Türkiye’deki Bireysel Emeklilik Fonlarının Performans Analizi, Faizsiz Fonlar İle Faizli Fonların Karşılaştırılması

Abstract

Individuals can gain additional income during their retirement periods by directing their savings in the pre-retirement period to long-term investments through the private pension system. Private pension system operates on a voluntary basis in Turkey. Savings of individuals are invested in funds managed by pension companies. In Turkey, private pension activities started in 2003 in order to reduce the burden of the social security system. These activities are designed to complement the system, not as an alternative to the system. In order to expand private pension activities to wider masses, it was aimed to include people who refrain from interest bearing instruments in the system. In this regard, legislative changes were made in 2008. As a result of the aforementioned changes, the participation pension system started to operate in Turkey, the funds that were not initially within the financial system due to lack of interest-free products were transferred into the system and more people were able to benefit from the private pension system. The aim of this study is to measure the performance of interest bearing and interest-free funds within the "Voluntary Pension Funds", which operate uninterruptedly in the period of 2017 January - 2021 June (4.5 years); on the basis of fund groups, by using various measurement techniques to make comparative analysis. It is revealed that participation pension funds have shown a rapid growth in Turkey, but they offer less portfolio diversity to their participants compared to interest-bearing pension funds. Interest-bearing funds are exceeding interest-free ones in terms of the number and size of funds. The returns of the funds were examined for 6 different fund types both on an annual basis and in a cumulative 4.5-year period. In the 4.5-year period, the average returns of interest-free funds are higher than interest-bearing funds in all groups, except for gold funds. In the analysis, funds were also analyzed their risk levels. In the analyzed period, interest-free funds provided better returns on average than interest-bearing funds in all risk groups. While the high-risk group provides the highest return, the lowest return belongs to moderate risky interest-bearing funds. According to the legislation, the participants have the right to change the fund composition and shift the pension company. Participants can take positions according to market conditions in fund selection. It is insufficient to evaluate funds solely on their past return performance. There are various methods to measure the performance of funds. Within the scope of the study, funds performance analysis was conducted by using Sharpe, Treynor and Jensen (Alpha) Criteria. In the final part of the study, pension companies were scored on an annual basis by the risk groups. Return, Sharpe and Treynor Jensens alpha measures were deployed for scoring the funds. The final scores of the companies were reached by the annual scores weighted with the volume of the funds.