BIST 30 ENDEKSİNİN RİSK PROFİLİ VE OPTİMAL PORTFÖY ANALİZİ

%,67(1'(.6ø1ø15ø6.352)ø/ø9(237ø0$/3257)g<$1$/ø=ø 0HUW85$/2QXU%$<5$0=DND\R6DPVRQ.,6$9$

Gönderim tarihi: 05.03.2019 Kabul tarihi: 21.09.2019 g]

%X oDOÕúPDGD %,67  HQGHNVLQLQ ULVN SURILOL 0DUMLQDO 50' DQDOL]L oHUoHYHVLQGH LQFHOHQPLúWLU dDOÕúPDQÕQ WHPHO DPDFÕ \DWÕUÕPFÕODU WDUDIÕQGDQ NDUúÕODúÕODQ ULVNOHULQ |OoOPHVLGLU %X NDSVDPGD %,67HQGHNVLLoHULVLQGH\HUDODQKLVVHVHQHWOHULQLQYHG|QHPOHULQHLOLúNLQ JQON JHWLUL VHULOHUL NXOODQÕOPÕúWÕU (OGH HGLOHQ EXOJXODU %,67  SRUWI|\QQ GDKD oRN VLVWHPDWLN ULVN D÷ÕUOÕNOÕ KLVVH VHQHWOHULQGHQ ROXúWX÷XQX VLVWHPDWLN ROPD\DQ ULVN D÷ÕUOÕNOÕ KLVVH VHQHGL VD\ÕVÕQÕQ LVH  DUDVÕQGD GH÷LúWL÷LQL J|VWHUPHNWHGLU dDOÕúPDGD D\UÕFD %,67  HQGHNVLQH \|QHOLN RSWLPDO SRUWI|\ ELOHúLPL LQFHOHQPLúWLU 'R÷UXVDO 2OPD\DQ *ø* \|QWHPL LOH HOGH HGLOHQ VRQXoODU YRODWLOLWH PLQLPL]DV\RQXQDGD\DQDQRSWLPDOSRUWI|\QKLVVHVHQHGLQGHQROXúWX÷XQXRUWD\DNR\PDNWDGÕU %XOJXODU RSWLPDO SRUWI|\ ELOHúLPL \DUGÕPÕ\OD PLQLPL]H HGLOHELOHFHN WRSODP ULVN WXWDUÕQÕQ RUWDODPD RODUDN  ROGX÷XQX LIDGH HWPHNWHGLU (OGH HGLOHQ VRQXoODU ILQDQVDO YDUOÕNODU DUDVÕQGDNL NRYDU\DQV YH NRUHODV\RQ LOLúNLVLQL GLNNDWH DODQ 0DUMLQDO 50' DQDOL]LQLQ ULVNLQ D\UÕúWÕUÕOPDVÕ DPDFÕ\OD NXOODQÕODELOHFH÷LQL J|VWHUPHNWHGLU 5LVN ELOHúLPLQGHNL GH÷LúLPLQ DQDOL] HGLOPHVL GDKD JYHQLOLUDQDOL]OHULQHOGHHGLOPHVLDoÕVÕQGDQ\DWÕUÕPFÕODUDNDWNÕVD÷OD\DFDNWÕU $QDKWDU.HOLPHOHU0DUMLQDO5LVNH0DUX]'H÷HU5LVN$\UÕúWÕUPD3RUWI|\5LVNL -HO6ÕQÕIODPDVÕ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{ 3URI'U'RNX](\OOhQLYHUVLWHVLøNWLVDGLYHøGDUL%LOLPOHU)DNOWHVLøNWLVDW%|OPPHUWXUDO#GHXHGXWU} 25&,','; _{ 'RNX](\OOhQLYHUVLWHVL6RV\DO%LOLPOHU(QVWLWVøNWLVDW$%'ED\UDPRQXU#RJUGHXHGXWU}  25&,',' _{ 'RNX](\OOhQLYHUVLWHVL6RV\DO%LOLPOHU(QVWLWVøNWLVDW$%']DND\RNLVDYD#RJUGHXHGXWU} 25&,','



*LULú

 \]\ÕOGD KÕ] ND]DQDQ NUHVHOOHúPH DNÕPODUÕQÕQ DUGÕQGDQ ILQDQVDO SL\DVDODU DUDVÕQGDNL HWNLOHúLP DUWPÕúWÕU YH EX SL\DVDODUÕQ KDFPL KÕ]OD \NVHOPLúWLU .UHVHOOHúHQ SL\DVDODU ELU ONHGHRUWD\DoÕNDQJHOLúPHQLQGL÷HUoRNVD\ÕGDONH\LGHNÕVDELU]DPDQGLOLPLLoHULVLQGH HWNLOHPHVLQLRODQDNOÕNÕOPDNWDGÕU%XGXUXP\DWÕUÕPFÕODUYHULVN\|QHWLFLOHULDoÕVÕQGDQHW NLQ ELU ULVN \|QHWLPLQL YH SL\DVDODUD LOLúNLQ ULVN DQDOL]LQL JHUHNOL KDOH JHWLUPHNWHGLU %X NDSVDPGD HQ VÕN NXOODQÕODQ \|QWHPOHUGHQ ELULVL 5LVNH 0DUX] 'H÷HU 50' DQDOL]LGLU 50'DQDOL]LYHULSL\DVDNRúXOODUÕQGDEHOLUOLELUJYHQG]H\LYHHOGHWXWPDVUHVLQGHELU SRUWI|\QNDUúÕODúDELOHFH÷LHQ\NVHNND\ÕSWXWDUÕQÕQHOGHHGLOPHVLQHGD\DQDQELUWHNQLNWLU %XoHUoHYHGHNXOODQÕODQ0DUMLQDO,QFUHPHQWDO50'DQDOL]LLVHSRUWI|\ROXúWXUDQKHUELU SR]LV\RQXQYDUOÕ÷ÕQ SRUWI|\Q ULVNLQH RODQ NDWNÕVÕQÕ |OoPHNWHGLU %X VD\HGH SRUWI|\ ROXúWXUDQYDUOÕNODUÕQWRSODPULVNLD\UÕúWÕUÕODELOPHNWHYHRSWLPDOSRUWI|\ELOHúLPLEHOLUOHQH ELOPHNWHGLU

dDOÕúPDNDSVDPÕQGD%,67HQGHNVLQHLOLúNLQSRUWI|\ULVNLQLQ|OoOPHVLYHULVNLQEL OHúHQOHULQH D\UÕúWÕUÕOPDVÕ DPDoODQPÕúWÕU %,67  YH %,67  HQGHNVLQL ROXúWXUDQ KLVVH VHQHWOHULQLQ ULVN \DSÕVÕQÕ LQFHOH\HQ oDOÕúPDODUGD JHQHOOLNOH &$30 DQDOL]LQGHQ ID\GDODQÕO PÕúWÕU %XQXQOD ELUOLNWH EX PRGHO ILQDQVDO YDUOÕNODU DUDVÕQGDNL NRYDU\DQV YH NRUHODV\RQ LOLúNLVLQL LKPDO HWPHNWHGLU /LWHUDWUGHNL EX HNVLNOL÷LQ JLGHULOPHVLQL DPDoOD\DQ EX oDOÕú PDGDLVH0DUMLQDO50'WHNQL÷LQGHQID\GDODQÕODUDNGDKDVD÷OÕNOÕDQDOL]VRQXoODUÕYHGDKD WXWDUOÕ ULVN \|QHWLP SROLWLNDODUÕ RUWD\D NRQXOPD\D oDOÕúÕOPÕúWÕU $QDOL] NDSVDPÕQGD D\UÕFD GR÷UXVDO ROPD\DQ SURJUDPODPD WHNQL÷LQLQ RSWLPDO SRUWI|\ E\NO÷QQ EHOLUOHQPHVLQH X\JXQELUDUDoROXSROPDGÕ÷ÕLUGHOHQPLúWLU

dDOÕúPDQÕQELUVRQUDNLE|OPQGH%,67YH%,67HQGHNVOHULQHLOLúNLQULVNDQD OL]LYHSRUWI|\RSWLPL]DV\RQXQD\|QHOLNoDOÕúPDODU|]HWOHQPLúWLUhoQFE|OPGH0DUML QDO 50' WHNQL÷L LQFHOHQPLúWLU $UDúWÕUPDQÕQG|UGQF E|OPQGHRSWLPDO SRUWI|\ WHUFL KLQLQ EHOLUOHQPHVL DPDFÕ\OD NXOODQÕODQ *HQHOOHúWLULOPLú øQGLUJHQPLú *UDG\DQ *ø* DOJR ULWPDVÕHOHDOÕQPÕúWÕU%HúLQFLE|OPGHoDOÕúPDGDNXOODQÕODQYHULVHWLQHLOLúNLQELOJLOHUVX QXOPXúWXU $OWÕQFÕ E|OPGH 0DUMLQDO 50' DQDOL]L YH 'R÷UXVDO 2OPD\DQ 3URJUDPODPD WHNQL÷LLOHHOGHHGLOHQDPSLULNEXOJXODURUWD\DNRQXOPXúWXUdDOÕúPDQÕQVRQE|OPQGHLVH DQDOL]NDSVDPÕQGDXODúÕODQVRQXoODUGH÷HUOHQGLULOPLúWLU

