Page 56 - 2005GR

Bireysel Emeklilik Sistemi 2005 Geliflim Raporu

EMEKL‹L‹K YATIRIM FONLARI
PENSION MUTUAL FUNDS

Finansal yat›r›m araçlar›n›n performans›n› iki tür risk Generally two types of risk affect performance of financial
etkiler. Birincisi yat›r›m arac›n›n içinde bulundu¤u pazara investments. First is the market risk and open to all
ait risktir ve tüm makro etkenlere aç›kt›r. Bu riske macro factors called as systematic risk. The other is
sistematik risk denir. ‹kincisi sistematik olmayan risktir called non-systematic risk which, independent from the
ve pazardan ba¤›ms›z, fonun zamanlama, seçicilik, market, depends upon timing, selectivity, volatility, risk
hareketlilik, portföy çeflitlendirmesi gibi performanslar›na diversification performance of the fund.
ba¤l›d›r.
Most common way of measuring systematic risk in
Finansal piyasalarda sistematik riski ölçmede en yayg›n financial markets is beta (ß) analysis. Beta, is the
kullan›lan yöntem Beta (ß) analizidir. Beta, pazar getirisiyle regression coefficient that shows the relation of the
finansal varl›¤›n getirisi aras›ndaki iliflkiyi gösteren return of the market with the return of the financial
regresyon katsay›s›d›r. security.

Beta katsay›s›,1964 y›l›nda William Sharpe taraf›ndan Beta coefficient is the risk measure of the financial
gelifltirilen “Finansal Varl›klar› Fiyatland›rma Modeli security that was subject to “Capital Asset Pricing Model,
(Capital Asset Pricing Model, CAPM )”ne konu olan CAPM” which was developed by William Sharpe in 1964.
finansal varl›¤›n risk ölçütüdür. Ele al›nan portföy It represents the relation of portfolio performance with
performans›n›n, piyasan›n ortalama performans› ile olan the average market performance.
iliflkisini ortaya koyar.
ß coefficient is calculated by dividing covariant of fund
ß katsay›s› fon getirisi ve pazar getirisinin kovaryans›n›n return and market return by variant of return of the
pazar getirisinin varyans›na bölünmesi yoluyla hesaplan›r. market.

cov(Ri,Rmt) cov(Ri,Rmt)
ßi = ßi =

var(Rmt) var(Rmt)

Baflka bir ifade ile Beta katsay›s›, fonun, piyasadaki bir In other words, Beta coefficient reflects the change of
birimlik art›fl ya da azal›fla karfl›l›k gösterdi¤i de¤iflimi the value of the fund, per one unit of increase or fall at
ifade eder. the market.

E¤er Beta; If Beta is;

=1 ise; fon pazarla birlikte hareket ediyor demektir. =1 the fund price moves with the market
>1 ise; fon pazardan daha fazla dalgal› demektir. >1 the fund price is much more volatile than
<1 ise; fon pazardan daha az dalgal› demektir.
the market
Betas› 1’den büyük fonlar daha fazla getiri vaat eder <1 the fund price is less volatile than the market
ancak daha risklidir.
Funds with Beta coefficient more than 1, offers higher
Bir örnekle inceleyecek olursak; return possibility while on the other hand, posing
more risk.
Betas› 2 olan bir fonun içinde bulundu¤u pazar %15
getiri elde ederse fonun %30 getiri elde etmesi beklenir. For instance;
Ancak pazar %10 zarar ederse fonun %20 zarar etmesi
muhtemeldir. Assuming that the Beta of the fund is 2, if the market
return is 15 percent, the fund will return 30 percent. On
Beta katsay›s›, fon incelemesi ya da tercihi yaparken the other hand, if market loses 10 percent, the fund will
risk hakk›nda ip uçlar› verir ancak dikkat edilmesi gereken lose 20 percent.
konulardan biri, ele al›nan portföy için getiri serisinin
yeterli uzunlukta olup olmad›¤›d›r. Beta coefficient can give clues about the risk during
performance testing of or preferring a fund. However,
Yap›lan istatistiksel çal›flmalar, zaman aral›¤›n›n one of the most important subjects to take into
uzunlu¤unun beta katsay›n›n de¤erini de¤ifltirebildi¤ini consideration is the sufficiency of the length of the return
göstermifltir. series for the mentioned portfolio.

The statistical studies show that the length of the return
series can affect the Beta coefficient.

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