Yatırım fonları ve portföy yönetimi açısından değerlendirilmesi
Başlık çevirisi mevcut değil.
- Tez No: 21999
- Danışmanlar: DOÇ. DR. MEHMET BOLAK
- Tez Türü: Yüksek Lisans
- Konular: İşletme, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1992
- Dil: Türkçe
- Üniversite: İstanbul Teknik Üniversitesi
- Enstitü: Fen Bilimleri Enstitüsü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 197
Özet
ÖZET Sermaye piyasası, orta ve uzun vadeli fon talebi ile fon arzında bulunan ekonomik birimlerin bir araya geldiği pazarlardır. Ekonomide tasarruflar ve yatırımlar farklı kişi ve kurumlar tarafından gerçekleştirilir. Bir yandan tasarruflar oluşurken diğer yandan yatırımlar için bu tasarruflara ihtiyaç duyan girişimciler bulunmaktadır. Finansal aracı kuruluşlar kişi ve kuruluşların tasarruflarını, fon ihtiyacı duyan yatırımcılara aktaran modern ekonomilerin vazgeçilmez araçlarından biridir. Bir ekonomide tasarrufların, tasarruf sahiplerinden fon açığı olan ekonomik birimlere akışında aracılık eden kuruluşlardan ikisi de 1982' de yürürlüğe giren Sermaye Piyasası Kanunu ile düzenlenen Menkul Kıymetler Yatırım Fonları ve Menkul Kıymetler Yatırım Ortaklıkları 'dır. ülkemizde yatırım ortaklıklarının kurulup faaliyete geçmesi uzun bir süreç izlemiş ilk yatırım ortaklığı Eylül 1991" de kurulan Vakıf Menkul Kıymetler Yatırım Ortaklığı olmuştur. Buna karşın yatırım fonları ilk kez 1987 yılında faaliyete geçmeye başlamış ve kurulan fonların sayısı hızla artarak bugün bu sayı 74 'e ulaşmıştır. Genel olarak kollektif yatırım kurumları olarak nitelendirebileceğimiz bu kuruluşlar, halkın küçük ve dağınık tasarruflarından meydana gelen fonları toplayan ve bu fonları riskin dağıtılması ilkesine göre menkul kıymetlere yatırım yaparak harekete geçiren mali aracı kurumlardır. Bu çalışmanın konusunu oluşturan yatırım fonları, Türkiye'de bugün sadece bankaların kurmasına izin verilen, sözleşmeye dayanan kollektif bir yatırım kurumudur. Ancak diğer pek çok yabancı ülkede uygulandığı üzere sigorta şirketlerinin de yatırım fonları kurması ile ilgili çalışmalar devam etmektedir. Gelişmiş pek çok ülkenin sermaye pazarlarında etkin faaliyetler gösteren yatırım fonları, özellikle son yıllarda ülkemizde de gelişen bir kurum görünümündedir. vııBu çalışmada yatırım fonları, birbiriyle bağıntılı dört ana bölümde incelenerek, yatırım fonlarının ne olduğu, çeşitli ülkelerde ve ayrıntılı olarak ülkemizde işleyiş özellikleri portföy yönetimi konusuna da yer verilerek açıklanmaya çalışılmıştır. - Birinci bölümde, kollektif yatırım kurumlarının ne olduğuna dair kısa bir açıklama yapıldıktan sonra, uygulamada genellikle birbirine karıştırılan yatırım fonları ile yatırım ortaklıkları arasındaki bazı farklara değinilmiştir. İkinci bölümde ayrıntılı olarak yatırım fonları, kuruluş biçimleri, çeşitli kriterlere göre türleri, ülkemizdeki uygulamayla bir karşılaştırma imkanı yaratması amacıyla çeşitli ülkelerdeki uygulamaları da ele alınarak anlatılmıştır. üçüncü bölüm, yatırım fonlarının amacının ve görevinin bir menkul kıymetler portföyünün yönetilmesi olması sebebiyle, portföy yönetimi konusunun ele alındığı bölümdür. Dördüncü bölümde, Türkiye'deki menkul kıymetler yatırım fonlarının işleyişi, yasal düzenlemeler çerçevesinde ayrıntılı olarak anlatılmış, ülkemizdeki mevcut yatırım fonları uygulamalarına ve bunlarla ilgili sayısal verilere yer verilmiştir. Son olarak ilk kurulan 16 adet yatırım fonunun çeşitli kriterlere göre performanslarını ölçen sayısal bir çalışma yapılmıştır. vııı
Özet (Çeviri)
SUMMARY The purpose of financial markets is to promote the efficient allocation of funds from suppliers of funds (net surplus units) to demanders of funds (net deficit units). There are two broad categories of financial markets: capital markets and the money market. Capital market transactions involve long-term financing or investment in the form of either debt (bonds), equity (common stock or preferred stock), or various hybrid securities. The money market deals only in short-term debt securities. Money market instruments generally mature in under one year, but some take up to three years. Long-term financing is provided by capital markets and takes the form of equity or debt securities. Generally we can think of equity securities as providing some measure of ownership and control over the firm, along with some promise of a share in the profits. Debt securities, on the other hand, promise only, a fixed payment, but that payment takes priority over dividends on equity if the firm gets into financial trouble. As it is mentioned above there are suppliers and demanders of funds in capital markets. In addition to suppliers and demanders of funds, capital market participants also include financial institutions, which facilitate transactions by serving as indermediaries. Financial intermediaries make markets for securities by bringing buyers and sellers together. Two of the financial institutions are