/LWHUDWUg]HWL

2SWLPDOSRUWI|\QEHOLUOHQPHVLQH\|QHOLNXOXVODUDUDVÕOLWHUDWUGH|QHPOLoDOÕúPDODUEXOXQ PDNWDGÕU .RQX\OD LOJLOL |QF DUDúWÕUPDODU 0DUNRZLW]  WDUDIÕQGDQ RUWD\D NRQXODQ 2UWDODPD 9DU\DQV 0RGHOLQLQ HNVLNOLNOHULQL YH \DQOÕOÕNODUÕQÕ JLGHUPH\H RGDNODQPÕúWÕU gU QH÷LQ.RQQRYH<DPD]DNLG|QHPLQLNDSVD\DQoDOÕúPDODUÕQGD1,..(, HQGHNVLLoHULVLQGH\HUDODQKLVVHVHQHWOHULQHDLWD\OÕNJHWLULVHULOHULQLNXOODQDUDNSRUWI|\ VHoLP SUREOHPLQL LQFHOHPLúOHUGLU dDOÕúPDGDQ HOGH HGLOHQ EXOJXODU 2UWDODPD 0XWODN 6DSPDPRGHOLQLQ2UWDODPD9DU\DQV0RGHOLQHJ|UHELUH\VHO\DWÕUÕPFÕQÕQULVNDOJÕVÕQÕGDKD L\L WHPVLO HWWL÷LQL RUWD\D NR\PDNWDGÕU dDOÕúPDGD D\UÕFD ULVN IRQNVL\RQXQXQ GÕúENH\ RO GX÷X VUHFH LOJLOL RSWLPL]DV\RQ SUREOHPLQLQ GR÷UXVDO SURJUDPODPD WHNQL÷L LOH IRUPOH HGLOHELOHFH÷LLIDGHHGLOPLúWLU



/DLG|QHPLQLNDSVD\DQoDOÕúPDVÕQGDúLUNHWWDKYLOLQHLOLúNLQD\OÕN JHWLULVHULOHULQLNXOODQDUDNdRNWHULPOL+HGHI3URJUDPODPDDQDOL]LoHUoHYHVLQGHSRUWI|\VH oLPSUREOHPLQLLQFHOHPLúWLUdDOÕúPDGDQHOGHHGLOHQEXOJXODUdRNWHULPOL+HGHI3URJUDP ODPDDQDOL]L\DUGÕPÕ\ODSRUWI|\WHUFLKSUREOHPLQGHNLoDUSÕN\DSÕQÕQGLNNDWHDOÕQDELOHFH÷LQL RUWD\DNR\PDNWDGÕU'ROD\ÕVÕ\OD2UWDODPD9DU\DQV0RGHOLQGHNLHWNLQROPD\DQ\DSÕ2UWD ODPD9DU\DQVdDUSÕNOÕN0RGHOLoHUoHYHVLQGHHWNLQELU\DSÕ\DNDYXúPDNWDGÕU <RXQJ   G|QHPLQL NDSVD\DQ oDOÕúPDVÕQGD XOXVODUDUDVÕ KLVVH VHQHGL HQGHNVLQHLOLúNLQD\OÕNJHWLULVHULOHULQLNXOODQDUDNRSWLPDOSRUWI|\WHUFLKLQL0LQLPD[PRGHOL oHUoHYHVLQGHDQDOL]HWPLúWLU5LVNLQ|OoVRODUDNYDU\DQV\HULQHPLQLPXPJHWLULQLQNXOOD QÕOGÕ÷ÕYHEDVLWGR÷UXVDOSURJUDPODPD\DGD\DQDQPRGHOGHEHOLUOLELUJHWLULG]H\LQGHPDN VLPXP ND\EÕQ PLQLPL]H HGLOPHVL DPDoODQPDNWDGÕU dDOÕúPDGDQ HOGH HGLOHQ EXOJXODU 2U WDODPD9DU\DQV0RGHOLQHJ|UH\DWÕUÕPFÕID\GDIRQNVL\RQXQXQGDKDULVNWHQNDoÕQDQJHWLUL VHULVLQLQGDKDoDUSÕNYH\DSRUWI|\RSWLPL]DV\RQSUREOHPLQLQoRNVD\ÕGDNDUDUGH÷LúNHQLQH VDKLSROPDVÕGXUXPODUÕQGD0LQLPD[PRGHOLQLQ2UWDODPD9DU\DQV0RGHOLQGHQGDKDKDVVDV VRQXoODUVD÷OD\DFD÷ÕQÕRUWD\DNR\PDNWDGÕU

5\RR\ÕOÕQGD1<6(LoHULVLQGH\HUDODQKLVVHVHQHGLQHLOLúNLQJQON JHWLUL VHULOHULQL NXOODQDUDN RSWLPDO SRUWI|\ WHUFLKLQL LQFHOHPLúWLU $OWHUQDWLI ELU oDUSÕNOÕN |OoVQQ NXOODQÕOGÕ÷Õ oDOÕúPDGD 2UWDODPD 9DU\DQV dDUSÕNOÕN 0RGHOL GR÷UXVDO ROPD\DQ WHULPOLNDUHVHONÕVÕWDVDKLSGHQNELUNDUHVHOSURJUDPODPD\DG|QúWUOPúWUdDOÕúPDGDQ HOGHHGLOHQEXOJXODU'RZ-RQHVYH1$6'$4HQGHNVOHULQLQ\DNODúÕNGúúJ|VWHUGL÷L ELU G|QHPGH |QHULOHQ PRGHO oHUoHYHVLQGH ROXúWXUXODQ RSWLPDO SRUWI|\Q  LúOHP JQ ER\XQFDRUWDODPD¶OLNELUJHWLULVD÷ODGÕ÷ÕQÕRUWD\DNR\PDNWDGÕU

'RPLDQ/RXWRQYH5DFLQHG|QHPLLoLQ1<6($0(;YH1$6'$4 LoHULVLQGH \HU DODQ  KLVVH VHQHGLQH LOLúNLQ JQON JHWLUL VHULOHULQL NXOODQDUDN oHúLWOHQ GLUPH YH ULVN DUDVÕQGDNL LOLúNL\L LUGHOHPLúOHUGLU 6LPODV\RQ WHNQLNOHUL LOH HOGH HGLOHQ \R ÷XQOXNIRQNVL\RQODUÕ\DUGÕPÕ\ODHOGHHGLOHQVRQXoODUSRUWI|\ER\XWX¶Q]HULQGHROVD GDKLSRUWI|\ER\XWXDUWWÕNoDND\ÕSULVNLQLQD]DOPD\DGHYDPHWWL÷LQLJ|VWHUPHNWHGLUdDOÕú PDGD D\UÕFD NoN SRUWI|\OHU LoLQ HQGVWULOHU DUDVÕQGD oHúLWOHQGLUPH VD÷ODQDUDN ULVNLQ ELU GHUHFH\H NDGDU D]DOWÕODELOHFH÷L IDNDW ULVN G]H\LQGH GDKD EHOLUJLQ ELU D]DOPDQÕQ \DOQÕ]FD KLVVHVHQHGLVD\ÕVÕQÕQDUWWÕUÕOPDVÕ\ODVD÷ODQDELOHFH÷LYXUJXODQPÕúWÕU

