Abstract:

Fund portfolios in Turkey are managed in two ways as active and passive. The interest in mutual funds is increasing day by day and the need for performance valuation analysis for individual investors arises. In this study, actively and passively managed mutual funds, whose underlying assets are stocks and gold, were selected and their performances were comparatively analyzed based on Daily closing prices between 2017-2021. When models measuring performance according to total risk and systematic risk are used, it is seen that the performance of active funds with underlying stocks is much more successful than passive funds. On the otherhand, in portfolios whose underlying asset is gold, actively and passively managed funds have similar performances. In addition, a significant difference was found between the average of the returns of stock-based active and passive funds. No significant difference was found between the average of the returns of the gold-based active and passive funds. The portfolio manager's success in timing and selectivity is why actively managed funds are more successful than passive ones. Portfolio managers' ability to selectivity was examined with Jensen's alpha, and their timing ability with Treynor-Mazuy quadratic regression model. It has been observed that portfolio managers have high selectivity skills, but it was seen that only one fund has timing ability among both active and passive funds.

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