BİREYSEL EMEKLİLİK SİSTEMİ FONLARI PERFORMANSININ OMEGA RASYOSU İLE ANALİZİ

Year 2024, Issue: 68, 137 - 143, 31.08.2024

Murat Akkaya , Eda Ekinci

https://doi.org/10.18070/erciyesiibd.1435667

Abstract

Son zamanlarda otomatik katılım sistemi ile Türkiye’de ilgi odağı olan Bireysel Emeklilik Sistemi (BES) sistemi birçok ülkede uygulanan bir alternatif emeklilik sistemi ayağıdır. Etkin uygulamanın olduğu ülkelerde BES sistemleri tasarruf oranına ciddi katkılar sağlamaktadır. Ayrıca kurumlar farklı yöntemlerle bu fonların performanslarını ölçmekte ve bu sayede katılımcıdaki risk ve getiri algısını değiştirmeyi hedeflemektedir. Bu çalışmanın amacı emeklilik fonlarının performans analizi için kullanılmamış olan Omega oranı ile emeklilik fonları için bir performans analizi sunmaktır. Omega oranı; minimum kabul edilebilir getiriye karşılık gelen bir eşiğe göre getiriyi iki alt bölüme ayırmaktadır. Bu ölçü kazanç beklentisi (getiri eşiğin üzerindedir) ile kayıp beklentisi (getiri eşiğin altındadır) arasındaki oran olarak tanımlanmaktadır. Bu çalışmada emeklilik fonlarının performans analizi için kullanılmamış bir oran olan Omega oranı ile altın, hisse senedi, borçlanma araçları ve değişken emeklilik fonları için yeni performans analizi sunulmaktadır. Çalışma Omega oranın da diğer oranlar gibi performans analizinde kullanılabileceğini göstermektedir. Dört adet emeklilik yatırım fonu çeşidi için yapılan Omega performans analizinde en yüksek Omega rasyoları borçlanma araçları emeklilik fonlarınındır. En düşük omega performansları hisse senedinde gözlemlenmiştir.

Keywords

Bireysel Emeklilik Sistemi, Fon Performansı, Omega Oranı, Türkiye

Ethical Statement

Çalılmanın sebebiyle etik kurul izni gerektirmeyen çalışmalar arasında yer aldığını beyan ederiz.

Supporting Institution

Yok

Project Number

yok

Thanks

yok

ANALYSIS OF THE PRIVATE PENSION SYSTEM FUNDS PERFORMANCE WITH OMEGA RATIO

Abstract

The Private Pension System (PPS), which has recently become the focus of attention with its automatic participation system in Türkiye, is an alternative pension system implemented in many countries. Private Pension System make serious contributions to the savings rate in countries where there is an effective application. In addition, institutions measure the performance of these funds with different methodologies, and they aim to change the risk and return perception of the participants. The aim of this study is to present a performance analysis for pension funds with the Omega ratio, which has not been used for performance analysis of pension funds. Omega ratio divides the return into two subdivisions according to a threshold corresponding to the minimum acceptable return. This measure is defined as the ratio between expectation of gain (return is above the threshold) and expectation of loss (return is below the threshold). A new performance analysis is presented in this study for gold, stocks, debt instruments and variable pension funds with the Omega ratio, which is a ratio that has not been used for performance analysis of pension funds. The study shows that the Omega ratio can be used in performance analysis like other ratios. In the Omega performance analysis conducted for four types of pension investment funds, the highest omega ratios belong to debt instruments pension funds. The lowest Omega performances were observed in stocks.

Keywords

Private Pension System, Fund Performance, Omega Ratio, Turkiye

Project Number

yok

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