'DYLGRYLF YH =HOHQRYLF   G|QHPL LoLQ %(/(;  HQGHNVLQH LOLúNLQ JQON JHWLUL VHULVLQL NXOODQDUDN WRSODP ULVNLQ ELOHúHQOHULQL &$30 PRGHOL oHUoHYHVLQGH LQFHOHPLúOHUGLU <DWÕUÕP SRUWI|\QQ VLVWHPDWLN ROPD\DQ ULVN \DUGÕPÕ\OD \|QHWLOPHVLQLQ LQFHOHQGL÷L oDOÕúPDGDQ HOGH HGLOHQ EXOJXODU ULVN DQDOL]OHULQGH WRSODP ULVNLQ \DQÕQGD ULVN ELOHúHQOHULQLQ GH GLNNDWH DOÕQPDVÕ JHUHNWL÷LQL J|VWHUPHNWHGLU 0RGHUQ 3RUWI|\ 7HRULVL LOH X\XPOXVRQXoODUÕQHOGHHGLOGL÷LoDOÕúPDGDL\LELUoHúLWOHQGLUPHLOHVLVWHPDWLNROPD\DQULV NLQD]DOWÕODELOHFH÷LYXUJXODQPÕúWÕU<D]DUODUKLVVHVHQHGLQGHQROXúDQELUSRUWI|\Q\H WHUOLoHúLWOHQGLUPH\LVD÷ODGÕ÷ÕQÕGDKD\NVHNoHúLWOHQGLUPHQLQLVHVLVWHPDWLNROPD\DQULVN ]HULQGHDQODPOÕELUHWNL\HVDKLSROPDGÕ÷ÕQÕLIDGHHWPLúOHUGLU %,67YH%,67HQGHNVLQHLOLúNLQVLVWHPDWLNULVNLOHVLVWHPDWLNROPD\DQULVNLQD\ UÕúWÕUÕOPDVÕQDGD\DQDQYHRSWLPDOSRUWI|\WHUFLKLQLLQFHOH\HQoDOÕúPDODUGDEXOXQPDNWDGÕU gUQH÷LQ%HNoL(UR÷OXYH8VXOG|QHPLQLNDSVD\DQYH%,67HQGHN VLQGHEXOXQDQKLVVHVHQHWOHULQHLOLúNLQD\OÕNJHWLULVHULOHULQLQNXOODQÕOGÕ÷ÕoDOÕúPDGD.RQQR <DPD]DNL %XODQÕN 'R÷UXVDO 3URJUDPODPD PRGHOOHUL LOH RSWLPDO SRUWI|\OHU ROXúWXUPD\D oDOÕúPÕúWÕU(OGHHGLOHQVRQXoODURSWLPDOSRUWI|\LoHULVLQGHKLVVHVHQHGLEXOXQGX÷XQXYH PLQLPL]H HGLOHELOHFHN ULVN WXWDUÕQÕQ  ROGX÷XQX J|VWHUPHNWHGLU dDOÕúPDGD D\UÕFD EHNOHQHQJHWLULGHQRUDQÕQGDYD]JHoLOPHVLGXUXPXQGDRSWLPDOSRUWI|\QKLVVHVHQH GLQGHQROXúDFD÷ÕEHOLUWLOPLúWLU

.oNNRFDR÷OX   \ÕOÕQGD %,67 HQGHNVL LoHULVLQGH LúOHP J|UHQ KLVVH VH QHWOHULQHLOLúNLQJQONJHWLULVHULOHULQLNXOODQDUDNGR÷UXVDOSURJUDPODPD\DUGÕPÕ\ODRSWL PDO SRUWI|\ WHUFLKLQL LQFHOHPLúWLU 0DUNRZLW] RSWLPDO SRUWI|\ WHRULVL oHUoHYHVLQGH HOGH HGLOHQ VRQXoODU ROXúWXUXODQ RSWLPDO SRUWI|\Q  KLVVH VHQHGLQGHQ PH\GDQD JHOGL÷LQL YH oHúLWOHQGLUPH \DSÕODUDN HOGH HGLOHQ SRUWI|\Q JHWLULVLQLQ HúLW D÷ÕUOÕNOÕ SRUWI|\Q JHWLULVLQ GHQGDKD\NVHNROGX÷XQXJ|VWHUPHNWHGLU

*|NoHYH&XUDG|QHPLQLNDSVD\DQoDOÕúPDODUÕQGD%,67HQGHNVL LoHULVLQGH \HU DODQ KLVVH VHQHWOHULQH DLW KDIWDOÕN JHWLUL VHULOHULQL NXOODQDUDN 2UWDODPD

9DU\DQV 0RGHOL oHUoHYHVLQGH RSWLPDO SRUWI|\ E\NO÷Q LQFHOHPLúWLU $QDOL] NDSVD PÕQGD HOGH HGLOHQ VRQXoODU%,67 HQGHNVL LoLQROXúWXUXODFDNRSWLPDO SRUWI|\E\NO ÷QQLODKLVVHVHQHGLQGHQPH\GDQDJHOPHVLJHUHNWL÷LQHLúDUHWHWPHNWHGLUdDOÕúPDGD D\UÕFDEXG]H\LQ]HULQGHSRUWI|\HHNOHQHQKHUELUYDUOÕ÷ÕQSRUWI|\QVLVWHPDWLNROPD\DQ ULVNLQGH¶GHQGDKDD]ELUD]DOPDPH\GDQDJHWLUGL÷LQLQDOWÕoL]LOPLúWLU

7RVXQYH2UXoG|QHPLQLNDSVD\DQoDOÕúPDODUÕQGD%,67HQGHNVL LoHULVLQGH \HU DODQ  KLVVH VHQHGLQH LOLúNLQ D\OÕN JHWLUL VHULOHULQL NXOODQPÕúWÕU 2UWDODPD 9DU\DQV 0RGHOL \DNODúÕPÕQÕQ NXOODQÕOGÕ÷Õ oDOÕúPDGDQ HOGH HGLOHQ EXOJXODU VRQXFXQGDRU WDODPDRODUDNLOHKLVVHVHQHGLQGHQPH\GDQDJHOHQSRUWI|\ELOHúLPLQLQ\DWÕUÕPFÕODUDoÕ VÕQGDQX\JXQRODFD÷ÕVDSWDQPÕúWÕU<D]DUODUD\UÕFDGDKDGDUELUEDNÕúDoÕVÕ\ODDGHWYDU OÕNWDQROXúDQELUSRUWI|\Q\HWHUOLoHúLWOHQGLUPH\LVD÷OD\DFD÷ÕQÕEHOLUWPLúWLU

.HVNLQWUN 'HPLUFL YH 7ROXQ G|QHPLQL NDSVD\DQ oDOÕúPDGD %,67  HQGHNVL LoHULVLQGH \HU DODQ KLVVH VHQHWOHULQLQ KDIWDOÕN JHWLULOHULQL NXOODQPÕúWÕU 2SWLPDO SRUWI|\E\NO÷QQ*HQHWLN$OJRULWPDWHNQL÷LLOHLQFHOHQGL÷LoDOÕúPDGDXODúÕODQEXOJX ODU HúLW D÷ÕUOÕNOD ROXúWXUXODQ ELU SRUWI|\ LoLQ RSWLPDO E\NO÷Q HQ D]  HQ ID]OD LVH  KLVVH VHQHGLQGHQ PH\GDQD JHOGL÷LQL RUWD\D NR\PDNWDGÕU 6RQXoODU D\UÕFD VHUEHVW D÷ÕUOÕNOD ROXúWXUXODQSRUWI|\OHULoLQRSWLPDOE\NO÷QKLVVHVHQHGLQGHQROXúWX÷XQXYHVHUEHVW D÷ÕUOÕNOÕSRUWI|\OHULQHúLWD÷ÕUOÕNOÕSRUWI|\OHUGHQGDKDL\LVRQXoODUYHUGL÷LQLJ|VWHUPHNWHGLU

8UDOYH'HPLUHOLG|QHPLQLNDSVD\DQoDOÕúPDODUÕQGD%,67HQGHN VLQGH \HU DODQKLVVH VHQHWOHULQLQULVNSURILOOHULQL &$30PRGHOL oHUoHYHVLQGH LQFHOHPLúWLU (OGH HGLOHQ VRQXoODU HQGHNV LoHULVLQGH \HU DODQ KLVVH VHQHWOHULQLQ  WDQHVLQLQ VLVWHPDWLN ULVN D÷ÕUOÕNOÕ RODUDN  WDQHVLQLQ LVH VLVWHPDWLN ROPD\DQ ULVN D÷ÕUOÕNOÕ RODUDN \DWÕUÕPFÕODUÕ HWNLOHGL÷LQL J|VWHUPHNWHGLU <D]DUODU D\UÕFD &$30 PRGHOLQLQ KLVVH VHQHWOHUL DUDVÕQGDNL NRYDU\DQVYHNRUHODV\RQLOLúNLVLQLJ|]DUGÕHWWL÷LQLULVND\UÕúWÕUPDVÕYHULVNPLQLPL]DV\RQX DoÕVÕQGDQ 0DUMLQDO 50' DQDOL]LQLQ GDKD WXWDUOÕ SROLWLNDODU UHWPH\H \DUGÕPFÕ RODFD÷ÕQÕQ DOWÕQÕoL]PLúWLU

