Research Article
BibTex RIS Cite

Türkiye’de Sürdürülebilir Temalı Fonların Geleneksel Fonlarla Karşılaştırmalı Performans Analizi

Year 2022, Volume: 7 Issue: Özel Sayı, 123 - 139, 24.10.2022
https://doi.org/10.30784/epfad.1148841

Abstract

Sürdürülebilir finans çevresel ve sosyal yatırım anlayışla gelecek nesillere daha yaşanabilir dünya bırakmak için ekonomik aktivitenin çevreye ve topluma duyarlı üretim anlayışının gelişmesine katkı sağlamayı amaçlamaktadır. Yatırımcıların sosyal sorumlu yatırım anlayışıyla yatırım yapma düşüncesini sürdürülebilir temalı fonlarla geleneksel temalı fonların performanslarının karşılaştırılmasının önemini arttırmaktadır. Bu çalışmada Türkiye’de sürdürülebilir temalı fonların geleneksel fonlarla ve endekslerle performansları karşılaştırmalı olarak analiz edilmiştir. Sürdürülebilir fonların pazar endeksi olarak BİST Sürdürülebilir endeksi (XUSRD); geleneksel fonların pazar endeksi olarak ise BİST100 endeksi (XU100) seçilmiştir. Türkiye’de sürdürülebilir fonların tarihinin çok eski olmamasından dolayı veri dönemi olarak 2019-2022 yılları günlük verileri analiz edilmiştir. Çalışmada ilk olarak fonların performansları yıllık getiri, standart hata, Sharpe oranı, Jensen alfası ve Treyner ölçütü ile karşılaştırılmıştır. Çalışmanın devamında XU100 ve XUSRD pazar portföyü olarak seçilerek Sermaye Varlıkları Fiyatlama Modeli (SVFM) ile portföylerin getirileri ve sistemik riskleri elde edilmiştir. Çalışmadan elde edilen sonuçlara göre sürdürülebilir temalı fonların performanslarının geleneksel ikamelerine ve pazar endekslerine kıyasla daha iyi olduğu gözlemlenmiştir.

References

  • Amenc, N. and Sourd, V.L. (2008). Socially responsible investment performance in France (EDHEC-Risk Institute Report). Retrieved from https://www.longfinance.net/programmes/sustainable-futures/london-accord/reports/socially-responsible-investment-performance-in-france/
  • Borsa İstanbul Sürdürülebilirlik Rehberi. (2016). Şirketler için sürdürülebilirlik rehberi. Erişim adresi: https://www.borsaistanbul.com/data/kilavuzlar/surdurulebilirlik-rehberi.pdf
  • Camp, J. (2018). Socially responsible investment performance and the financial System (Unpublished doctoral dissertation). Radboud University, Nijmegen, Netherlands. Çimen, A. (2019). Sürdürülebilir finans (1. bs.). Bursa: Ekin Basın Yayın Dağıtım.
  • European Comission. (2017). One planet submit report. Retrieved from https://www.oneplanetsummit.fr/sites/default/files/2018-09/OneplanetSummit_ReviewOfTheCom mitments_VGB_1.pdf
  • Global Sustainable Investment Review. (2020). Global sustainable (Global Sustainable Investment Alliance). Retrieved from http://www.gsi-alliance.org/wp-content/uploads/2021/08/GSIR-20201.pdf
  • Global Sustainable Investment Alliance. (2021). Global sustainable (Global Sustainable Investment Alliance). GSI-alliance. Retrieved from http://www.gsi-alliance.org/wp- content/uploads/2021/08/GSIR-20201.pdf
  • Gök, İ.Y. ve Özdemir, O. (2017). Borsa İstanbul sürdürülebilirlik endeksinin performans karakteristiği. Sosyoekonomi, 25(34), 87-105. doi:10.17233/sosyoekonomi.290838
  • Gündoğdu, A. (2019). Türkiye’de sürdürülebilir finans uygulamaları (1. bs.). Ankara: Gazi Kitabevi.
  • Ibikunle, G. and Steffen, T. (2015). European green mutual fund performance: A comparative analysis with their conventional and black peers. Journal of Business Ethics, 145, 337–355. https://doi.org/10.1007/s10551-015-2850-7
  • Jin, J. and Han, L. (2018). Assessment of Chinese green funds: Performance and industry allocation. Journal of Cleaner Production, 171(10), 1084-1093. https://doi.org/10.1016/j.jclepro.2017.09.211
  • Kuşat, N. (2019). Bir kalkınma anlayışı olarak sürdürülebilirlik. A. Gündoğdu (Ed.), Türkiye’de sürdürülebilir finans uygulamaları içinde (s. 1-50). Ankara: Gazi Kitabevi.
  • Lean, H.H., Rong, W. and Smyth, R. (2015). Performance and performance persistence of socially responsible investment funds in Europe and North America. The North American Journal of Economics and Finance, 34, 254-266. doi:10.1016/j.najef.2015.09.011
  • Martí-Ballester, C.P. (2021). Analysing the financial performance of sustainable development goals-themed mutual funds in China. Sustainable Production and Consumption, 27, 858-872. https://doi.org/10.1016/j.spc.2021.02.011
  • Morningstar. (2022). ESG investing history. Retrieved from https://www.morningstar.com/features/esg-investing-history
  • Okuyan, H.A. ve Deniz, D. (2020). Türkiye’de sosyal sorumlu yatırımların performansları: BIST sürdürülebilirlik endeksi uygulaması. Business and Management Studies: An International Journal, 8(2), 2312-2330. doi:10.15295/bmij.v8i2.1523
  • Saci, F., Jasimuddin, S.M. and Hasan, M. (2022). Performance of socially responsible investment funds in China: A comparison with traditional funds. Sustainability, 14(3), 1476. https://doi.org/10.3390/su14031476
  • Schoenmaker, D. and Schramade, W. (2018). Principles of sustainable finance. UK: Oxford University Press.
  • UN Principles of Responsible Investment (2021). Principles of responsible investment. Retrieved from https://www.unpri.org/about-us/about-the-pri#How_is_the_PRI_funded
  • United Nations Principles of Responsible Investment. (2021). Principles of responsible investment annual report (UN Global Compact). Retrieved from https://www.unpri.org/annual-report-2021
  • United Nations Sustainable Development Goals. (2022). What are the sustainable development goals? Retrieved from https://www.undp.org/sustainable-development-goals
  • Yue, X.G., Han, Y., Teresiene, D., Merkyte, J. and Liu, W. (2020). Sustainable funds’ performance evaluation. Sustainability, 12(19), 8034. http://dx.doi.org/10.3390/su12198034

