{"id":3795,"date":"2017-11-08T03:15:12","date_gmt":"2017-11-08T00:15:12","guid":{"rendered":"https:\/\/www.berjournal.com\/?p=3795"},"modified":"2017-11-11T02:24:37","modified_gmt":"2017-11-10T23:24:37","slug":"expected-maximum-drawdown-approach-on-portfolio-selection-an-examination-on-bist100-sp500","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/expected-maximum-drawdown-approach-on-portfolio-selection-an-examination-on-bist100-sp500","title":{"rendered":"Portf\u00f6y Se\u00e7iminde Expected Maximum Drawdown Yakla\u015f\u0131m\u0131: BIST100 \u2013 S&P500 Uygulamas\u0131"},"content":{"rendered":"

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Makale Bilgileri<\/td>\n<\/tr>\n
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Dergi:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nPortf\u00f6y Se\u00e7iminde Expected Maximum Drawdown Yakla\u015f\u0131m\u0131:\u00a0BIST100 \u2013 S&P500 Uygulamas\u0131<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\nUmut Uyar, Habib K\u00fc\u00e7\u00fck\u015fahin<\/td>\n<\/tr>\n
Cilt:<\/td>\n8<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n4<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2017<\/td>\n<\/tr>\n
Sayfa:<\/td>\n727-748<\/td>\n<\/tr>\n
ISSN:<\/td>\n1309-2448<\/td>\n<\/tr>\n
DOI Numaras\u0131:<\/td>\n10.20409\/berj.2017.79<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
\u00c7al\u0131\u015fmada risk fakt\u00f6r\u00fc \u00f6l\u00e7\u00fcm\u00fcnde pratikte yat\u0131r\u0131m uzmanlar\u0131 ve fon y\u00f6neticileri taraf\u0131ndan s\u0131kl\u0131kla kullan\u0131lan en y\u00fcksek d\u00fc\u015fme noktas\u0131 (maximum drawdown-MDD) \u00f6l\u00e7\u00fct\u00fc kullan\u0131lm\u0131\u015ft\u0131r. \u00c7al\u0131\u015fma kapsam\u0131nda ve S&P500 endeksinde yer alan paylar ile; Riskli, D\u00fc\u015f\u00fck Riskli ve E\u015fit A\u011f\u0131rl\u0131kl\u0131 portf\u00f6yler olu\u015fturulmu\u015ftur. 2016 y\u0131l\u0131 i\u00e7in performans\u0131 \u00f6l\u00e7\u00fclen portf\u00f6ylerde yer alan her bir pay\u0131n a\u011f\u0131rl\u0131\u011f\u0131, beklenen en y\u00fcksek d\u00fc\u015fme noktas\u0131na (expected maximum drawdown-EMDD) g\u00f6re belirlenmi\u015ftir. Beklenen en y\u00fcksek d\u00fc\u015fme noktalar\u0131n\u0131n belirlenmesi maksad\u0131yla pay senetlerin 1 Ocak 2010 – 31 Aral\u0131k 2015 tarihleri aras\u0131ndaki g\u00fcnl\u00fck getirilerinden yararlan\u0131lm\u0131\u015ft\u0131r. \u00c7al\u0131\u015fma sonucunda BIST100 endeksi i\u00e7in en y\u00fcksek getiriyi beklentilerin aksine d\u00fc\u015f\u00fck riskli portf\u00f6y\u00fcn sa\u011flad\u0131\u011f\u0131, S&P500 endeksi i\u00e7in ise \u00e7al\u0131\u015fman\u0131n \u00f6n beklentisine paralel \u015fekilde riskli portf\u00f6ylerin sa\u011flad\u0131\u011f\u0131 tespit edilmi\u015ftir. BIST100 endeksi i\u00e7in 2016 y\u0131l\u0131 sert d\u00fc\u015f\u00fc\u015flerin ya\u015fand\u0131\u011f\u0131 bir y\u0131l olarak g\u00f6r\u00fcld\u00fc\u011f\u00fcnde, d\u00fc\u015f\u00fck riskli portf\u00f6ylerin daha y\u00fcksek getiri sa\u011flamas\u0131n\u0131n beklentilerle uyu\u015ftu\u011funu s\u00f6ylemek m\u00fcmk\u00fcnd\u00fcr. Son olarak ilgili endekslerde yer alan pay senetlerinden olu\u015fturulan d\u00fc\u015f\u00fck riskli portf\u00f6ylerin Sharpe (1966), Treynor (1965) performans \u00f6l\u00e7\u00fctlerine g\u00f6re daha iyi performans sergiledi\u011fi belirlenmi\u015ftir. 2016 y\u0131l\u0131 i\u00e7in her iki endeks paylar\u0131ndan olu\u015fturulan portf\u00f6ylerin performans sonu\u00e7lar\u0131na bak\u0131ld\u0131\u011f\u0131nda d\u00fc\u015f\u00fck riski tercih eden yat\u0131r\u0131mc\u0131lar\u0131n \u00f6ng\u00f6r\u00fclerinin ger\u00e7ekle\u015fti\u011fini belirtmek m\u00fcmk\u00fcnd\u00fcr.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nPortf\u00f6y Se\u00e7imi, Maksimum Beklenen D\u00fc\u015fme Noktas\u0131, BIST100, S&P500<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nG10, G11<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
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Makale Bilgileri Dergi: Business and Economics Research Journal Makalenin Ba\u015fl\u0131\u011f\u0131: Portf\u00f6y Se\u00e7iminde Expected Maximum Drawdown Yakla\u015f\u0131m\u0131:\u00a0BIST100 \u2013 S&P500 Uygulamas\u0131 Yazar(lar): Umut Uyar, Habib K\u00fc\u00e7\u00fck\u015fahin Cilt: 8 Say\u0131: 4 Y\u0131l: 2017 Sayfa: 727-748 ISSN: 1309-2448 DOI Numaras\u0131: 10.20409\/berj.2017.79 \u00d6z \u00c7al\u0131\u015fmada risk fakt\u00f6r\u00fc \u00f6l\u00e7\u00fcm\u00fcnde pratikte yat\u0131r\u0131m uzmanlar\u0131 ve fon y\u00f6neticileri taraf\u0131ndan s\u0131kl\u0131kla kullan\u0131lan en y\u00fcksek d\u00fc\u015fme noktas\u0131 […]<\/p>\n

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