investment companies and mutual funds which have been introduced to our capital market recently. IXAn investment company can be defined as a financial service organization that sell shares in itself to the public and uses the funds it raises to invest in a portfolio of securities such as stocks and bonds. By pooling the funds of investors, a widely diversified set of financial assets can be purchased and the company can offer its owners a variety of services. At the moment, the only investment company in Turkey is named as“Vakıf Menkul Kıymetler Yatırım Ortaklığı”which was established in September 1991. On the other hand mutual funds had become an extremely popular investment alternative by the dawn of the 1990' s. In 1987, there were only seven mutual funds. At the end of 1991, the number of mutual funds exceeded this number by a considerable amount, reaching 74. Mutual funds invest the savings of individuals in various securities traded on secondary markets. Instead of owning these securities directly, investors own shares in the fund. Fund shares are not traded but, mutual funds commit to redeeming their shares at current market value. Funds differ in their investment objectives and mix of securities. In this study, mutual funds have been first examined and then applications of mutual funds regulated by the Capital Market Law in Turkey have been explained in detail. Furthermore, since mutual funds manage a portfolio of securities, portfolio management concept has been explained in the third part of the thesis. Finally in order to measure the performances of some of the first established mutual funds, an application related to performance measurement has been done. The purpose of this study is - to analyze in detail mutual funds in Turkey, - to get an idea of operation of mutual funds in some developed countries, - to show a way in order to manage the funds more efficiently by explaining portfolio management concept,- by measuring performances of some of the mutual funds in Turkey to see how well they have done their jobs, in other words, to see if they outperformed the market. In the first part, after collective investment institutions had been defined, the differences between investment companies and mutual funds have been explained especially by considering the regulations on these financial institutions in Turkey. Although both institutions have the same aim, which is“fund management”, there are especially some legal differences between them. First of all, investment companies are established in the form of joint-stock corporations which have the purpose of performing the management of securities portfolio whereas mutual funds are established based on an agreement and they do not have a legal entity. However, a mutual fund's assets are separate from those of management company. Management company (trust) is the one side of this agreement. The other sides are“trustee”(or custodian, generally a bank) and“share certificates holders”. Secondly, investment companies do not redeem their shares, their shareholders sell their shares in the secondary market. Unlike this feature of investment companies, mutual funds continuously sell and repurchase their share certificates based on investor demand. In other words, they have to redeem their share certificates whenever investors wish. In the second part, mutual funds have been examined in detail. Following the history of mutual funds briefly touched, benefits of mutual funds both for small investors and national economy have been explained. Mutual funds offer a range of diversification to the small investors that they could not otherwise afford. The main purpose of mutual funds is to increase income and/or lower risk for the share certificate holders. Thus they appeal mainly to small investors. Thus the individuals are able to benefit from professional management to obtain reduction in risk, access to specialist financial techniques or instruments and economies of scale. The small investor can, by buying as little as one share certificate of mutual fund, achieve diversification and professional management at extremely small cost. The investor with little money may not be able to do same thing anywhere else by achieving the same results (For example, by investing on his own). xiOn the other hand, by providing investors with new types of investment opportunities, mutual funds increase financial savings and improve the allocation of funds in the economy. Mutual funds are established by means of two models: Cash method and appropriation method. In cash method; share certificates are sold to the public first, then the fund which was collected from the public is invested in financial assets. In appropriation method; after the management company provided the fund and invested it in financial assets the share certificates are issued to be sold to the investors. The fifth section of the second part covers