A STUDY ON PERFORMANCE EVALUATION OF TURKISH MUTUAL FUNDS

Burçak Müge TUNAER (Dokuz Eylül University)

There exists three sources of controversy concerning the managed portfolio performance evaluations; (1) the benchmark efficiency, (2) question of the use of proper and the least biased measure, and (3) the statistical power of the measure to detect the statistically significant under or over - performances. This paper aims to contribute to the literature in two ways: By contrasting the different portfolio performance evaluation techniques, the investigation addresses the question of methodology and also benchmark sensitivity which may become a critical point on portfolio performance evaluations.

Treynor Measure, Jensen Measure, and Henriksson - Merton Measures are to be compared on a sample chosen out of Turkish mutual funds market, and the benchmark sensitivity is to be analysed using a variety of benchmarks for the purpose of this study.