Risk Tabanlı Smart Beta Stratejilerin Borsa İstanbul’da Uygulanması(Application of Risk-Based Smart Beta Strategies in Borsa İstanbul)

Abstract

This study compares the return-risk performance of the BIST 30 Index, for which weighted market value was computed for the 2013-2018 period, and the performance of portfolios, for which the weights of the stocks in the index were determined according to risk-based (Minimum Variance – Equal Risk Contribution - Maximum Diversification) and equally weighted strategies. The annualized returns of all the devised strategies were found to be more than three times the return of the BIST 30 Index as the benchmark. Similarly, the annualized risk for all strategies is lower than the benchmark. Throughout the study period, Maximum Diversification Strategy with a low weight of banking stocks in its portfolio outperformed the other portfolios under study in terms of returns, while Minimum Variance Strategy outperformed them in terms of risk.

Keywords

• smart beta
• minumum variance strategy
• equal risk contribution strategy
• maximum diversification strategy