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YATIRIM FONLARINDA PERFORMANS-AKIM İLİŞKİSİ ÜZERİNE AMPİRİK BİR ÇALIŞMA

Year 2019, , 107 - 132, 29.06.2019

Fatih Sağlık

https://doi.org/10.38122/ased.549701

Abstract

Bu çalışmanın konusunu yatırım fonu performansıyla yatırım fonuna dönük giriş-çıkışlar arasındaki
ilişkinin incelenmesi oluşturmaktadır. Bu kapsamda Türkiye’deki 280 adet yatırım fonuna ilişkin
17.02.2014-15.02.2019 dönemindeki günlük pay fiyatı, dolaşımdaki pay sayısı ve portföy büyüklüğü
bilgileri kullanılmıştır. Bu çalışmada, aynı zaman zarfında karşılaştırma yapılması durumunda
performans ile akım arasında pozitif veya negatif yönlü önemli bir ilişki tespit edilememiştir. Ancak
olumlu veya olumsuz fon performansının yatırımcılara ve yatırımcı kararlarına yansıması zaman
almaktadır. Bu nedenle, performans değerlerinin bir sonraki aylık, 3 aylık, 6 aylık ve yıllık dönemlerdeki
akım değerlerinin kıyaslanması sonucunda, fonların performansı ile normalin üzerinde fonlara yapılan
girişler arasında pozitif yönlü bir ilişki tespit edilmiştir. Genelde en yüksek performanslı fonlara olan
talep, ortalama fon talebinin çok üzerinde iken, en kötü performansı gösteren fonlardan ortalamadan
fazla çıkışlar ise, ortalama çıkışın çok üzerindedir. En iyi ve en kötü performanslı fon grupları dışındaki
gruplarda akımın performansa duyarlılığı büyük değişiklikler göstermemektedir. Dolayısıyla, akımın
performans duyarlılığı doğrusal olmayıp, uç performans gruplarına göre doğrusal bir ilişkiden beklenen
düzeyin çok üzerinde olmaktadır. 

