Risk-based performance evaluation of the hedge funds established in Turkey

The aim of this study is to evaluate the performance of the hedge funds in Turkey. Hedge funds, which are quite new to Turkish financial markets, are examined and the performance of the funds that have been founded in Turkey starting from 2008 are analyzed. Analyzed hedge funds, which are in total of 22 funds, are the ones that we have the data for a period of 36 months (February 2014-2017). We use various formulas and methods to measure and compare the returns of the funds, the risks they take, their risk-adjusted returns and their downside risks with the use of Istanbul Stock Exchange as a market indicator. Moreover, Data Envelopment Analysis has been applied in order to measure the efficiency of the funds. According to the results, 91% of the funds have been found to have positive monthly geometric return on average. However, only 8 of them have higher geometric returns than that of BIST100 on average. When it comes to the results of Data Envelopment Analysis, which has been done with 2 different models called Banker-Chaenes-Cooper (BCC) and Charnes-Cooper-Rhoedes (CCR) models, it has similar results with the other performance measurement techniques. The first model has found 55% of the funds efficient whereas the latter has found 41% of them efficient.