Türkiye'de katılım ve konvansiyonel yatırım fonlarının getiri performanslarının istatistiksel açıdan karşılaştırılması ve alternatif portföy önerisi
Statistical comparison of the return performance of participation and conventional mutual funds in Türkiye and an alternative portfolio proposal
- Tez No: 982118
- Danışmanlar: DOÇ. DR. İBRAHİM SIRMA
- Tez Türü: Doktora
- Konular: Ekonomi, Economics
- Anahtar Kelimeler: Altın yatırım fonları, Katılım, Katılım bankacılığı, Menkul kıymet yatırım fonları, Portföy yatırımları, Gold mutual funds, Participation, Participation banking, Securities mutual funds, Portfolio investments
- Yıl: 2025
- Dil: Türkçe
- Üniversite: İstanbul Üniversitesi
- Enstitü: Sosyal Bilimler Enstitüsü
- Ana Bilim Dalı: İslam İktisadı ve Finansı Ana Bilim Dalı
- Bilim Dalı: İslam İktisadı ve Finansı Bilim Dalı
- Sayfa Sayısı: Belirtilmemiş.
Özet
Bu tezde, Türkiye'de faaliyet gösteren katılım ve konvansiyonel yatırım fonlarının performanslarının karşılaştırılması, küresel şoklara duyarlılıklarının ölçülmesi ve alternatif portföy optimizasyonu önerisi amaçlanmıştır. Çalışma üç ana bölümden oluşmaktadır. İlk bölümde, 31 Temmuz 2016 – 30 Kasım 2023 dönemine ait veriler kullanılarak yirmi dört yatırım fonunun getirileri COVID-19 öncesi, COVID-19 dönemi ve COVID-19 sonrası alt dönemlere ayrılarak incelenmiştir. Fonların risk ayarlı performans ölçümleri Sharpe, Düzeltilmiş Sharpe, Sortino, Treynor, M2, Jensen alfa, Bilgi oranı ve Beta katsayısı gibi metriklerle değerlendirilmiş; yöneticilerin menkul kıymet seçimi ve piyasa zamanlama becerileri Treynor-Mazuy ve Merton-Henriksson modelleri ile analiz edilmiştir. Elde edilen bulgular, COVID-19 öncesinde katılım fonlarının çeşitlendirme ve risk yönetimi açısından daha başarılı olduğunu, COVID-19 döneminde ise bazı fonların dalgalanmalara karşı dayanıklılığını sürdürdüğünü göstermiştir. İkinci bölümde, katılım ve konvansiyonel fonların küresel şoklara duyarlılığını ölçmek amacıyla, S&P 500 endeksi ile fon getirileri arasındaki kuyruk bağımlılığı 01/2022–11/2024 dönemi için günlük verilerle analiz edilmiştir. Sonuçlar, katılım fonlarının ekstrem piyasa hareketlerine karşı konvansiyonel fonlara kıyasla daha az hassas olduğunu, ancak aşırı negatif getirilerde benzer hareket etme eğilimi gösterdiklerini ortaya koymuştur. Üçüncü bölümde ise fonlar kullanılarak portföy optimizasyonu yapılmış, Markowitz Ortalama-Varyans modeli ve Hiyerarşik Risk Paritesi (HRP) yöntemleri uygulanmıştır. Bulgular, minimum volatilite ve hedef risk stratejilerinde katılım fonlarının daha düşük risk profili sunduğunu, HRP yönteminin ise özellikle katılım fonları açısından yüksek Sharpe oranları sağlayarak etkin bir çeşitlendirme aracı olduğunu göstermiştir. Sonuç olarak, katılım fonları konvansiyonel fonlara kıyasla kriz dönemlerinde daha dirençli ve düşük riskli bir alternatif olarak öne çıkmakta; HRP yöntemi ise yatırımcılar için etkin bir portföy stratejisi sunmaktadır.
