(The Comparative Performance Analysis of the Pension Mutual Funds: Turkish Sample)

Abstract

Purpose – This study aimed to analyze the funds evaluated in the private pension system with performance measurement models. Design/methodology/approach – Sharpe Ratio where risk is expressed as standard deviation, Treynor Ratio and Jensen Criterion based on systematic risk (beta) as well as performance criterion were used. In the performance evaluation of stock pension mutual funds, BIST-100 index, which is accepted as market index, is used as a benchmark. Findings – The obtained results of the study show that 16 out of 19 analyzed stock pension mutual funds outperformed the returns of BIST-100. The remaining 3 stock pension mutual funds did not perform successfully as they had lower returns than of the BIST-100 yield. When the results obtained were examined, similar results were reached in all performance measurement models. In other words, performance measurement models based on systematic risk or total risk did not change performance results. Discussion – When the results obtained are evaluated for the investors, it can be said that the desired method can be used in the performance evaluation since there is no difference between the methods used in fund performance measurement. However, the results obtained from the study are valid only for mutual funds in the sample. Analyses where different types of mutual funds are examined and / or compared will constitute the subject of new studies.