment instruments included in the analysis.Analysis revealed that different criteria rank the portfolios similarly. But more importantly we found that, the best investment over the entire analysis period and over the sub-periods is T-Bills, which is followed by ISE-100 index, Type B Funds, and Type A funds respectively. This finding makes the merits of the efforts spent by funds managers, over the analysis period, to outperform the market highly questionable