Author :
Abstract
Bu çalışmanın amacı Hedge Fon performanslarının sonraki dönem getirilerine etkisini araştırmaktır. Bu amaç çerçevesinde 20 yıllık kesintisiz verilere sahip 12 ülkenin 1999-2018 yıllarına ait Hedge Fon, piyasa ve risksiz getiri verilerinden yararlanılarak performans ölçüm oranları hesaplanmıştır. Çalışmada Hedge Fonların sonraki dönem getirileri bağımlı değişken, Bilgi Oranı, Calmar Oranı, M2 Performans Ölçüsü, Jensen’in Alfa Ölçüsü, Sharpe Oranı, Sortino Oranı, Sterling Oranı, Treynor İndeksi bağımsız değişken olarak kullanılmıştır. Elde edilen bulgular ışığında toplam riski baz alan performans ölçüm oranları Sharpe ve Sortino Oranları, sistematik riski baz alan performans ölçüm oranı Treynor İndeksi anlamlı bağımsız değişken olarak tespit edilmiştir. Ayrıca Sharpe Oranı düşük olan Hedge Fonların sonraki dönemde getirilerinin arttığı, yüksek olanların ise sonraki dönemde getirilerinin azaldığı, Sortino Oranı ve Treynor İndeksinin fon getirileriyle aynı yönde seyir izlediği sonucuna ulaşılmıştır.
Keywords
Abstract
The purpose of this study is to investigate effects of Hedge Fund Performances on the returns of the following period. In the frame of this purpose, performance measurement ratios were calculated for 12 countries with uninterrupted data related to Hedge Fund, market and risk- free returns for the 20 years between 1999 and 2018. In this study, return of Hedge Funds for the following periods were used as the dependent variable, and Information Ratio, Calmar Ratio, M2Performance Measure, Jensen’s Alpha Measure, Sharpe Ratio, Sortino Ratio, Sterling Ratio, and Treynor Index were used as the independent variables. Balanced panel was used in the study. In the light of the findings obtained, performance measurement ratios based on the total risk including Sharpe and Sortino Ratios, and the performance measurement ratios of Treynor Index based on the systematic risk were determined as the significant independent variables. Furthermore, it was concluded that return of Hedge funds with lower Sharpe Ratios increased in the following periods, while the returns of those with higher ratios decreased; Sortino Ratios and Treynor Index had a parallel course with returns of funds.
Keywords
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