Keywords

Yatırım Fonları Fon Performansı Fon Akımı Fon Türleri Yatırımcı Davranışları

References

  • Agarwal, Vikas, Naveen D. Daniel, ve Narayan Y. Naik. «Flows, performance, and managerial incentives in hedge funds.» Working paper, 2004: 30.
  • Arbaa, Ofer, Eva Varon, ve Uri Benzion. «The Effect of Performance on Israeli Equity Fund Flows.» Accounting and Finance Research, 6(4), October 2017: 272-284.
  • Berk, Jonathan, ve Ian Tonks. «Return Persistence and Fund Flows in the Worst Performing Mutual Funds.» NBER Working Paper, No. w13042, April 2007: 20.
  • Brborovic, Darko, ve Petra Posedel. «The Relation between Performance and Flows of Mutual Funds: Case of the Croatian Fund Market.» Applied Mathematics, 5(19), January 2014: 3067-3078.
  • Brown, K., V. Harlow, ve L Starks. «Of tournaments and temptations:an analysis of managerial incentives in the mutual fund industry.» Journal of Finance, 51, 1996: 85–110.
  • Brown, Stephen J., ve William N. Goetzmann. «Performance Persistence.» The Journal of Finance, Vol. 50, June 1995: 679-698.
  • Brown, Stephen J., William N. Goetzmann, ve James Park. «Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry.» The Journal of Finance 56(5), 2001: 1869-1886.
  • Chen, Qi, Itay Goldstein, ve Wei Jiang. «Payoff complementarities and financial fragility: Evidence from mutual fund outflows.» Journal of Financial Economics, 97, April 2010: 239–262.
  • Chen, Yong, ve Nan Qin. «The Behavior of Investor Flows in Corporate Bond Mutual Funds.» Management Science, 63(5), May 2017: 1271.
  • Chevalier, Judith, ve Glenn Ellison. «Risk taking by mutual funds as a response to incentives.» Journal of Political Economy, 1997: 1167–1200.
  • Christoffersen, Susan E. K., ve David K. Musto. «Demand Curves and the Pricing of.» Review of Financial Studies 15, 2002: 499–1524.
  • Christoffersen, Susan E.K., ve Haoyu Xu. «Investor Attrition and Fund Flows in Mutual Funds .» Journal of Financial and Quantitative Analysis, 52(3), 2017: 867-893.
  • Ferreira, Miguel A., Aneel Keswani, António F. Miguel, ve Sofia B. Ramos. «The Determinants of Mutual Fund Performance: A Cross-Country Study.» Review of Finance, 17(2), April 2013: 483–525.
  • Festinger, L. A theory of cognitive dissonance. Stanford University Press, 1957.
  • Getmansky, Mila, Peter A. Lee, ve Andrew W. Lo. «Hedge Funds: A Dynamic Industry In Transition.» NBER Working Paper No. 21449, August 2015: 104.
  • Goetzmann, William N., ve Nadav Peles. «Cognitive Dissonance and Mutual Fund Investors.» Journal of Financial Research, 20/2, July 2002: 145-58.
  • Goldstein, Itay, Hao Jiang, ve David T. Ng. «Investor flows and fragility in corporate bond funds.» Journal of Financial Economics, 126, September 2017: 592-613.
  • Gruber, Martin J. «Another Puzzle: The Growth in Actively Managed Mutual Funds.» The Journal of Finance, Vol. 51, No. 3, July 1996: 783-810.
  • Guercio, Diane Del, ve Paula Tkac. «The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds.» Journal of Financial and Quantitative Analysis, 37(4), 2002: 523-557.
  • Huang, Jennifer C., Kelsey D. Wei, ve Hong Yan. «Investor Learning and Mutual Fund Flows.» AFA 2012 Chicago Meetings Paper, January 2012: 25-27.
  • Huang, Jennifer, Kelsey D. Wei, ve Hong Yan. «Participation Costs and the Sensitivity of Fund Flows to Past Performance .» The Journal of Finance, 62(3), June 2007: 1273-1311.
  • Ippolito, R. «Consumer reaction to measures of poor quality: Evidence from mutual funds.» Journal of Law and Economics, Vol. 35 1992: 45-70.
  • Ivkovic, Zoran, ve Scott Weisbenner. «Individual investor mutual fund flows.» Journal of Financial Economics, 92(2), 2009: 223-237.
  • Jain, Prem C., ve Joanna Shuang Wu. «Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows.» The Journal of Finance, 55(2), April 2000: 937-958.
  • Jensen, Michael C. «The Performance of Mutual Funds in the Period 1945-1964.» The Journal of Finance, May 1968: 389-416.
  • Kaniel, Ron, ve Robert Parham. «WSJ Category Kings – The impact of media attention on consumer and mutual fund investment decisions.» Journal of Financial Economics 123(2), February 2017: 337-356.
  • Leung, David, ve Max Kwong. «The Flow-Performance Relationship in Emerging Market Bond Funds.» Hong Kong Institute For Monetary Research Working Paper No.4/2018, January 2018: 23.
  • Lynch, Anthony W., ve David K. Musto. «How Investors Interpret Past Fund Returns.» The Journal of Finance, October 2003: 2033-2058.Sermaye Piyasasında Gündem. Şubat 2019.
  • Sirri, Erik R., ve Peter Tufano. «Costly Search and Mutual Fund Flows.» The Journal of Finance, Vol. LIII, No.5, October 1998: 1589-1622.
  • Spiegel, Matthew I., ve Hong Zhang. «Mutual Fund Risk and Market Share Adjusted Fund Flows.» Journal of Financial Economics 108(2), 2013: 506-528.
  • TEFAS. 17 02 2019. www.tefas.gov.tr.
  • Wermers, Russ. «Is money really “smart”? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence.» Working paper, 2003: 36-37.
  • Zhao, X. «Determinants of Flows into Retail Bond Funds.» Financial Analysts Journal, 61(4), 2005: 47–59.

THE PERFORMANCE-FLOW RELATIONSHIP IN MUTUAL FUNDS: AN EMPIRICAL ANALYSIS

Year 2019, , 107 - 132, 29.06.2019

Fatih Sağlık

https://doi.org/10.38122/ased.549701

Abstract

This paper examines the impact of the most recent performance of mutual funds in Turkey on their net
flows, using the data between February 2014 and February 2019. The data include daily unit price,
number of units in circulation, portfolio size of 280 mutual funds operating in Turkey. Based on
methodology, in which fund performances in current selected time periods, namely one month, three
months, six months and a year, stack up against fund flows in next periods, this paper shows positive
relationship between past performance and flow in the Turkish mutual fund industry. This relationship
tends to be non-linear, suggesting flow-performance sensitivity is stronger for funds with best
performance (inflow above industry average) and worst performance (outflow above industry average)
while it is weaker for funds with average performance.  

