Median rƒ −13.71%
22.05% expected return / 41.25% volatility
Turkish Inflation Hedge
Real asset returns and portfolio allocations under Turkish inflation, under median and mean interest rate assumptions.
Overview
The study compares real returns on Turkish equities, government bonds, gold, Bitcoin and housing from January 2018 to September 2024. It asks which assets protected savings against Turkish inflation. Portfolio estimates use either the median or the mean real risk free rate.
What I built
- Co-authored the paper with Selin Acar and Denis Lasser.
- Aligned Bloomberg and TCMB EVDS series monthly and adjusted them for inflation.
- Ran a fully invested, long only Sharpe ratio optimization (SLSQP) under both rate assumptions.
Results
- Median rƒ portfolio: 22.05% expected return, 41.25% volatility, with 67.15% in housing and 24.67% in gold.
- Mean rƒ portfolio: 1.34% expected return, 19.77% volatility, with 57.76% in bonds and 30.21% in housing.
- Housing was a viable hedge, gold a modest one; BIST100 was inconsistent and Bitcoin speculative.
Results by rate
FULL RESEARCH WINDOW / 2018 to 2024
Portfolio results under two rate assumptions
2018201920202021202220232024 YTD
Seven yearly snapshots · 2018: Feb to Dec · 2024 YTD: Jan to Sep.
Additional yearly reconstruction: four assets and the fixed weight median portfolio. Headline CPI; TRY adjusted prices.
Published allocation
Published allocation
Exact saved optimizer outputs · weights in %
MEDIAN ASSUMPTION
Housing weight: 67.15%
67.15% of the published portfolio.
Mean rƒ −20.87%
1.34% expected return / 19.77% volatility
Expected model outputs, not a cumulative return over 6.75 years. The risk free input is the US 10 year yield adjusted for Turkish inflation.
Findings by asset
| Asset / series | Protection | Median rƒ | Mean rƒ |
|---|---|---|---|
| HousingTCMB national house price index | Viable hedge | 67.15% | 30.21% |
| GoldXAU · USD/oz | Modest hedge | 24.67% | 8.40% |
| BIST100XU100 · Turkish equities | Inconsistent hedge | 7.71% | 3.48% |
| BondsGTTRY10YR · Turkish 10 year government bond | Weak hedge | 0.00% | 57.76% |
| BitcoinXBT BGN · USD | Speculative hedge | 0.47% | 0.15% |
Limits
- Gold and Bitcoin are not converted via FX to TRY; the bond input is a yield proxy.
- Liquidity, costs and drawdown are outside the model.