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Measuring The Performance of Fund Managers with The Multiple Criteria Decision Making Method
Selim Aren, Hatice Nayman Hamamci
Pages - 17 - 30     |    Revised - 16-12-2021     |    Published - 01-09-2021
Volume - 0   Issue - 0    |    Publication Date -   Table of Contents
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KEYWORDS
Fund Manager Performance, Sharpe Ratio, Downside Capture Ratio, Upside Capture Ratio.
ABSTRACT
The performance of the funds has always been important for investors and has affected their investment preferences. Different factors such as managers' characters or performances has come to the fore in evaluation of funds' performance with the developments of behavioral finance field. For this reason, the relationship between managers' characters or performances and funds' performance has become the focus of researchers besides the effect of other outputs. For this purpose, it was aimed to measure the performances of fund managers who worked as stock fund managers in every year between 2008-2017. In addition, it was aimed to look for the answer to the question of are the success of managers continue by the years. In this context, the return of manager (%), Sharpe ratio, downside capture ratio and upside capture ratio were preferred as performance indicators of fund managers. The determined indicators were calculated with the help of the Finnet Analysis Expert program. TOPSIS method, which is one of the multi-criteria decision-making methods, was used to rank the performance of fund managers using these indicators. Calculations related to the TOPSIS method were made with Microsoft Excel. As a result, 15 fund managers, who were worked as manager between the relevant years consistently, were identified with the help of Finnet Analysis Expert program. An empirical finding was provided to the statement that no fund manager can show high performance for all years expressed theoretically in the literature. In a word, it was found that the success of the fund managers is mostly accidental.
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Professor Selim Aren
Faculty of Economics and Administrative Sciences, Yildiz Technical University - Turkey
selimaren@hotmail.com
Mrs. Hatice Nayman Hamamci
Faculty of Economics and Administrative Sciences, Yildiz Technical University - Turkey