/LWHUDWUGH \HU DODQ oDOÕúPDODU VRQXFXQGD %,67  HQGHNVLQH LOLúNLQ RSWLPDO SRUWI|\ E\NO÷QQDUDVÕQGDKLVVHVHQHGLQGHQROXúWX÷XVRQXFXQDXODúÕOPDNWDGÕU+LVVHVH QHWOHULQLQ ULVN DQDOL]LQGH NXOODQÕODQ \|QWHPOHUGH LVH KLVVH VHQHWOHUL DUDVÕQGDNL NRUHODV\RQ YHNRYDU\DQVLOLúNLVLQLQJHQHOOLNOHLKPDOHGLOGL÷LJ|UOPHNWHGLUdDOÕúPDGDKLVVHVHQHWOHUL DUDVÕQGDNLEXLOLúNLOHULGLNNDWHDODQ0DUMLQDO50'DQDOL]LNXOODQÕODUDNOLWHUDWUHNDWNÕVD÷ ODQPDVÕDPDoODQPDNWDGÕU

0DUMLQDO5LVNH0DUX]'H÷HU$QDOL]L

)LQDQVDOSL\DVDNDWÕOÕPFÕODUÕDoÕVÕQGDQULVNLQ|OoOPHVLPRGHUQILQDQVWHRULVLQLQDQDRGD÷Õ KDOLQH JHOPLúWLU %HOODODK   $UWDQ NUHVHO YH ILQDQVDO HQWHJUDV\RQ LOH ELUOLNWH JHOHQHNVHOULVNDQDOL]OHULQLQ\HWHUVL]NDOPDVÕGDKDWXWDUOÕYHHWNLQVRQXoODUHOGHHGLOPHVLQL VD÷OD\DQ 50' DQDOL]LQLQ JHOLúWLULOPHVLQL VD÷ODPÕúWÕU 50' DQDOL]L YHUL SL\DVD NRúXOODUÕ DOWÕQGD EHOLUOL ELU JYHQ G]H\LQGH YH EHOLUOL ELU HOGH WXWPD VUHVLQGH RUWD\D oÕNDELOHFHN PDNVLPXPND\ÕSWXWDUÕQÕ|OoPHNWHGLU-RULRQ$QDOL]LONGHID-30RUJDQWDUD IÕQGDQ JHOLúWLULOHQ 5LVN0HWULFV \D]ÕOÕPÕ oHUoHYHVLQGH  \ÕOÕQGD RUWD\D NRQXOPXúWXU $QDOL]LQ\D\JÕQOÕNND]DQPDVÕQÕQHQ|QHPOLQHGHQOHULDUDVÕQGDWPSRUWI|\QULVNLQLQWHN ELU SDUDVDO VRQXo LOH LIDGH HGLOHELOPHVL YH EXQXQ EDQNDODUFD SL\DVD ULVNOHUL NDUúÕOÕ÷ÕQGD D\UÕOPDVÕ JHUHNHQ DVJDUL VHUPD\H WXWDUÕQÕQ KHVDSODQPDVÕQGD WHPHO ROXúWXUPDVÕ VD\ÕODELOLU 50'DQDOL]L8OXVODUDUDVÕgGHPHOHU%DQNDVÕ%,6YH%DQNDFÕOÕN']HQOHPHYH'HQHWOHPH .XUXPX%''.WDUDIÕQGDQULVN|OoPLoLQWDYVL\HHGLOHQELUX\JXODPDKDOLQHJHOPLúWLU

50'DQDOL]LG|UWDúDPDGDQPH\GDQDJHOPHNWHGLU%XQODUPHYFXWSRUWI|\HLOLúNLQJH WLUL VHULOHULQLQ HOGH HGLOPHVL PHYFXW ULVN XQVXUODUÕQÕQ GH÷LúNHQOL÷LQLQ KHVDSODQPDVÕ %,6 G]HQOHPHOHULoHUoHYHVLQGHJYHQG]H\LQLQYHHOGHWXWPDVUHVLQLQEHOLUOHQPHVLNDUúÕOD úÕODELOHFHNHQ\NVHNND\ÕSWXWDUÕQÕQKHVDSODQDUDNUDSRUODQPDVÕGÕU

50'\|QWHPLQLQ]DPDQLoHULVLQGH\D\JÕQOÕNND]DQPDVÕLOHELUOLNWHIDUNOÕ50'WHNQLN OHULJHOLúWLULOPLúWLU.RUNPD]YH%RVWDQFÕ50'KHVDSODPDODUÕQGDJHQHORODUDN \DNODúÕP EHQLPVHQPHNWHGLU 6DELW YDU\DQV HVDVÕQD GD\DQDQ EX \DNODúÕPODU 3DUDPHWULN 7DULKVHO 6LPODV\RQ YH 0RQWH &DUOR 6LPODV\RQX \|QWHPOHULGLU 3DUDPHWULN \|QWHP NRYDU\DQV PDWULVLQH YH QRUPDO GD÷ÕOÕP YDUVD\ÕPÕQD GD\DQPDNWDGÕU 7DULKVHO 6LPODV\RQ \|QWHPLJHoPLúWH\DúDQDQYHND\ÕSPH\GDQDJHWLUHQELUROD\ÕQWHNUDUODQPDVÕGXUXPXQGD SRWDQVL\HOND\EÕJ|VWHUHQELUDQDOL]GLU0RQWH&DUOR6LPODV\RQX\|QWHPLLVHQRUPDOGD ÷ÕOÕPD\DNÕQVD\DFDNUDVVDOVD\ՁUHWLOPHVLQHGD\DQDQYHULVNGH÷HULQLEXoHUoHYHGHKHVDS OD\DQELUWHNQLNWLU$OH[DQGHU

50'DQDOL]LQGHSRUWI|\GHNLSR]LV\RQGH÷HUOHULQLQVDELWROGX÷XYDUVD\ÕOPDNWDGÕU2\VD NL \DWÕUÕPFÕODU KHVDSODQDQ 50' WXWDUODUÕQD YH HNRQRPLN NRQMRQNWUH ED÷OÕ RODUDN SRUW I|\OHULQGHEXOXQDQ\DWÕUÕPDUDoODUÕQÕYHYH\DD÷ÕUOÕNODUÕQÕGH÷LúWLUHELOPHNWHGLUOHU'HPLUHOL YH 7DQHU   $QFDN GH÷LúHQ SR]LV\RQODUÕQ SRUWI|\ ULVNL ]HULQGHNL HWNLVLQLQ |O oOPHVL LoLQ \DOQÕ]FD SRUWI|\Q WRSODP 50' WXWDUÕ\OD LOJLOHQHQ WHNQLNOHU \HWHUOL GH÷LOGLU *DUPDQ   0DUMLQDO 50' \|QWHPL RODUDN ELOLQHQ \|QWHP LVH SRUWI|\ LoHULVLQGH \HUDODQYDUOÕNODUÕQULVNVHYL\HOHULQLQEHOLUOHQPHVLQLYHEXYDUOÕNODUDLOLúNLQULVNWXWDUODUÕQÕQ NDUúÕODúWÕUÕOPDVÕQÕ RODQDNOÕ NÕOPDNWDGÕU %X VD\HGH HQ HWNLQ 50' WXWDUÕ LoLQ SR]LV\RQXQ QDVÕOGH÷LúWLULOPHVLJHUHNWL÷LRUWD\DNRQXODELOPHNWHGLU

Marjinal RMD yöntemi risk-getiri tercihine yard mc olarak, pozisyon s n rlar n n be-lirlenmesinde kullan labilmektedir (Dowd, 2002: 117). Böylece RMD analizi, piyasa ris-kine iliúkin tek bir say y ortaya koyman n ötesinde, aktif risk yönetimi için kullan labilecek önemli bir araç haline gelmektedir. Örne÷in, portföyün RMD tutar n azaltmay amaçlayan bir yat r mc , en yüksek Marjinal RMD tutar na sahip hisse senedini portföyden ç kararak kendisini riskten koruyabilecektir. Dolay s yla yöntem, muhtelif stratejiler yard m yla, gelir kayb olmaks z n portföyün RMD tutar n n daha düúük bir seviyeye inmesine katk sa÷la-maktad r.

Marjinal RMD analizi k saca, bir varl ÷ n portföy içerisindeki a÷ rl ÷ nda meydana ge-len küçük bir de÷iúimin, portföyün RMD tutar nda meydana getirece÷i de÷iúimi ifade et-mektedir. Analiz kapsam nda, portföyü oluúturan her bir finansal varl ÷ n portföy içerisin-deki pay n n %1 art ú göstermesi durumunda, portföyün toplam risk pay içerisinde ortaya ç kan de÷iúim ölçülmektedir. Bu yüzden elde edilen ölçüm sonuçlar , riskin azalt lmas su-retiyle etkin portföyün oluúturulmas bak m ndan önem arz etmektedir (Ural, 2010: 105). Marjinal RMD yöntemi aúa÷ daki eúitlik yard m yla gösterilebilir:

Burada : portföyün RMD tutar n ; : varl k ya da pozisyonun portföy

içerisin-deki oransal a÷ rl ÷ n ; ise varl k veya pozisyonun portföyün RMD tutar na bireysel katk oran n göstermektedir. Portföyü oluúturan her bir bileúen için elde edilen Marjinal RMD tutarlar n n toplam portföyün RMD tutar na eúit olmaktad r.