this subject. As explained in detail in the sixth section of the second part, there are two main types of mutual funds namely open-end and closed-end mutual funds. These two types have their own features. Open-end mutual funds sell and buy their own share certificates on a continuing basis. The number of share certificates outstanding, therefore, keeps on changing. The fund can expand since new shares are issued if people wish to invest in the fund, conversely, they must contract if redemptions are greater than new purchases. Closed-end mutual funds do not sell their share certificates on a continuing basis after their initial offering. Thus their capital size is limited. Unlike the open-end mutual funds, owners of the share certificates in a closed-end mutual fund can not require the fund to redeem its share certificates. They need to sell them in the securities markets for whatever price they may bring. Mutual funds can also be classified into two groups as the funds distrubiting profit and the funds holding profit according to their profit distribution. If we consider the portfolio structure of the funds as a classification criteria, they can also be classified as composite funds and specialized funds. One more classification can be made by the investment targets of the funds. These funds can be named as rapid growth funds, growth funds, growth and income funds, income funds, bond funds. XIIThere are also country funds which have been briefly touched in the tenth section of the same part. At the end of the second part, the mutual fund experiences of some of the countries and share certificates (fund certificates) of the funds have been explained respectively. In the third part, since mutual funds deal with portfolio management, the portfolio management concept has been analyzed. Firstly, the risk concept related to investing in financial assets have been explained in two groups : Systematic and unsystematic risk. Components of systematic risk are inflation risk, interest rate risk, market risk, and political risk. Components of unsystematic risk are financial risk, management risk, business and industry risk. It is considered that this type of risk can be eliminated by performing a well- diversified portfolio. Secondly, after portfolio concept have been defined, the traditional and the modern portfolio theory have been examined. In the modern portfolio theory, it is analyzed how to reduce unsystematic risk and perform the optimal portfolio by using certain techniques -both mathematical and statistical found by Markowitz and developed by Sharpe. After the“ Financial Assets Evaluation Model”in which riskless financial asset has been taken into account for determining the optimal portfolio has been examined, as a very essential part of the portfolio management, the methods of performance measurement have been dealt with covered at the end of the third part. In the fourth and the last part, mutual fund experience in Turkey has been explained. After giving a short history, applications of mutual funds regulated by the Capital Market Law have been explained in detail. xixiIn Turkey mutual funds were introduced to the capital market in 1981 by the Capital Market Law. Although they were regulated by the Capital Market Law in July 1981, the first mutual fund, îş Yatırım, was established in the seventh month of 1987. According to the Capital Market Law only banks can establish a mutual fund. However, some studies are in progress in order to enable the insurance companies to establish mutual funds, too. In Turkey the management company and the custodian side of the agreement is a bank. A bank can have more than one fund. In order to establish a mutual fund, an internal regulation has to be prepared and the required procedure should be followed. This procedure has been explained in the Section 4.2.2. Mutual funds must be established according to the appropriation method. Mutual funds in Turkey are open- end type mutual funds since mangement company has the right of increasing its capital level. However, in practice, they need to get the approval of the Ministry of Finance and the decision of the court. This regulation reduces the freedom of movement in increasing the capital level of the funds and banks prefer establishing new funds instead. This application reveals that the funds act like closed-end type. But, since the funds redeem their share certificates, they are considered semi open-end mutual funds. In the second section of the fourth part, some of the securities on which mutual funds can invest have been briefly touched. Finally, the number and the amounts of the existing mutual funds and portfolio structure of mutual funds have been explained along with tables and graphics. Then an application about measuring the performances of some of the first established mutual funds has been done. xiv
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