Publication: Portföy yönetiminde yeniden dengeleme ve bir uygulama
Abstract
Portföy yönetimi üzerine yapılan çalışmaların temeli risk ve getiri arasındaki ilişkiye dayandırılmıştır. Bu bağlamda portföy yönetimi üzerine birçok strateji geliştirilmiştir. Portföy yönetimi stratejilerinden biri olan yeniden dengeleme stratejisi, portföy içinde fiyatı yükselen menkul kıymetlerin portföyün başlangıçtaki hedef ağırlıklandırılmasına ulaşılana kadar satılıp, portföy içinde fiyatı düşen menkul kıymetlerin satın alarak portföy riskinin ve getirisinin kontrol altında tutulmasını amaçlamaktadır. Yeniden dengeleme stratejisi üzerine yapılan çalışmalarda, yeniden dengelemenin her durumda portföy riskini azalttığı gözlemlenmiştir. Fakat yeniden dengeleme stratejisi portföyü oluşturan menkul kıymetler arasındaki özelliklere ve piyasa koşullarına bağlı olarak bazı durumlarda dengelenmeyen portföye göre getiriyi artıramamıştır. Bu çalışmada Türkiye menkul kıymet piyasalarında oluşturulmuş varsayımsal portföylere yeniden dengeleme stratejisini uygulayarak Markowitz’ in portföy getirisinden daha fazla getiriyi daha düşük risk seviyesinde elde edilip edilemeyeceği test edilmiştir. Bu çalışmada portföylere yeniden dengeleme uygulanırken yeniden dengelemenin yarattığı maliyetler yok sayılmıştır. Elde edilen sonuçlarda yeniden dengelenen portföylerin her durumda portföy riskini azalttığı gözlemlenmiştir.
REBALANCING IN PORTFOLIO MANAGEMENT AND APPLICATION Studies on portfolio management are based on the relation between risk and return. Many strategies are developed on portfolio management on this context. Rebalancing strategy, which is one of portfolio strategies, aims to control the portfolio risk and return by selling the securities with increased price before they reach the target weighting at the beginning and buying the securities with the decreased price. It is observed in the studies on rebalancing strategies that rebalancing decreases portfolio risk in all cases. However rebalancing strategy could not raise the return in accordance with the unbalanced portfolio in some cases depending on the characteristics between the effects composing the portfolio and the market conditions. In this study, rebalancing strategy is applied to hypothetical portfolios of Turkish securities market and it is tested if more return could be derived with lower risk by this way from Markowitz’s portfolio return. Costs of rebalancing are ignored when rebalancing is applied to portfolios in this study. It is observed in the obtained results that rebalanced portfolios reduce the portfolio risk in every case.
REBALANCING IN PORTFOLIO MANAGEMENT AND APPLICATION Studies on portfolio management are based on the relation between risk and return. Many strategies are developed on portfolio management on this context. Rebalancing strategy, which is one of portfolio strategies, aims to control the portfolio risk and return by selling the securities with increased price before they reach the target weighting at the beginning and buying the securities with the decreased price. It is observed in the studies on rebalancing strategies that rebalancing decreases portfolio risk in all cases. However rebalancing strategy could not raise the return in accordance with the unbalanced portfolio in some cases depending on the characteristics between the effects composing the portfolio and the market conditions. In this study, rebalancing strategy is applied to hypothetical portfolios of Turkish securities market and it is tested if more return could be derived with lower risk by this way from Markowitz’s portfolio return. Costs of rebalancing are ignored when rebalancing is applied to portfolios in this study. It is observed in the obtained results that rebalanced portfolios reduce the portfolio risk in every case.