Formülde yer alan bireysel katk oranlar na iliúkin hesaplama aúa÷ daki eúitlik yard -m yla yap labilir:

Burada : kovaryans matrisini; : yatay portföy a÷ rl k vektörünün devri÷ini ve

ise portföyün varyans n ifade etmektedir.

Portföy riskinin ve her bir varl ÷ n riske katk s n n ölçülmesi kadar önemli bir di÷er konu da riskin bileúenlerine ayr út r lmas d r. Yat r mc lar genellikle karú laúabilecekleri riskler hakk nda yeterli bilgiye sahip de÷ildirler. Bu nedenle, toplam riskin kaynaklar n n aç klanmas ve birbirleriyle etkileúimlerinin belirlenmesi hayati bir öneme sahiptir. RMD Finans Politik & Ekonomik Yorumlar (650) Aralk 2019: 9-28

analizi yardmyla toplam riskin, sistematik ve sistematik olmayan risk bileúenlerine ayrút-rlabilmesi olanakl hale gelir. Bu sayede, portföyde yer alan her bir varl÷n pazar riski, enflasyon riski, döviz kuru riski, faiz oran riski ve siyasi riskten oluúan sistematik risk a÷rlkl m? yoksa finansal risk, yönetim riski ve sektör riskinden oluúan sistematik olma-yan risk a÷rlkl m? oldu÷u tespit edilebilmektedir. Bu ayrútrma için kullanlan bir yön-tem ise sisyön-tematik olmayan riski Beta ( ) katsays yardmyla hesaplamaktr. Beta katsay-sn ve piyasa endeks getirisini kullanarak, herhangi bir hisse için standart sapma ile ölçülen toplam riski, sistematik risk ve sistematik olmayan risk olarak ayrútrmak olanakldr (Al-tntaú, 2018: 374). Toplam riskin ayrútrlabilmesi aúa÷daki eúitlik yardmyla sa÷lanabilir:

Burada : varlk ya da pozisyonun sistematik olmayan risk katsaysn; : varlk ya da pozisyonun standart sapmasn ve ise piyasa toplam risk düzeyini ifade etmektedir. Her bir finansal varlk için elde edilen sistematik olmayan risk katsaylarnn toplam risk katsa-ysndan çkartlmas yoluyla ise sistematik risk katsays elde edilmiú olur.

4. Optimal Portföy Tercihi

RMD analizi kapsamnda, sistematik olmayan riskin azaltlmas da mümkündür. Siste-matik olmayan risk, tanm gere÷i çeúitlendirme ile giderilebilen bir risk türüdür. Tüm port-föyler esas olarak iyi çeúitlendirilmek suretiyle riski minimize etme çabasndadrlar (Tosun ve Oruç, 2010: 480). Bir portföye iliúkin sistematik olmayan risk unsurlar, do÷rusal ve do÷rusal olmayan programlama teknikleri yardmyla minimize edilebilmektedir. Optimal portföy tercihi kapsamnda kullanlan yöntemlerden birisi Lasdon, Fox ve Ratner (1973) tarafndan geliútirilen Genelleútirilmiú øndirgenmiú Gradyan (Generalized Reduced Gradient) algoritmasdr. Genelleútirilmiú øndirgenmiú Gradyan (GøG) algoritmas, do÷rusal olmayan kstlama problemlerini çözmek için kullanlan deterministik bir yerel optimizas-yon yöntemidir. GøG, de÷iúkenlerin bir alt kümesini ortadan kaldrmak üzere do÷rusal ol-mayan programlama formülasyonunu ve eúitlik kstlamalarn kullanarak optimizasyon problemini, kalan de÷iúkenlerin uzayndaki snrl bir kst problemine indirger. Bu yöntem temel olarak, eúitsizlik kstlarn dolgu de÷iúkenler haline getirerek eúitlik kstlarna dö-nüútürür (Alrabadi, 2016: 576). GøG çerçevesinde genel do÷rusal olmayan programlama problemi, Yeniay (2005) takip edilerek aúa÷daki gibi gösterilebilir:

Aúa÷daki kstlara ba÷ldr:

Burada : n de÷iúkenli bir vektör; : amaç fonksiyonu; : i. eúitlik

kst ve : j. eúitsizlik kstdr. S: tüm arama uzayn; F: olabilir arama uzayn; ve ise srasyla de÷iúkeninin alt ve üst snrlarn gösterir.

Böylelikle GøG, (P)’deki tüm kstlarn denklem formunda ve aúa÷daki gibi temsil edi-lebilece÷ini varsaymaktadr:

Burada , hem orjinal de÷iúkenleri hem de dolgu de÷iúkenlerini kapsamaktadr. De÷iúkenler, ba÷ml ( ) ve ba÷msz ( ) de÷iúkenlere ayrlabilir:

Benzer úekilde amaç fonksiyonunun gradyan ve Jacobi matrisi aúa÷daki gibi bölünebilir:

, eúitlik kstlarn ve snr kstlarn sa÷layan uygulanabilir bir çözüm olsun.

De÷iúkenler, tekil olmayacak úekilde seçilmelidir. øndirgenmiú gradyan vektörü

aúa÷daki gibi elde edilir:

Aúa÷da yer alan problemin çözümü olan Į adm uzunlu÷unun bulunmas amacyla do÷-rusal olmayan fonksiyonu azaltc bir yön bulunur ve ardndan ilgili yönde ne kadar gidile-ce÷i hesaplanr:

Çözüm aúa÷daki ksta ba÷ldr:

Burada aúa÷daki gibi tanmlanabilir:

Problemin optimal çözümü olan , bir sonraki çözümü verir:

5. Veri Seti

Çalúmada, 2015-2018 yllar arasnda BIST 30 endeksinde sürekli olarak yer alan 28 úirketin hisse senetlerinin kapanú fiyatlar BIST veri tabanndan derlenerek analiz gerçekleútirilmiútir. 2015 (252 iúgünü), 2016 (250 iúgünü), 2017 (252 iúgünü) ve 2018 (250 iúgünü) yllarna iliúkin günlük getiri serileri kullanlmútr. 06.02.2019 tarihi itibariyle BIST 30 endeksi içerisinde bulunan ve çalúmada kullanlan hisse senetleri, iúlem kodlarna göre alfabetik srada Tablo 1’de sunulmuútur.

Çalúmada, yatrmclar tarafndan karúlaúlan risklerin ölçülmesi amaçlanmútr. Bu ba÷lamda BIST 30 endeksi içerisinde yer alan hisse senetlerinin her birine 5.000 TL tutarnda ve toplamda 140.000 TL’lik bir portföy yatrm yapld÷ varsaylmú, RMD analizi yardmyla, portföye iliúkin riskin sistematik risk ve sistematik olmayan risk unsurlarna ayrútrlmas sa÷lanmútr.

7DEOR%,67(QGHNVLQGH<HU$ODQ+LVVH6HQHWOHUL



.RG ùLUNHW$GÕ 6HNW|U

$.%1. $.%$1.7$ù %DQNDFÕOÕN

$5&/. $5&(/ø.$ù 'D\DQÕNOÕ7NHWLP

$6(/6 $6(/6$1(/(.7521ø.6$1$<ø9(7ø&$5(7$ù 7HOHNRPQLNDV\RQ %,0$6 %ø0%ø5/(ùø.0$ö$=$/$5$ù 3HUDNHQGH7LFDUHW '2+2/ '2ö$1ùø5.(7/(5*58%8+2/'ø1*$ù +ROGLQJ (.*<2 (0/$..2187*$<5ø0(1.8/<$7,5,0 257$./,ö,$ù *D\ULPHQNXO<2 (5(*/ (5(ö/ø'(0ø5d(/ø.)$%5ø./$5,$ù 'HPLUdHOLN *$5$1 7*$5$17ø%$1.$6,$ù %DQNDFÕOÕN +$/.% 7+$/.%$1.$6,$ù %DQNDFÕOÕN ,6&75 7øù%$1.$6,$ù %DQNDFÕOÕN .&+2/ .2d+2/'ø1*$ù +ROGLQJ .2=$$ .2=$$1$'2/80(7$/0$'(1&ø/ø. øù/(70(/(5ø$ù 'HPLUdHOLN .2=$/ .2=$$/7,1øù/(70(/(5ø$ù 'HPLUdHOLN .5'0' .$5'(0ø5.$5$%h.'(0ø5d(/ø.6$1$<ø9( 7,&$5(7$ù 'HPLUdHOLN 3(7.0 3(7.ø03(752.ø0<$+2/'ø1*$ù 3HWURNLP\D 3*686 3(*$686+$9$7$ù,0$&,/,ö,$ù 8ODúWÕUPD 6$+2/ +$&,g0(56$%$1&,+2/',1*$ù +ROGLQJ 6,6( 7ùøù(9(&$0)$%5ø.$/$5,$ù +ROGLQJ 62'$ 62'$6$1$<ø$ù *ÕGD 7$9+/ 7$9+$9$/,0$1/$5,+2/'ø1*$ù 8ODúWÕUPD

