A model proposal for performance measurement and performance rating for mutual funds

This study will be carried out to put forward a rating system that can measure performance of funds in Turkey, and to analyze whether or not this system can be used in investment decisions. For this purpose, the data of years 2009 - 2012 of two significant fund groups like Stock and Bill/Bond in mutual funds were taken from matrix data provider. Performances of funds were measured on criterion basis through 77 different fund performance criteria. Not all of 77 criteria evaluate funds from different aspects; some criteria measure performance from quite similar perspectives. Therefore; 77 criteria were classified in 7 groups, and 19 criteria were selected from them. It was aimed to develop an integrated rating methodology by taking significance degrees of criteria into consideration. Weighting of analysis criteria in rating system was determined via AHP and Fuzzy Logic Topsis method. In conclusion; 8 rating values, 7 sub and 1 main rating categories, were reached for each day through a scoring over 100. Whether or not a return could be obtained above a fund group average when investment is made in 3 funds showing best performances in the end of each month was examined through use of the rating values determined. The rating results obtained via both methods, and investment performances of the rating system developed were tested. For robustness of the study standard deviations obtained from an A-GARCH model are used to mimic the same investment strategy based on a single performance measure.