Özet (Çeviri)
The financial system constitutes one of the most critical pillars of economic stability and sustainable development. Within this framework, the mutual fund industry has emerged as a vital investment vehicle, enabling investors with varying levels of financial literacy to diversify risk and achieve stable returns. In addition to conventional funds, the rapid growth of Islamic finance worldwide has led to the expansion of participation (Shariah-compliant) funds, which exclude interest-bearing and non-compliant activities such as alcohol, gambling, and excessive uncertainty (gharar). In Turkey, the mutual fund sector has developed significantly under the regulatory framework of the Capital Markets Board (SPK) and the TEFAS (Electronic Fund Trading Platform). Although the number and volume of participation funds have been steadily increasing, empirical evidence comparing their performance with conventional counterparts in the Turkish context remains limited. Existing studies in international literature report mixed results: some find no significant differences, while others identify participation funds as more resilient during crises. This dissertation aims to fill this research gap by providing a systematic and statistically rigorous comparison of the return performance of participation and conventional mutual funds in Turkey. Beyond performance analysis, it investigates their sensitivity to global shocks through tail dependence with the S&P 500 index and proposes alternative portfolio optimization strategies. In this way, the study not only contributes to academic literature but also offers practical insights for investors, fund managers, and policymakers. The empirical analysis relies on a sample of twenty-four mutual funds listed on TEFAS, comprising both participation and conventional funds. In the first chapter, the dataset covers the period from July 31, 2016, to November 30, 2023, allowing for a broad time horizon that includes major financial and economic shocks. To capture structural shifts, the overall period is divided into three subperiods: Pre-COVID-19 period (July 2016 – December 2019), COVID-19 crisis period (January 2020 – January 2022), Post-COVID-19 recovery period (February 2022 – November 2023). Monthly return series are used in line with prior literature to mitigate noise in daily data. Fund performance is measured through a comprehensive set of risk-adjusted indicators, including the Sharpe ratio, Modified Sharpe ratio, Sortino ratio, Treynor ratio, M2 measure, Jensen's alpha, Information ratio, and Beta coefficients. These metrics allow for an evaluation of performance under both systematic and idiosyncratic risk perspectives. In addition, Value-at-Risk (VaR) and Modified VaR are employed to assess downside risks more comprehensively. To evaluate managerial ability, the study applies Treynor-Mazuy and Merton-Henriksson models, which measure fund managers' security selection and market-timing skills. These models are particularly important in assessing whether managers can generate abnormal returns beyond what is explained by standard asset pricing models. In the second chapter of the dissertation, tail dependence analysis is conducted between Turkish mutual funds and the S&P 500 index using daily data from January 2022 to November 2024. This methodology focuses on extreme co-movements in the tails of the return distributions, thereby revealing systemic vulnerabilities and resilience of participation versus conventional funds under global shocks. Finally, the third chapter applies portfolio optimization techniques to evaluate investment strategies. Both Markowitz mean-variance optimization and the more advanced Hierarchical Risk Parity (HRP) method are implemented. While the Markowitz framework optimizes risk-return trade-offs under variance assumptions, HRP employs hierarchical clustering and recursive bisection to address issues of instability, multicollinearity, and concentration risk inherent in covariance-based optimization. The results of the first chapter demonstrate notable differences across time periods and fund types. Before the COVID-19 pandemic, participation funds outperformed conventional funds in terms of diversification and downside risk-adjusted performance. Metrics such as the Sharpe ratio, Modified Sharpe, and Sortino ratio place participation funds among the top ranks, indicating their efficiency in handling volatility. Jensen's alpha results also suggest that participation fund managers demonstrated effective security selection during this period. During the COVID-19 crisis, participation funds continued to show resilience. Several funds achieved higher returns under the CAPM framework compared to their conventional counterparts, suggesting that Shariah-compliant restrictions may have shielded them from excessive exposure to highly leveraged or speculative assets. Nevertheless, not all participation funds maintained superior performance, as some displayed high sensitivity to market fluctuations. The Treynor and Information ratios, for example, indicated mixed results across funds. In the post-COVID-19 recovery period, conventional funds regained strength, ranking higher in most risk-adjusted metrics. However, participation funds still preserved relatively lower volatility and downside risk, confirming their conservative nature. The findings highlight that while conventional funds may offer higher raw returns in stable periods, participation funds provide stability and risk mitigation during turbulent times. The second chapter of the dissertation reveals important insights regarding tail dependence with the S&P 500 index. Participation funds were found to be less sensitive to extreme global shocks compared to conventional funds. Yet, in periods of extreme negative returns, both fund types exhibited strong co-movements, indicating systemic risk contagion. This suggests that while participation funds may act as a cushion under moderate volatility, they are not fully immune to global crises. The third chapter evaluates portfolio optimization results. Under minimum volatility and target risk strategies, participation funds yielded lower-risk profiles than conventional funds. More strikingly, the HRP methodology consistently generated higher Sharpe ratios, particularly when participation funds were included in the portfolio. HRP's ability to control for asset concentration and enhance diversification appears especially valuable for investors seeking robust performance under uncertainty. These findings confirm that HRP represents a superior alternative to classical mean-variance optimization in emerging markets such as Turkey. From a policy perspective, the results highlight the importance of developing and promoting participation funds as an alternative investment class in Turkey. They offer not only ethical compliance but also measurable advantages in terms of resilience and risk-adjusted returns. For practitioners, the adoption of advanced optimization models such as HRP could enhance portfolio construction, especially in emerging and volatile markets. In conclusion, participation funds present themselves as a credible and resilient alternative to conventional funds, particularly in uncertain times, while HRP optimization provides a robust methodological advancement for portfolio management. This thesis therefore contributes to both the Islamic finance literature and practical investment strategies in Turkey, bridging a crucial gap in understanding the comparative performance and optimization of participation versus conventional funds.
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