7&(// 785.&(//ø/(7øùø0+ø=0(7/(5ø$ù 7HOHNRPQLNDV\RQ

7+<$2 7h5.+$9$<2//$5,$2 8ODúWÕUPD 7.)(1 7(.)(1+2/',1*$ù +ROGLQJ 72$62 72)$ù7h5.27202%ø/)$%5ø.$6,$ù 2WRPRWLY 77.20 7h5.7(/(.20h1ø.$6<21$ù 7HOHNRPQLNDV\RQ 78356 7h35$ù7h5.ø<(3(752/5$)ø1(/(5ø$ù 3HWURNLP\D 9$.%1 9$.,)/$5%$1.$6,$ù %DQNDFÕOÕN <.%1. <$3,9(.5('ø%$1.$6,$ù %DQNDFÕOÕN



7DEOR*HWLUL6HULOHULQHøOLúNLQ6WDQGDUW6DSPD'H÷HUOHUL









































%,67HQGHNVLLoHULVLQGH\HUDODQúLUNHWOHUGHQ(QHUMLVD(QHUML$ùYH)RUG2WRPRWLY 6DQD\L $ù KLVVH VHQHGL NDSDQÕú IL\DWODUÕ LOH LOJLOL YHUL HNVLNOL÷LQGHQ GROD\Õ EX LNL úLUNHW DQDOL]NDSVDPÕQGDQoÕNDUWÕOPÕúWÕU

+LVVH VHQHGL JHWLUL VHULOHULQH LOLúNLQ VWDQGDUW VDSPD GH÷HUOHUL 7DEOR ¶GH VXQXOPXúWXU 6WDQGDUW VDSPD GH÷HUOHUL LOJLOL JHWLUL VHULVLQH DLW ULVN G]H\OHULQL J|VWHUPHNWHGLU 5LVN J|VWHUJHVLRODUDNNDEXOHGLOHQVWDQGDUWVDSPDGH÷HUOHULQHJ|UHHQ\NVHNULVNHVDKLSKLVVH VHQHGLKHUG|UW\ÕOLoLQGH.2=$$LNHQHQGúNULVNHVDKLSKLVVHVHQHGLQLQYH \ÕOODUÕLoLQ%,0$6\ÕOÕLoLQ7&(//YH\ÕOÕLoLQ6$+2/ROGX÷XDQODúÕOPDNWDGÕU



$PSLULN%XOJXODU 7DEORYH'|QHPLQHøOLúNLQ5LVN3URILOL





























































YH\ÕOODUÕQDLOLúNLQ0DUMLQDO50'DQDOL]LQHGD\DQDQULVND\UÕú WÕUPDVÕVRQXoODUÕ7DEORYH7DEOR\DUGÕPÕ\ODVXQXOPXúWXUøOJLOLULVNWXWDUODUÕULVNNDWVD \ÕODUÕLOHSR]LV\RQWXWDUODUÕQÕQoDUSÕOPDVÕVRQXFXQGDHOGHHGLOPLúWLU\ÕOÕLoLQHOGHHGL OHQ VRQXoODU VLVWHPDWLN ULVNL HQ \NVHN KLVVH VHQHGLQLQ +$/.%ROGX÷XQX VLVWHPDWLN RO PD\DQYHWRSODPULVNLHQ\NVHNKLVVHVHQHGLQLQ.2=$$ROGX÷XQXJ|VWHUPHNWHGLU%XO JXODUKLVVHVHQHWOHULQGHQ¶LQLQVLVWHPDWLNROPD\DQULVND÷ÕUOÕNOÕROGX÷XQXGL÷HUOHULQLQLVH VLVWHPDWLNULVND÷ÕUOÕNOÕROGX÷XQXRUWD\DNR\PDNWDGÕU

7DEORYH'|QHPLQHøOLúNLQ5LVN3URILOL





























































 \ÕOÕ LoLQ HOGH HGLOHQ VRQXoODU KHP WRSODP ULVNL KHP GH VLVWHPDWLN YH VLVWHPDWLN ROPD\DQULVNLHQ\NVHNKLVVHVHQHGLQLQ.2=$$ROGX÷XQXEHOLUWPHNWHGLU6RQXoODUKLVVH VHQHWOHULQGHQ \DOQÕ]FD ¶QQ VLVWHPDWLN ROPD\DQ ULVN D÷ÕUOÕNOÕ ROGX÷XQD YH JHUL NDODQODUÕQÕQ VLVWHPDWLN ULVN D÷ÕUOÕNOÕ ROGX÷XQD LúDUHW HWPHNWHGLU  \ÕOÕQGD VLVWHPDWLN ROPD\DQ ULVN D÷ÕUOÕNOÕ  KLVVH VHQHGLQGHQ ¶QQ .2=$/ 62'$ YH 7$9+/ ULVN D÷ÕUOÕ÷ÕQÕQ\ÕOÕQGDGH÷LúWL÷LJ|]OHQPHNWHGLU



\ÕOÕLoLQHOGHHGLOHQVRQXoODU\ÕOÕLoLQXODúÕODQVRQXoODUODEHQ]HUúHNLOGHWP ULVNELOHúHQOHULHQ\NVHNKLVVHVHQHGLQLQ.2=$$ROGX÷XQXRUWD\DNR\PDNWDGÕU%XOJXODU  \ÕOÕQGD VLVWHPDWLN ROPD\DQ ULVN D÷ÕUOÕNOÕ KLVVH VHQHGL VD\ÕVÕQÕQ ¶H oÕNWÕ÷ÕQÕ J|VWHUPHNWHGLU+HUo\ÕOLoLQGHILQDQVDOULVN\|QHWLPULVNLYHVHNW|UULVNLQGHQPH\GDQD JHOHQVLVWHPDWLNROPD\DQULVND÷ÕUOÕ÷ÕQDVDKLSWHNKLVVHVHQHGL.2=$$¶GÕU

\ÕOÕLoLQHOGHHGLOHQVRQXoODUGD|QFHNL\ÕOODULoLQXODúÕODQVRQXoODUDEHQ]HUúHNLOGH WRSODP ULVNL HQ \NVHN KLVVH VHQHGLQLQ .2=$$ ROGX÷XQX J|VWHULUNHQ VLVWHPDWLN YH VLVWHPDWLNROPD\DQULVNLHQ\NVHNKLVVHVHQHGLQLQVÕUDVÕ\OD*$5$1YH'2+2/ROGX÷XQX RUWD\D NR\PDNWDGÕU 6RQXoODU VLVWHPDWLN ROPD\DQ ULVN D÷ÕUOÕNOÕ KLVVH VHQHGL VD\ÕVÕQÕQ ELU |QFHNL \ÕOD J|UH DUWÕú J|VWHUHUHN ¶D XODúWÕ÷ÕQÕ LIDGH HWPHNWHGLU 7RSODP ULVN G]H\L HQ \NVHN KLVVH VHQHGL RODQ .2=$$¶QÕQ ULVN D÷ÕUOÕN \DSÕVÕ  G|QHPLQGH GH÷LúPLú YH VLVWHPDWLNULVND÷ÕUOÕNOÕELUGXUXPDJHOPLúWLU 7DEOR0DUMLQDO50'$QDOL]6RQXoODUÕ  6LVWHPDWLN 5LVN7XWDUÕ65 65 $÷ÕUOÕNOÕ 9DUOÕN 6D\ÕVÕ 6LVWHPDWLN 2OPD\DQ5LVN 7XWDUÕ625 625 $÷ÕUOÕNOÕ 9DUOÕN 6D\ÕVÕ 7RSODP 5LVN7XWDUÕ                        



0DUMLQDO50'DQDOL]L\DUGÕPÕ\ODD\UÕúWÕUÕODQWRSODPULVNWXWDUODUÕYHULVND÷ÕUOÕNOÕYDUOÕN VD\ÕODUÕ 7DEOR ¶WH VXQXOPXúWXU  YH  \ÕOODUÕ DUDVÕQGD WRSODP YH VLVWHPDWLN ULVN WXWDUODUÕD]DOPDVÕQDUD÷PHQVLVWHPDWLNROPD\DQULVNWXWDUÕQGDDUWÕú\DúDQPDVÕGLNNDWoHNL FLGLU  \ÕOÕQGD LVH oDOÕúPDGD NXOODQÕODQ SRUWI|\H LOLúNLQ WP ULVN ELOHúHQOHULQGH DUWÕú J|]OHQPHNWHYHVLVWHPDWLNROPD\DQULVNLQWRSODPULVNLoHULVLQGHNLSD\ÕDUWÕúVHUJLOHPHNWH GLU