Keywords

Mutual Funds Fund Performance Fund Flow Fund Types Investor Behaviours

References

  • Agarwal, Vikas, Naveen D. Daniel, ve Narayan Y. Naik. «Flows, performance, and managerial incentives in hedge funds.» Working paper, 2004: 30.
  • Arbaa, Ofer, Eva Varon, ve Uri Benzion. «The Effect of Performance on Israeli Equity Fund Flows.» Accounting and Finance Research, 6(4), October 2017: 272-284.
  • Berk, Jonathan, ve Ian Tonks. «Return Persistence and Fund Flows in the Worst Performing Mutual Funds.» NBER Working Paper, No. w13042, April 2007: 20.
  • Brborovic, Darko, ve Petra Posedel. «The Relation between Performance and Flows of Mutual Funds: Case of the Croatian Fund Market.» Applied Mathematics, 5(19), January 2014: 3067-3078.
  • Brown, K., V. Harlow, ve L Starks. «Of tournaments and temptations:an analysis of managerial incentives in the mutual fund industry.» Journal of Finance, 51, 1996: 85–110.
  • Brown, Stephen J., ve William N. Goetzmann. «Performance Persistence.» The Journal of Finance, Vol. 50, June 1995: 679-698.
  • Brown, Stephen J., William N. Goetzmann, ve James Park. «Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry.» The Journal of Finance 56(5), 2001: 1869-1886.
  • Chen, Qi, Itay Goldstein, ve Wei Jiang. «Payoff complementarities and financial fragility: Evidence from mutual fund outflows.» Journal of Financial Economics, 97, April 2010: 239–262.
  • Chen, Yong, ve Nan Qin. «The Behavior of Investor Flows in Corporate Bond Mutual Funds.» Management Science, 63(5), May 2017: 1271.
  • Chevalier, Judith, ve Glenn Ellison. «Risk taking by mutual funds as a response to incentives.» Journal of Political Economy, 1997: 1167–1200.
  • Christoffersen, Susan E. K., ve David K. Musto. «Demand Curves and the Pricing of.» Review of Financial Studies 15, 2002: 499–1524.
  • Christoffersen, Susan E.K., ve Haoyu Xu. «Investor Attrition and Fund Flows in Mutual Funds .» Journal of Financial and Quantitative Analysis, 52(3), 2017: 867-893.
  • Ferreira, Miguel A., Aneel Keswani, António F. Miguel, ve Sofia B. Ramos. «The Determinants of Mutual Fund Performance: A Cross-Country Study.» Review of Finance, 17(2), April 2013: 483–525.
  • Festinger, L. A theory of cognitive dissonance. Stanford University Press, 1957.
  • Getmansky, Mila, Peter A. Lee, ve Andrew W. Lo. «Hedge Funds: A Dynamic Industry In Transition.» NBER Working Paper No. 21449, August 2015: 104.
  • Goetzmann, William N., ve Nadav Peles. «Cognitive Dissonance and Mutual Fund Investors.» Journal of Financial Research, 20/2, July 2002: 145-58.
  • Goldstein, Itay, Hao Jiang, ve David T. Ng. «Investor flows and fragility in corporate bond funds.» Journal of Financial Economics, 126, September 2017: 592-613.
  • Gruber, Martin J. «Another Puzzle: The Growth in Actively Managed Mutual Funds.» The Journal of Finance, Vol. 51, No. 3, July 1996: 783-810.
  • Guercio, Diane Del, ve Paula Tkac. «The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds.» Journal of Financial and Quantitative Analysis, 37(4), 2002: 523-557.
  • Huang, Jennifer C., Kelsey D. Wei, ve Hong Yan. «Investor Learning and Mutual Fund Flows.» AFA 2012 Chicago Meetings Paper, January 2012: 25-27.
  • Huang, Jennifer, Kelsey D. Wei, ve Hong Yan. «Participation Costs and the Sensitivity of Fund Flows to Past Performance .» The Journal of Finance, 62(3), June 2007: 1273-1311.
  • Ippolito, R. «Consumer reaction to measures of poor quality: Evidence from mutual funds.» Journal of Law and Economics, Vol. 35 1992: 45-70.
  • Ivkovic, Zoran, ve Scott Weisbenner. «Individual investor mutual fund flows.» Journal of Financial Economics, 92(2), 2009: 223-237.
  • Jain, Prem C., ve Joanna Shuang Wu. «Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows.» The Journal of Finance, 55(2), April 2000: 937-958.
  • Jensen, Michael C. «The Performance of Mutual Funds in the Period 1945-1964.» The Journal of Finance, May 1968: 389-416.
  • Kaniel, Ron, ve Robert Parham. «WSJ Category Kings – The impact of media attention on consumer and mutual fund investment decisions.» Journal of Financial Economics 123(2), February 2017: 337-356.
  • Leung, David, ve Max Kwong. «The Flow-Performance Relationship in Emerging Market Bond Funds.» Hong Kong Institute For Monetary Research Working Paper No.4/2018, January 2018: 23.
  • Lynch, Anthony W., ve David K. Musto. «How Investors Interpret Past Fund Returns.» The Journal of Finance, October 2003: 2033-2058.Sermaye Piyasasında Gündem. Şubat 2019.
  • Sirri, Erik R., ve Peter Tufano. «Costly Search and Mutual Fund Flows.» The Journal of Finance, Vol. LIII, No.5, October 1998: 1589-1622.
  • Spiegel, Matthew I., ve Hong Zhang. «Mutual Fund Risk and Market Share Adjusted Fund Flows.» Journal of Financial Economics 108(2), 2013: 506-528.
  • TEFAS. 17 02 2019. www.tefas.gov.tr.
  • Wermers, Russ. «Is money really “smart”? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence.» Working paper, 2003: 36-37.
  • Zhao, X. «Determinants of Flows into Retail Bond Funds.» Financial Analysts Journal, 61(4), 2005: 47–59.
There are 33 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Fatih Sağlık

