Turkish abstract: Bu çalışmada Türkiye’de sosyal sorumlu yatırımlar ile geleneksel hisse senedi yatırımlarının performansları karşılaştırılmıştır. Geleneksel hisse senedi yatırımlarının temsilcisi olarak BİST100 pazar endeksi, sosyal sorumlu yatırımların temsilcisi olarak BİST sürdürülebilirlik endeksi kullanılmıştır. Veri dönemi olarak BİST sürdürülebilirlik endeksinin başlangıç tarihi olan 04.11.2014 ile 10.10.2019 arası yaklaşık 5 yıllık dönem seçilmiş ve günlük veri kullanılmıştır. Yapılan analizler sonucunda, sürdürülebilirlik endeksinin Sharpe ve Treynor rasyoları pazar endeksinden daha yüksek hesaplanmış ancak aradaki farklar %95güven seviyesinde sıfırdan farklı bulunmamıştır. Benzer şekilde sürdürülebilirlik endeksinin Jensen alfası pozitif ancak %95güven seviyesinde sıfırdan farklı değildir. Dolayısıyla elde edilen bulgular Türkiye’de risk ayarlı getiri perspektifinde sosyal sorumlu ve geleneksel yatırımların performansları arasında bir farklılık olmadığını göstermiştir. Bu sonuç BİST üzerinde daha kısa veri dönemi ile yapılan çalışmalarla uyumlu olup Türkiye’de sosyal sorumluluk kavramının varlık seçimini/fiyatlandırmasını belirgin şekilde etkilemediğini göstermiştir. Ayrıca sosyal sorumlu yatırım yapmayı düşünen yatırımcıların portföyün finansal performansında kötüleşme olmaksızın sosyal sorumlu yatırımları tercih edebileceği anlaşılmaktadır.English extended abstract:1. MOTIVATIONFor both generic(traditional) investor and socially responsible investors who are actors of the capital market, it is important to compare the performance of socially responsible investments with traditional investments. Although various studies have been conducted in this area, the number of research conducted in Turkey is limited. Therefore, in this study, the performance of socially responsible investments and traditional investments was compared for Turkey.2. METHODOLOGYIstanbul Stock Exchange Sustainability index was used as the representative of socially responsible investments and market index (BIST100) was used as representative of traditional investments. Daily data were used for the period between 2014-2019. For the period in question, the return, risk and risk adjusted return of both indices are compared. Sharpe ratio, Treynor ratio and Jensen alpha are used for risk adjusted return.T tests were used to compare the differences.3. FINDINGS AND DISCUSSION The systematic risk (beta) of the sustainability index is higher than 1 for all years in the data period and the fact that the beta is higher than 1 is significant at the 95% confidence level. Also, the return of the sustainability index is higher than the market index for 4 of the 6 years and for whole period but the differences were not statistically significant. The risk-adjusted returns of the sustainability index were higher than the market index for 4 of the 6 years and the whole period but the differences weren’t statistically significant.For the whole period, the Sharpe and Treynor ratio of the sustainability index is 0.001 and 0.002 respectively, and the same ratios of the market index are -0.001 and -0.001, respectively. Also, the Jensen alpha of sustainability index is positive (0.002). However, as stated above, the differences between risk-adjusted returns are not statistically significant at 95% confidence level.4. CONCLUSION, RECOMMENDATION AND LIMITATIONS The risk and return of the BIST sustainability index for the whole period is higher than the market index, but only high risk is statistically significant. In terms of risk-adjusted returns, the performance of the sustainability index is higher than the market index, but the difference isn't statistically significant. Therefore, these results showed that the concept of sustainability (social responsibility) isn’t yet widespread enough to affect asset pricing/choosing in Turkey. These results also indicate that socially responsible investors have the opportunity to make socially responsible investments without sacrificing financial performance. These findings are consistent with research in the literature. As a matter of fact, the fact that the sustainability index is riskier is a finding obtained in almost every research. However, as it has been interpreted in other studies, this seems to be the result of the companies in the sustainability index being larger companies than others and being more sensitive to macroeconomic developments.Finally, the first constraint of the research is that some companies are in both the sustainability index and the market index. This situation creates the possibility of bias in the results of the performance comparison between the two indices. The second constraint of the research is that the companies in the sustainability index are larger than the companies in the market index. Clearing the results from the effect of the company size will make the findings obtained more neutral. Also, comparison of socially responsible investments with traditional investments in bear and bull markets will contribute to the literature
