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

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

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.