Kuantile
Real Return, Currency Decomposition, Liquidity Risk and Fund Style Analysis
The four concepts in this article share one theme: they all measure the hidden costs behind your on-screen return. Inflation, currency, liquidity and what a fund actually holds — all four hide behind the nominal number.
Real return: earning 45% may not be enough
In Türkiye, nominal return alone is meaningless: a portfolio that earned 45% lost purchasing power if inflation ran at 55%. Kuantile deflates returns with the TurkStat CPI index and shows the trailing-12-month real result. The punchline metric is the probability of real loss: if current return and volatility persist, the chance that you are down in real terms twelve months from now. It converts a vague feeling into a single probability. In v1 the inflation expectation equals trailing realized inflation and inflation's own uncertainty is not modeled — read the number as a compass, not a certainty.
Currency decomposition: one bet or many?
For a TRY-based investor holding US stocks, crypto and gram gold — how much of the risk is actually USDTRY? The answer is usually "most of it," and seeing that is a moment of clarity. The math is clean: a USD asset's TRY return decomposes exactly into local return + FX return. Portfolio variance then splits into three parts: local asset risk, currency risk, and the covariance between them. A high FX share means that while you think you are spread across assets, you are holding one big currency bet — not necessarily wrong, but a bet to hold knowingly.
Liquidity-adjusted VaR: how wide is the exit?
VaR assumes you can close the position today. In the lower tiers of Borsa Istanbul that assumption breaks: if your position is a multiple of daily volume, your own selling moves the price. The simple, effective approach: assume you can exit at 25% of average daily volume, compute the days to exit (T), and scale VaR by √T — because you stay exposed for T days. Kuantile lists each position's exit time and flags anything above 5 days. Honesty note: bid-ask spread cost is not included, as no reliable spread data exists; for small caps the true cost is somewhat higher than shown. TEFAS funds are assigned ~2 days for the redemption cycle.
Fund style analysis: behavior, not labels
A TEFAS fund may say "equity" in its name; what it actually does is written in its price moves. Sharpe's style analysis runs the fund's returns through a constrained regression against core indices (BIST 100, USD/TRY, gold, S&P 500, cash): weights cannot be negative and must sum to 1. The result is the fund's "effective composition." Three companion numbers matter: R² (how much of the fund's behavior these indices explain), tracking error (annual deviation from the index mix) and the information ratio (whether that deviation turned into return). If an "equity" fund's effective weight sits in cash, there is nowhere else in Türkiye you would see it.
See your portfolio's hidden costs →