7DEOR9RODWLOLWH0LQLPL]DV\RQXQD'D\DQDQ*ø*$QDOL]6RQXoODUÕ































3RUWI|\ YRODWLOLWHVLQLQ PLQLPL]DV\RQXQD GD\DQDQ 'R÷UXVDO 2OPD\DQ *ø* DQDOL]L VR QXoODUÕ 7DEOR ¶GD VXQXOPXúWXU $QDOL] VRQXoODUÕ 0LFURVRIW ([FHO SURJUDPÕQGD EXOXQDQ d|]F 6ROYHU HNOHQWLVL \DUGÕPÕ\OD HOGH HGLOPLúWLU 8ODúÕODQ VRQXoODU RSWLPDO SRUWI|\ D÷ÕUOÕNODUÕQÕQ \ÕOODU LWLEDUL\OH GH÷LúLP VHUJLOHPHVLQH UD÷PHQ RSWLPDO SRUWI|\ ROXúWXUDQ KLVVHVHQHWOHULQGH|QHPOLELUGH÷LúLPROPDGÕ÷ÕQÕRUWD\DNR\PDNWDGÕU2SWLPDOSRUWI|\LoH ULVLQGHNLD÷ÕUOÕ÷ÕHQLVWLNUDUOÕRODQKLVVHVHQHGLYH\ÕOODUÕLoLQVWDQGDUWVDSPDVÕ HQGúNKLVVHVHQHGLRODQ%,0$6¶GÕU'R÷UXVDOROPD\DQ*ø*\DUGÕPÕ\ODHOGHHGLOHQRS WLPDOSRUWI|\LoHULVLQGH\HUDODQKLVVHVHQHGLVD\ÕVÕYH\ÕOODUÕLoLQLNHQ YH\ÕOODUÕLoLQVÕUDVÕ\ODYHúHNOLQGHGLU 7DEOR7RSODP5LVN7XWDUODUÕQÕQ.DUúÕODúWÕUÕOPDVÕ



 %,67 3RUWI|\QQ7RSODP 5LVN7XWDUÕ 2SWLPDO3RUWI|\Q 7RSODP5LVN7XWDUÕ 'H÷LúLP                



'R÷UXVDO ROPD\DQ *ø* \DUGÕPÕ\OD YRODWLOLWH PLQLPL]DV\RQXQD GD\DQDQ RSWLPDO SRUW I|\HLOLúNLQWRSODPULVNWXWDUÕLOH%,67SRUWI|\QQWRSODPULVNWXWDUÕQÕQNDUúÕODúWÕUPDVÕ 7DEOR¶GHVXQXOPXúWXU(OGHHGLOHQVRQXoODURSWLPDOSRUWI|\WHUFLKLQLQWRSODPULVNWXWD UÕQÕ    YH  \ÕOODUÕ LoLQ VÕUDVÕ\OD    YH  RUDQÕQGDD]DOWWÕ÷ÕQÕJ|VWHUPHNWHGLU3RUWI|\oHúLWOHQGLULOPHVLLOHPLQLPL]HHGLOHELOHFHNRU WDODPDULVNRUDQÕLVH¶GLU

6RQXo

%X oDOÕúPDGD \DWÕUÕPFÕODU WDUDIÕQGDQNDUúÕODúÕODQ ULVNOHULQ |OoOPHVL DPDoODQPÕúWÕU %,67  YH %,67  HQGHNVLQGH ULVN D\UÕúWÕUPDVÕQD GD\DQDQ oDOÕúPDODUGD JHQHOOLNOH &$30 PRGHOL NXOODQÕOPDNWDGÕU &$30 PRGHOLQLQ |QHPOL ELU HNVLNOL÷L KLVVH VHQHWOHUL DUDVÕQGDNL NRYDU\DQV YH NRUHODV\RQ LOLúNLVLQLQ J|]DUGÕ HGLOPHVLGLU %X LOLúNLQLQ GLNNDWH DOÕQGÕ÷Õ 0DUMLQDO 50' \|QWHPLQLQ ULVN D\UÕúWÕUPD DQDOL]OHULQGH NXOODQÕOPDVÕ LVH GDKD WXWDUOÕ ULVN \|QHWLP SROLWLNDODUÕQÕQ X\JXODQPDVÕQÕ VD÷OD\DFDNWÕU %X oDOÕúPD NDSVDPÕQGD OLWHUDWUGH \HU DODQ EX HNVLNOLN JLGHULOPH\H oDOÕúÕOPÕúWÕU dDOÕúPDQÕQ HQ |QHPOL NÕVÕWÕ LVH 0DUMLQDO 50'DQDOL]LQLQVDELWYDU\DQVHVDVÕQDGD\DQDQELU\|QWHPROPDVÕGÕU'ROD\ÕVÕ\ODEX\|Q WHPGHILQDQVDOYDUOÕNODUDDLWJHWLULVHULOHULQLQVDELWYDU\DQVDVDKLSROGX÷XYDUVD\ÕOPDNWDGÕU 0DUMLQDO50'DQDOL]L\DUGÕPÕ\ODHOGHHGLOHQEXOJXODU%,67HQGHNVLLoHULVLQGH\HU DODQKLVVHVHQHWOHULQLQE\NNÕVPÕQÕQVLVWHPDWLNULVND÷ÕUOÕNOÕROGX÷XQXRUWD\DNR\PDNWD GÕU6LVWHPDWLNULVND÷ÕUOÕNOÕKLVVHVHQHGLVD\ÕVÕYH\ÕOODUÕLoLQVÕUD VÕ\OD    YH ¶GXU 6RQXoODU L\L ELU oHúLWOHQGLUPH LOH RUWDGDQ NDOGÕUÕODELOHFHN ELU ULVN WU RODQ VLVWHPDWLN ROPD\DQ ULVN D÷ÕUOÕNOÕ KLVVH VHQHGL VD\ÕVÕQÕQ  \ÕOÕ KDULFLQGH DUWÕú J|VWHUGL÷LQL LIDGH HWPHNWHGLU $QDOL] VRQXoODUÕ KLVVH VHQHWOHULQLQ ULVN D÷ÕUOÕNODUÕQÕQ \ÕOGDQ\ÕODGH÷LúHELOPHNOHELUOLNWHJHQHOLWLEDUL\OHLVWLNUDUOÕROGX÷XQXJ|VWHUPHNWHGLU

(OGHHGLOHQELUGL÷HUVRQXoGDWRSODPYHVLVWHPDWLNULVNWXWDUODUÕQÕQYH\ÕOOD UÕQGDD]DOPDVÕQDUD÷PHQVLVWHPDWLNROPD\DQULVNWXWDUÕQÕQEX\ÕOODUGDDUWÕúJ|VWHUPHVLGLU %XVRQXoILQDQVDOULVN\|QHWLPULVNLYHVHNW|UULVNLQGHQROXúDQYHL\LELUoHúLWOHQGLUPHLOH JLGHULOHELOPHVL PPNQ RODQ VLVWHPDWLN ROPD\DQ ULVNLQ WRSODP ULVN LoHULVLQGHNL SD\ÕQÕQ DUWWÕ÷ÕQÕ J|VWHUPHNWHGLU %,67  HQGHNVLQLQ WRSODP ULVN G]H\LQGHNL EX DUWÕúÕQQHGHQOHUL DUDVÕQGD 7UNL\H HNRQRPLVLQGH VRQ G|QHPGH DUWÕú J|VWHUHQ PDNURHNRQRPLN YH SROLWLN LVWLNUDUVÕ]OÕNODUJ|VWHULOHELOLU5LVNELOHúLPLQGHNLVLVWHPDWLNROPD\DQULVN\|QOGH÷LúLPLVH \DWÕUÕPFÕODU DoÕVÕQGDQ ROXPOX ELU VRQXo RODUDN GH÷HUOHQGLULOHELOLU %X VD\HGH \DWÕUÕPFÕODU DUWDQ ULVN G]H\LQH UD÷PHQ RSWLPDO ELU SRUWI|\ WHUFLKL LOH NHQGLOHULQL ULVNWHQ NRUX\DELOH FHNWLU