Comparative Performance Analysis of Sustainable Themed Funds with Traditional Funds in Turkey

Year 2022, Volume: 7 Issue: Özel Sayı, 123 - 139, 24.10.2022
https://doi.org/10.30784/epfad.1148841

Abstract

Sustainable finance aims to contribute to the development of an environmentally and socially sensitive production approach of economic activity in order to leave a more livable world to future generations with an environmental and social investment approach. It increases the importance of comparing the performances of sustainable-themed funds with traditional themed funds, for investors to consider investing with a socially responsible investment approach. In this study, the performances of sustainable-themed funds with traditional funds and indices in Turkey were analyzed comparatively. BIST Sustainable index (XUSRD) as the market index of sustainable funds; the BIST100 index (XU100) was chosen as the market index of traditional funds. Since the history of sustainable funds in Turkey is not very old, daily data for the years 2019-2022 were analyzed as the data period. In the study, firstly, the performances of the funds were compared with annual return, standard error, Sharpe ratio, Jensen's alpha and Treyner criterion. Then XU100 and XUSRD were selected as the market portfolio, and the returns and systemic risks of the portfolios were obtained with the Capital Asset Pricing Model (CAPM). According to the results obtained from the study, it has been observed that the performance of sustainable themed funds is better than their traditional substitutes and market indices.

