Evaluation of portfolio performance criteria on portfolio selection

As a result of the ultimate goal of portfolio management, the investors try to minimize the unsystematic risk by optimization or by varying their funds at hand by distributing them among the current financial assets to get the highest return at a certain level of risk; or to get a certain amount of return at the lowest level of risk. Asset allocation made for this purpose, is the process of investors' deciding how to distribute their wealth among different asset classes according to their investment objectives. In this process, while creating their portfolio, to decide which financial assets the investor will invest in as well as to set up the rate of investment to be made to these assets is of utmost importance. Therefore, to reveal the real causes of high or low results of the performance and returns of created portfolios, certain portfolio performance measurements have been defined on how to measure the portfolio's performance and then how to measure adjusted performance according to the risk. In this study, by using the Sharpe Fama, M2 and VaR portfolio performance criteria, "individual" and "comparative" portfolio performance evaluation has been done on six investment restriction group determined under this study within the portfolios created according to Markowitz Mean Variance Model with 22 stock within BIST 30 index. The findings obtained at the end of the study have been evaluated by dividing into two groups within the framework of this investment constraint groups.