Net İşletme Sermayesi Yaklaşımı İle Oluşturulan Portföylerin Performanslarının Karşılaştırılması: Borsa İstanbul Örneği

Mehmet Emin YILDIZ, Naci YILMAZ
2020 Maliye Finans Yazıları  
Testing whether portfolios created by using Graham's Net Working Capital (NWC) approach offer greater returns than the BIST 100 index is the main purpose of this study. Accordingly, between 2000 and 2020, the performance of the portfolios created by the NWC approach in BIST was measured by "back-tests" and compared using portfolio performance measurement techniques. As a result of the study, while portfolios of shares with the ratio of a market value to NWC being greater than 1 provide an
more » ... 1 provide an average monthly additional return of 2.19% compared to the BIST 100 index, according to sharp ratio, they also offered a better combination of risk-return than other portfolio groups. Another important result is that the reason for the portfolios selected with the NWC approach to deliver excess returns over the market may be independent of the company size.
doi:10.33203/mfy.784933 fatcat:vhxcu7ery5g3tpb7uw7muak4w4