Analysis of risk components: An application in Istanbul Stock Exchange

The aim of investors is to increase total return by taking risk factors into consideration and reducing the amount of risk involved. Distribution of available funds among investment alternatives is also one of the biggest challenges faced by investors. As the expected return and the risks of assets are necessary to make such decisions amongst alternatives; the Capital Assets Pricing Model, which analyzes security returns with the market returns, is beneficial to forecast the expected returns and risks of the investment alternatives as well as decompose Systematic Risk and Unsystematic Risk components from Total Risk.This study was conducted on 14 companies that have consistently remained listed within the ISE National 30 Index. The stocks were used to create a hypothetical portfolio and the individual assets and the hypothetical portfolio?s risk were measured before being separated into their systematic risk and unsystematic risk components by the Capital Assets Pricing Model. In conclusion, Value at Risk is calculated with parametric method for the portfolio on a daily and 10-day period and findings are analyzed.