Stock portfolio construction with BIST Star market cluster analysis and WASPAS methods

Investing is one of the efforts to prepare for the negative situations brought out by the future. People direct their savings to various instruments in order to evaluate and grow them. One of these is the stock market. The stock market is a risky market. It is important to know the companies before making an investment decision. The financial statements and market multipliers of companies provide important information to investors. The large number of companies traded on the stock exchange, the large number of financial ratios calculated, and the interpretation of data such as price movements have necessitated the development of different approaches. The aim of this study is to identify stocks with similar structures by using ratios and multipliers of stocks, examine their sectoral distribution and rank similar stocks within themselves. For this purpose, 14 different financial ratios and market multiples were calculated based on the data of 149 companies in the Stars market covering the years 2019- 2022. Based on this data, hierarchical cluster analysis method was used to identify similar stocks. The resulting clusters were compared with the KAP sector distributions. As a result of the comparisons, it was observed that the stocks gathered in clusters generally came from different sectors, and this situation did not change except for the banking sector before the 2019-2020 pandemic, during and after the 2021-2022 pandemic. WASPAS method, one of the CRM methods, was applied in order to decide which stocks would be selected if the clusters consisted of similar stocks but a portfolio was to be formed from these clusters. The subsequent period returns of the stocks ranked as a result of the ranking were compared. According to the data obtained, it was concluded that the stocks ranked in the first place provided above-index returns in the following period.