Analyzing of portfolio returns with risk-adjusted portfolio performance measures: A study on BIST-30 covering years 2010-2019

Risk-Adjusted Portfolio Performance Measures provide numerical expressions between return and risk, and give informations about future returns of portfolios. The purpose of the study is to calculating the expected returns and risk of the portfolios, defining when and which portfolio should be preferred, comparing portfolios and index and calculating the performance of portfolios. For this purpose, weekly stock returns between 07/02/2010, 18/11/2019 and portfolio returns were calculated and eash year those calculations and results obtained by using Risk-Adjusted Portfolio Performance Measures have given a vision about which portfolio to be chosen for the next year. The relationship between portfolios and market returns have been measured with Total Risk (Sharpe Ratio, M2 Measure, Sortino Ratio) and Systematic Risk (Jensen Alpha Measure, Treynor Ratio) Performance Measurement Models by using Excel. In the study, shown that the Performance Measurement Models created using the Markowitz model which known as the Modern Portfolio Theory and the Average-Variance Model are a very important indicator for investors in determining the optimum portfolio. The importance of the study; meaningful results have been shown in the context of determining that the return of the Bist-30 index based on pure diversification is lower than the returns of the portfolios created from the components of this index and in which cases the Portfolio Performance Measures should be preferred. Key Words: Portfolio Performance Measures, Portfolio Management, Bist 30, Sharpe Ratio, Markowitz Mean-Variance Model