Publication Date June 29, 2019
Acceptance Date June 29, 2019
Published in Issue Year 2019

Cite

APA Sağlık, F. (2019). YATIRIM FONLARINDA PERFORMANS-AKIM İLİŞKİSİ ÜZERİNE AMPİRİK BİR ÇALIŞMA. Aksaray Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 3(1), 107-132. https://doi.org/10.38122/ased.549701
AMA Sağlık F. YATIRIM FONLARINDA PERFORMANS-AKIM İLİŞKİSİ ÜZERİNE AMPİRİK BİR ÇALIŞMA. ASED. June 2019;3(1):107-132. doi:10.38122/ased.549701
Chicago Sağlık, Fatih. “YATIRIM FONLARINDA PERFORMANS-AKIM İLİŞKİSİ ÜZERİNE AMPİRİK BİR ÇALIŞMA”. Aksaray Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 3, no. 1 (June 2019): 107-32. https://doi.org/10.38122/ased.549701.
EndNote Sağlık F (June 1, 2019) YATIRIM FONLARINDA PERFORMANS-AKIM İLİŞKİSİ ÜZERİNE AMPİRİK BİR ÇALIŞMA. Aksaray Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 3 1 107–132.
IEEE F. Sağlık, “YATIRIM FONLARINDA PERFORMANS-AKIM İLİŞKİSİ ÜZERİNE AMPİRİK BİR ÇALIŞMA”, ASED, vol. 3, no. 1, pp. 107–132, 2019, doi: 10.38122/ased.549701.
ISNAD Sağlık, Fatih. “YATIRIM FONLARINDA PERFORMANS-AKIM İLİŞKİSİ ÜZERİNE AMPİRİK BİR ÇALIŞMA”. Aksaray Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 3/1 (June 2019), 107-132. https://doi.org/10.38122/ased.549701.
JAMA Sağlık F. YATIRIM FONLARINDA PERFORMANS-AKIM İLİŞKİSİ ÜZERİNE AMPİRİK BİR ÇALIŞMA. ASED. 2019;3:107–132.
MLA Sağlık, Fatih. “YATIRIM FONLARINDA PERFORMANS-AKIM İLİŞKİSİ ÜZERİNE AMPİRİK BİR ÇALIŞMA”. Aksaray Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, vol. 3, no. 1, 2019, pp. 107-32, doi:10.38122/ased.549701.
Vancouver Sağlık F. YATIRIM FONLARINDA PERFORMANS-AKIM İLİŞKİSİ ÜZERİNE AMPİRİK BİR ÇALIŞMA. ASED. 2019;3(1):107-32.