Comparative analysis of active and passive managed portfolios in Turkey

In this study, active and passive portfolios in Turkey are compared with each other and among themselves with performance analysis. For this purpose, active and passively managed mutual funds whose underlying assets are stocks and gold were selectedandtheir performances were comparatively analyzed based on daily closing prices between 2017-2021. The Sharpe Ratio and M2 which are the models that measure performance according to total risk, and Treynor Ratio, T2 Performance Criterion and Jensen (Alpha) Criterion which are models that measure performance according to systematic risk, are calculated separately for active and passive funds and interpreted comparatively. In portfolios with underlying stocks, the performance of active funds is much better than passive funds. On the other hand, in portfolios whose underlying asset is gold, actively and passively managed funds have similar performances. When the dependent sample t test was performed, 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 and their timing ability with Treynor-Mazuy quadratic regression model.It has been observed that portfolio managers have high selectivity skills, but 1 out of 6 index funds and 1 out of 21 stock funds have timing ability. Keywords: Active portfolio management, passive portfolio management, index funds, fund performance