Current Research Papers of ARJBM - Volume : 6 and Issue : 1

Evaluation of Fund Portfolio Managers’ Return Performance in Terms of Systematic and Unsystematic Risk Factors

Sinan AYTEKİN
DOI Number :   10.24214/ARJBM/6/1/111   Page number :1-11
Keyword:

Since the prices are random due to the efficient market hypothesis, it is not theoretically possible to obtain an abnormal return by any method, but the account owners have to know the return performance of the fund manager to invest in any asset. Therefore, return performance of the fund portfolio manager as a whole is an important indicator for the investors as well as the individual return performance of the funds. In this study, it is examined to determine the medium and long term factors affecting the return performance of portfolio managers in Turkey, especially equity and participation mutual fund managers and private pension fund managers. For this purpose, multiple linear regression model is established with the variables of Sharpe Ratio, Treynor Ratio, Jensen's Alpha, Upside Capture Ratio, and Downside Capture Ratio which are thought to be determinants of the return performance of 94 portfolio managers who managed equity mutual funds, participation mutual funds and private pension funds in 2015 (366 days), 2016 (366 days) and 2017 (253 days) separately, and in the 2015-2017 period (986 days) continuously. It was determined that the return of fund portfolio manager is the most influential factor on the Jensen Alpha dependent variable for the individual years and for the period of 2015-2017.

Correlation Model

Susan Wanjiru Mwangi nee Njuguna
DOI Number :   10.24214/ARJBM/6/1/1219   Page number :12-19
Keyword:

This paper looked at correlation model. A model can come in many shapes, sizes, and styles. As a human construct, a model helps us understand real world systems. It can come in many sizes, shapes, styles, and depending on the user and the need at hand. In general, all models have an information input, since some are used as an information processor while other are used as output of expected results. Models are simple version of a phenomenon, concept, systems or conditions of a real situation. They can be, verbal representation symbolic or physical appearance of a situation. There are several objectives of a model. The most important one are to eliminating unnecessary components and facilitate understanding by, to aid in decision making by simulating 'what if' scenarios and  to explain, control, and predict events on the basis of past observations. Models contains characteristics which are extremely useful to the user. Some situations are complex making translation or transformation extremely difficult to comprehend.

Correlation is a relationship between two variables or more variables. Correlation study entails Statistical study that explores the cause-and-effect (causal) linkages among groups or the different elements of a group. When looking at a relationship using a model it is important to define different functionality of the two entities.