This article attempts to measure performances of Type A and Type Bfunds relative to T-Bill rates and ISE-100 index in Turkey over the period of January1998-June 2000 using Sharpe, Treynor, Jensen, and Graham&Harvey indices. 55Type A, and 77 Type B Funds were included in the analysis. In order to test whetherfour different indices make similar ranking, Spearman rank correlation analysis wasutilized. Secondly, Wilcoxon Signed-Rank test was applied to test the significanceof the differences in Sharpe indices of alternative investment instruments includedin the analysis.Analysis revealed that different criteria rank the portfolios similarly. But moreimportantly it was found that, the best investment over the entire analysis period aswell as in the sub-periods was T-Bills, which was followed by ISE-100 index, TypeB Funds, and Type A funds respectively. This finding makes the merits of the effortsspent by funds managers, over the analysis period, to outperform the market highly
đang được dịch, vui lòng đợi..
