IDEAS home Printed from https://ideas.repec.org/a/eco/journ4/2018-04-7.html
   My bibliography  Save this article

Türkiye’deki Emeklilik Yatýrým Fonlarýnýn Performanslarýnýn BIST-100 Endeksinin Performansý Ýle Karþýlaþtýrýlmasý

Author

Listed:
  • Seçkin Arslan

    (Niðde Ömer Halisdemir Üniversitesi, Ýktisadi ve Ýdari Bilimler Fakültesi, Bankacýlýk ve Finans Bölümü, Niðde)

  • Mehmet Sinan ÇELÝK

    (Niðde Ömer Halisdemir Üniversitesi, Ýktisadi ve Ýdari Bilimler Fakültesi, Bankacýlýk ve Finans Bölümü, Niðde.)

Abstract

Bireysel emeklilik sisteminin ortaya çýkmasý ile birlikte yeni bir finansal araç olarak adlandýrýlan emeklilik yatýrým fonlarý da faaliyetlerine baþlamýþtýr. Türkiye’de önemi her geçen gün giderek artmakta olan bireysel emeklilik sisteminde biriken fon büyüklüðü 2018 yýlý Ekim ayý itibariyle 85 Milyar Türk Lirasýný aþmýþtýr. Toplanan bu fonlarýn, kaynak bulma maliyetlerini önemli ölçüde düþürdüðü, sermaye piyasalarýnýn geliþmesine ve derinleþmesine yardýmcý olarak uzun vadeli yatýrýmlarýn artmasýna yol açtýðý, ekonomik ve finansal istikrarýn saðlanmasýna olumlu katkýda bulunduðu ifade edilmektedir. Bu kapsamda çalýþmanýn amacý, bireysel emeklilik sistemde yer alan emeklilik yatýrým fonlarýnýn gösterdiði performanslarý ölçmektir. Çalýþmada, yatýrýmcýlar için önemli bir yatýrým aracý olarak görülen ve bireysel emeklilik sistemi içerisinde yer alan 157 adet emeklilik yatýrým fonunun 2014 yýlý Ocak ayý ile 2017 yýlý Aralýk ayý arasýnda gösterdiði performanslarýn ölçümü; Sharpe Oraný, Treynor Oraný ve Jensen Ölçütü kullanýlarak hesaplanmýþ ve performans analizi sonucunda elde edilen çýktýlar ayný dönemdeki BÝST-100 endeksinin performansý ile karþýlaþtýrýlmýþtýr. Çalýþmadan elde edilen sonuçlar incelendiðinde; Sharpe Oranýna göre, 48 adet bireysel emeklilik yatýrým fonunun, Treynor Oraný göre 21 adet emeklilik yatýrým fonunun, Jensen Ölçütüne göre ise 51 adet emeklilik yatýrým fonunun karþýlaþtýrma ölçütü olarak alýnan BÝST-100 endeksinden daha iyi bir performans sergilediði sonucuna ulaþýlmýþtýr.

Suggested Citation

  • Seçkin Arslan & Mehmet Sinan ÇELÝK, 2018. "Türkiye’deki Emeklilik Yatýrým Fonlarýnýn Performanslarýnýn BIST-100 Endeksinin Performansý Ýle Karþýlaþtýrýlmasý," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 6(4), pages 61-73.
    • Handle: RePEc:eco:journ4:2018-04-7
    as

    Download full text from publisher

    File URL: http://www.isletmeiktisat.com/index.php/iicd/article/download/129/pdf_90
    Download Restriction: no
    File URL: http://www.isletmeiktisat.com/index.php/iicd/article/view/129/pdf_90
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Blake, Christopher R & Elton, Edwin J & Gruber, Martin J, 1993. "The Performance of Bond Mutual Funds," The Journal of Business, University of Chicago Press, vol. 66(3), pages 370-403, July.
    2. Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 2000. "Performance and Characteristics of Swedish Mutual Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(3), pages 409-423, September.
    3. McDonald, John G, 1973. "French Mutual Fund Performance: Evaluation of Internationally-Diversified Portfolios," Journal of Finance, American Finance Association, vol. 28(5), pages 1161-1180, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Grose, Chris & Dasilas, Apostolos & Alexakis, Christos, 2014. "Performance persistence in fixed interest funds: With an eye on the post-debt crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 155-182.
    2. Dariusz Filip, 2011. "Performance Persistence of Equity Funds in Hungary," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(1), March.
    3. John Ammer & John Rogers & Gang Wang & Yang Yu, 2023. "Chinese Asset Managers’ Monetary Policy Forecasts and Fund Performance," Management Science, INFORMS, vol. 69(1), pages 598-616, January.
    4. Braun, Alexander & Ben Ammar, Semir & Eling, Martin, 2019. "Asset pricing and extreme event risk: Common factors in ILS fund returns," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 59-78.
    5. Christensen, Michael, 2003. "Evaluating Danish Mutual Fund Performance," Finance Working Papers 03-4, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    6. Luis Vicente & Luis Ferruz, 2005. "Performance persistence in Spanish equity funds," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1305-1313.
    7. Bechmann, Ken L. & Rangvid, Jesper, 2007. "Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 662-693, December.
    8. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2011. "Fixed-income fund performance: Role of luck and ability in tail membership," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 379-392, June.
    9. Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2010. "Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences," Review of Finance, European Finance Association, vol. 15(2), pages 441-474.
    10. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    11. Paulo Leite & Manuel Rocha Armada, 2017. "Bond Fund Performance During Recessions and Expansions: Empirical Evidence from a Small Market," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 163-170, March.
    12. Jondeau, E. & Rockinger, M., 2004. "The Bank Bias: Segmentation of French Fund Families," Working papers 107, Banque de France.
    13. Greg Hebb, 2021. "On the performance of Bank-managed mutual funds: Canadian evidence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(1), pages 22-48, January.
    14. Nanda, Vikram K. & Wang, Z. Jay & Zheng, Lu, 2009. "The ABCs of mutual funds: On the introduction of multiple share classes," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 329-361, July.
    15. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand B. Maillet, 2014. "A Survey On The Four Families Of Performance Measures," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 917-942, December.
    16. Du, Ding & Huang, Zhaodan & Blanchfield, Peter J., 2009. "Do fixed income mutual fund managers have managerial skills?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 378-397, May.
    17. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
    18. Jeff Madura & Martina K. Bers, 2002. "The performance persistence of foreign closed‐end funds," Review of Financial Economics, John Wiley & Sons, vol. 11(4), pages 263-285.
    19. Dass, Nishant & Nanda, Vikram & Wang, Qinghai, 2013. "Allocation of decision rights and the investment strategy of mutual funds," Journal of Financial Economics, Elsevier, vol. 110(1), pages 254-277.
    20. Del Guercio, Diane & Dann, Larry Y. & Partch, M. Megan, 2003. "Governance and boards of directors in closed-end investment companies," Journal of Financial Economics, Elsevier, vol. 69(1), pages 111-152, July.

    More about this item

    Keywords

    Pension Mutual Fund; Performance Evaluation; Sharpe Ratio; Treynor Ratio; Jensen;
    All these keywords.

    JEL classification:

    • H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eco:journ4:2018-04-7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ilhan Ozturk (email available below). General contact details of provider: http://www.isletmeiktisat.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.