References

  • Amenc, N. and Sourd, V.L. (2008). Socially responsible investment performance in France (EDHEC-Risk Institute Report). Retrieved from https://www.longfinance.net/programmes/sustainable-futures/london-accord/reports/socially-responsible-investment-performance-in-france/
  • Borsa İstanbul Sürdürülebilirlik Rehberi. (2016). Şirketler için sürdürülebilirlik rehberi. Erişim adresi: https://www.borsaistanbul.com/data/kilavuzlar/surdurulebilirlik-rehberi.pdf
  • Camp, J. (2018). Socially responsible investment performance and the financial System (Unpublished doctoral dissertation). Radboud University, Nijmegen, Netherlands. Çimen, A. (2019). Sürdürülebilir finans (1. bs.). Bursa: Ekin Basın Yayın Dağıtım.
  • European Comission. (2017). One planet submit report. Retrieved from https://www.oneplanetsummit.fr/sites/default/files/2018-09/OneplanetSummit_ReviewOfTheCom mitments_VGB_1.pdf
  • Global Sustainable Investment Review. (2020). Global sustainable (Global Sustainable Investment Alliance). Retrieved from http://www.gsi-alliance.org/wp-content/uploads/2021/08/GSIR-20201.pdf
  • Global Sustainable Investment Alliance. (2021). Global sustainable (Global Sustainable Investment Alliance). GSI-alliance. Retrieved from http://www.gsi-alliance.org/wp- content/uploads/2021/08/GSIR-20201.pdf
  • Gök, İ.Y. ve Özdemir, O. (2017). Borsa İstanbul sürdürülebilirlik endeksinin performans karakteristiği. Sosyoekonomi, 25(34), 87-105. doi:10.17233/sosyoekonomi.290838
  • Gündoğdu, A. (2019). Türkiye’de sürdürülebilir finans uygulamaları (1. bs.). Ankara: Gazi Kitabevi.
  • Ibikunle, G. and Steffen, T. (2015). European green mutual fund performance: A comparative analysis with their conventional and black peers. Journal of Business Ethics, 145, 337–355. https://doi.org/10.1007/s10551-015-2850-7
  • Jin, J. and Han, L. (2018). Assessment of Chinese green funds: Performance and industry allocation. Journal of Cleaner Production, 171(10), 1084-1093. https://doi.org/10.1016/j.jclepro.2017.09.211
  • Kuşat, N. (2019). Bir kalkınma anlayışı olarak sürdürülebilirlik. A. Gündoğdu (Ed.), Türkiye’de sürdürülebilir finans uygulamaları içinde (s. 1-50). Ankara: Gazi Kitabevi.
  • Lean, H.H., Rong, W. and Smyth, R. (2015). Performance and performance persistence of socially responsible investment funds in Europe and North America. The North American Journal of Economics and Finance, 34, 254-266. doi:10.1016/j.najef.2015.09.011
  • Martí-Ballester, C.P. (2021). Analysing the financial performance of sustainable development goals-themed mutual funds in China. Sustainable Production and Consumption, 27, 858-872. https://doi.org/10.1016/j.spc.2021.02.011
  • Morningstar. (2022). ESG investing history. Retrieved from https://www.morningstar.com/features/esg-investing-history
  • Okuyan, H.A. ve Deniz, D. (2020). Türkiye’de sosyal sorumlu yatırımların performansları: BIST sürdürülebilirlik endeksi uygulaması. Business and Management Studies: An International Journal, 8(2), 2312-2330. doi:10.15295/bmij.v8i2.1523
  • Saci, F., Jasimuddin, S.M. and Hasan, M. (2022). Performance of socially responsible investment funds in China: A comparison with traditional funds. Sustainability, 14(3), 1476. https://doi.org/10.3390/su14031476
  • Schoenmaker, D. and Schramade, W. (2018). Principles of sustainable finance. UK: Oxford University Press.
  • UN Principles of Responsible Investment (2021). Principles of responsible investment. Retrieved from https://www.unpri.org/about-us/about-the-pri#How_is_the_PRI_funded
  • United Nations Principles of Responsible Investment. (2021). Principles of responsible investment annual report (UN Global Compact). Retrieved from https://www.unpri.org/annual-report-2021
  • United Nations Sustainable Development Goals. (2022). What are the sustainable development goals? Retrieved from https://www.undp.org/sustainable-development-goals
  • Yue, X.G., Han, Y., Teresiene, D., Merkyte, J. and Liu, W. (2020). Sustainable funds’ performance evaluation. Sustainability, 12(19), 8034. http://dx.doi.org/10.3390/su12198034
There are 21 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Makaleler
Authors

Mehmet Hanifi Ateş 0000-0001-5795-3951

Canan Dağıdır Çakan 0000-0001-7230-6373

İdil Koç 0000-0001-5300-5022

Publication Date October 24, 2022
Acceptance Date October 23, 2022
Published in Issue Year 2022 Volume: 7 Issue: Özel Sayı

Cite

APA Ateş, M. H., Dağıdır Çakan, C., & Koç, İ. (2022). Türkiye’de Sürdürülebilir Temalı Fonların Geleneksel Fonlarla Karşılaştırmalı Performans Analizi. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 7(Özel Sayı), 123-139. https://doi.org/10.30784/epfad.1148841