'R÷UXVDO 2OPD\DQ *ø* DOJRULWPDVÕ oHUoHYHVLQGH YRODWLOLWH PLQLPL]DV\RQXQD GD\DQDQ RSWLPDOSRUWI|\WHUFLKLQHLOLúNLQVRQXoODULVHRSWLPDOSRUWI|\ROXúWXUDQKLVVHVHQHGLVD\ÕVÕ QÕQKLVVHVHQHGLQGHQROXúWX÷XQXJ|VWHUPHNWHGLU8ODúÕODQEXVRQXo*|NoHYH&XUD LOH.HVNLQWUN'HPLUFLYH7ROXQWDUDIÕQGDQRUWD\DNRQDQEXOJXODUODSDUDOHO OLNJ|VWHUPHNWHGLUdDOÕúPDGDD\UÕFDDQDOL]NDSVDPÕQGDHOGHHGLOHQRSWLPDOSRUWI|\ELOHúL PLQLQHúLWD÷ÕUOÕNOÕ%,67SRUWI|\QQWRSODPULVNWXWDUÕQÕRUDQÕQGDD]DOWWÕ÷Õ VRQXFXQDXODúÕOPÕúWÕU/LWHUDWUGHNLGL÷HUoDOÕúPDODUODEHQ]HUOLNJ|VWHUHQDQDOL]VRQXoODUÕ 0DUMLQDO50'\|QWHPLQHGD\DQDQGR÷UXVDOROPD\DQSURJUDPODPDWHNQL÷LQLQ\DWÕUÕPFÕODU YH \DWÕUÕP GDQÕúPDQODUÕQFD SRUWI|\ RSWLPL]DV\RQX DPDFÕ\OD NXOODQÕODELOHFH÷LQL RUWD\D NR\PDNWDGÕU 0DUMLQDO 50' DQDOL]LQH 'R÷UXVDO 2OPD\DQ *ø* DOJRULWPDVÕQÕQ GDKLO HGLO PHVLVRQUDNLDNDGHPLNoDOÕúPDODUDoÕVÕQGDQGD\ROJ|VWHULFLRODFDNWÕU



.$<1$.d$

$/(;$1'(5 &DURO  0DUNHW 5LVN $QDO\VLV ,9 9DOXHDW5LVN 0RGHOV &KLFKHVWHU -RKQ :LOH\ 6RQV/WG

$/5$%$','LPD:DOHHG+DQQD3RUWIROLR2SWLPL]DWLRQ8VLQJ7KH*HQHUDOL]HG5HGXFHG *UDGLHQW1RQOLQHDU$OJRULWKP$Q$SSOLFDWLRQWR$PPDQ6WRFN([FKDQJH,QWHUQDWLRQDO-RXUQDO RI,VODPLFDQG0LGGOH(DVWHUQ)LQDQFHDQG0DQDJHPHQWVV

$/7,17$ù0$\KDQ%DQNDFÕOÕNWD5LVNYH6HUPD\H<|QHWLPL*RRJOH&RPPHUFH/WG %(.dø øVPDLO (52ö/8 $EGXOODK YH 868/ +D\UHWWLQ  3RUWI|\ 6HoLPL 3UREOHPLQH

%XODQÕN0DQWÕN<DNODúÕPÕ6OH\PDQ'HPLUHOhQLYHUVLWHVLøNWLVDGLYHøGDUL%LOLPOHU)DNOWHVL VV

%(//$/$+0RQGKHU'HULYDWLYHV5LVN0DQDJHPHQW 9DOXH7RK7XFN:RUOG6FLHQWLILF 3XEOLVKLQJ&R3WH/WG

'$9,'29,& 0LOLYRMH YH =(/(129,& 9HUD  0DQDJHPHQW RI ,QYHVWPHQW 3RUWIROLR ,GLRV\QFUDWLF5LVN-RXUQDORI(QJLQHHULQJ0DQDJHPHQWDQG&RPSHWLWLYHQHVVVV '(0ø5(/ø(UKDQYH7$1(5%HUQD5LVN<|QHWLPLQGH5LVNH0DUX]'H÷HU<|QWHPOHULYH

%LU 8\JXODPD 6OH\PDQ 'HPLUHO hQLYHUVLWHVL øNWLVDGL YH øGDUL %LOLPOHU )DNOWHVL  VV 

'20,$1 'DOH /28721 'DYLG YH 5$&,1( 0DULH   'LYHUVLILFDWLRQ LQ 3RUWIROLRV RI ,QGLYLGXDO6WRFNV6WRFNV$UH1RW(QRXJK7KH)LQDQFLDO5HYLHZVV

'2:'.HYLQ0HDVXULQJ0DUNHW5LVN&KLFKHVWHU-RKQ:LOH\ 6RQV/WG *$50$10DUN7DNLQJ9$5WR3LHFHV5LVN0DJD]LQHVV

*g.d( *|NoH $OS YH &85$ 7XQoKDQ  ø0.% +LVVH 6HQHGL 3L\DVDODUÕQGD ø\L dHúLWOHQGLULOPLú3RUWI|\%\NO÷QQ$UDúWÕUÕOPDVÕ<|QHWLP'HUJLVLVV

-25,21 3KLOLS  9DOXH DW 5LVN 7KH 1HZ %HQFKPDUN IRU 0DQDJLQJ )LQDQFLDO 5LVN QG (GLWLRQ1HZ<RUN0F*UDZ+LOO,QF

.(6.ø17h5. 7LPXU '(0ø5&ø (EUX YH 72/81 6HGD  ø\L dHúLWOHQGLULOPLú 3RUWI|\ %\NO÷QQ*HQHWLN$OJRULWPD7HNQL÷L.XOODQÕODUDNøQFHOHQPHVL6RV\DO%LOLPOHU'HUJLVL VV

.2112 +LURVKL YH <$0$=$., +LURDNL  0HDQ$EVROXWH 'HYLDWLRQ 3RUWIROLR 2SWLPL]DWLRQ0RGHODQG,WV$SSOLFDWLRQVWR7RN\R6WRFN0DUNHW0DQDJHPHQW6FLHQFH VV

.25.0$= 7XUKDQ YH %267$1&, $KPHW  50' +HVDSODPDODUÕQGD 9RODWLOLWH 7DKPLQOHPH 0RGHOOHULQLQ .DUúÕODúWÕUÕOPDVÕ YH %DVHO ,, <DNODúÕPÕQD *|UH *HUL\H '|QN 7HVW (GLOPHVLø0.%(QGHNVL8\JXODPDVÕ%XVLQHVVDQG(FRQRPLFV5HVHDUFK-RXUQDOVV 

.hdh..2&$2ö/8 *UD\  2SWLPDO 3RUWI|\Q 6HoLPL YH ø0.% 8OXVDO (QGHNVL h]HULQH%LU8\JXODPD%DQNDFÕOÕNYH)LQDQV'HUJLVLVV

/$, 7VRQJ<XH  3RUWIROLR 6HOHFWLRQ ZLWK 6NHZQHVV $ 0XOWLSOH2EMHFWLYH $SSURDFK 5HYLHZRI4XDQWLWDWLYH)LQDQFHDQG$FFRXQWLQJVV

/$6'21 /HRQ 6 )2; 5LFKDUG / YH 5$71(5 0DUJHU\ :  1RQOLQHDU 2SWLPL]DWLRQ 8VLQJWKH*HQHUDOL]HG5HGXFHG*UDGLHQW0HWKRG&DVH:HVWHUQ5HVHUYH8QLYHUVLW\

0$5.2:,7=+DUU\3RUWIROLR6HOHFWLRQ-RXUQDORI)LQDQFHVV

5<22 +RQJ 6HR  $ &RPSDFW 0HDQ9DULDQFH6NHZQHVV 0RGHO IRU /DUJH6FDOH 3RUWIROLR 2SWLPL]DWLRQ DQG ,WV $SSOLFDWLRQ WR WKH 1<6( 0DUNHW -RXUQDO RI WKH 2SHUDWLRQDO 5HVHDUFK 6RFLHW\VV

72681 gPU YH 258d (GD  3RUWI|\ %\NO÷QQ 3RUWI|\ 5LVNL h]HULQH (WNLOHUL ø0.% h]HULQGH 7HVW (GLOPHVL 6OH\PDQ 'HPLUHO hQLYHUVLWHVL øNWLVDGL YH øGDUL %LOLPOHU VV

85$/0HUW<DWÕUÕP)RQODUÕQÕQ3HUIRUPDQVYH5LVN$QDOL]L$QNDUD'HWD\<D\ÕQFÕOÕN 85$/0HUWYH'(0ø5(/ø(UKDQ%ø67%RUVD(QGHNVLQGH5LVN3URILOL$QDOL]L*D]L

øNWLVDWYHøúOHWPH'HUJLVLVV

<(1ø$< g]JU  $ &RPSDUDWLYH 6WXG\ RQ 2SWLPL]DWLRQ 0HWKRGV IRU 7KH &RQVWUDLQHG 1RQOLQHDU0DWKHPDWLFDO3UREOHPVLQ(QJLQHHULQJVV

<281*0DUWLQ$0LQLPD[3RUWIROLR6HOHFWLRQ5XOHZLWK/LQHDU3URJUDPPLQJ6ROXWLRQ 0DQDJHPHQW6FLHQFHVV