PERFORMANCE EVALUATION OF TURKISH TYPE A MUTUAL FUNDS AND PENSION STOCK FUNDS BY USING TOPSIS METHOD

Abstract

In this paper, it is evaluated performance of Turkish Type A mutual funds and pension stock funds by using TOPSIS method which is a multicriteria decision making approach. Both of these funds compose of stocks in their portfolios, so it can be enabled to compare each other. Generally, mutual or pension funds are evaluated according to their risk and return. At this point, it is used traditional performance measurement techniques of funds like Sharpe ratio, Sortino ratio, Treynor index and Jensen’s alpha. TOPSIS method takes into consideration all of these fund performance measurement techniques and provides more reasonable performance measurement

Keywords

• Pension Funds, Performance Evaluation, Topsis Method, Type A Fund.

References

1. Alper, Yusuf (2002), “Sosyal Güvenlikte Yeni Bir Adım: Bireysel Emeklilik”, Çimento İşveren Dergisi, Vol.
2. , No. 2, pp.11–32. Altıntaş, Kadir Murat (2008), “Türk Özel Emeklilik Fonlarının Risk Odaklı Yönetim Performansı: 2004–2006 Dönemine İlişkin Bir Analiz”, Anadolu Üniversitesi Sosyal Bilimler Dergisi, Cilt 8, Sayı 1,pp. 85–110. Arslan, Mehmet (2005), “ A Tipi Yatırım Fonlarında Yöneticilerin Zamanlama Kabiliyeti ve Performans
3. İlişkisi Analizi: 2002–2005 Dönemi Bir Uygulama”, Ticaret ve Turizm Eğitim Fakültesi Dergisi,2, pp.1–23. Benitez, Juan Manuel, Martin, Juan-Carlos and Concepciόn Román (2007), “Using Fuzzy Number for
4. Measuring Quality of Service in the Hotel Industry”, Tourism Management, Vol. 28, No.2, pp.544-555.
5. Blake, C.R., Elton, E.J. and Gruber, M.J.(1993), “The Performance of Bond Mutual Funds”, The Journal of
6. Business, Vol.66, No.3, pp.371–403.
7. Bolak, Mehmet (1991), Sermaye Piyasası, Menkul Kıymetler ve Portföy Analizi, First Edition, İstanbul:Beta.
8. CMB(2009), http://www.cmb.gov.tr/index.aspx [Accessed 20.03.2009]. Cesari, Riccardo and Fabio Panetta (2002), “The Performance of Italian Equity Funds”, Journal of

9. Banking&Finance , Vol.26, No.1, pp.99-126.
10. Dağlar, Hüseyin (2007), Kurumsal Yatırımcılar Olarak Emeklilik Yatırım Fonları ve Performanslarının
11. Değerlendirilmesi, İstanbul: Türkiye Bankalar Birliği.
12. Dahlquist, M., Engström, S. and Soderlind, P.(2000). “Performance and Characteristics of Swedih Mutual
13. Funds”, The Journal of Financial and Quantitative Analysis, Vol.35, No.3, pp. 409–423.
14. Detzler, M.L.(1999), “The Performance of Global Bond Mutual Funds”, Journal of Banking&Finance, 23, pp.1195–1217.
15. Doğanay, M. Mete (2002). “ Hisse Senedi Fonlarının Çok Kriterli Karar Yaklaşımı ile Derecelendirilmesi”,
16. Ankara Üniversitesi SBF Dergisi, Cilt 57, Sayı, 3, pp.31- 48.
17. Dowd, Kevin (2000), “Adjusting for Risk: An Improved Sharpe Ratio”, International Review of Economics
18. and Finance, 9, pp.209-222.
19. Ertuğrul, İrfan and Karakaşoğlu, Nilsen (2009), “Performance Evaluation of Turkish Cement Firms with
20. Fuzzy Analytic Hierarchy Process and TOPSIS Methods”, Expert Systems with Applications, 36, pp.702-715.
21. Gürsoy, Cudi Tuncer and Erzurumlu, Y. Ömer (2001), “Evaluation of Portfolio Performance of Turkish
22. Investment Funds”, Doğuş University Journal, Issue 4, pp.43-58.
23. Hwang, C.L. and Yoon, K.(1981), Multiple Attributes Decision Making Methods, Berlin:Springer.
24. ISE (2009). http://www.imkb.gov.tr/veri.htm [Accessed 15.01.2009].
25. Kaya, Yılmaz (2004), Çok Amaçlı Karar Verme Yöntemlerinden TOPSIS ve ELECTRE Yöntemlerinin
26. Karşılaştırılması. http://www.hho.edu.tr/huten/20032004%20SEMINER%20 INTERNET
27. /YILMAZ%20KAYA/YILMAZ%20KAYA%20%5BWORD%5D.pdf , [Accessed 1.15.2009]. Korkmaz, Turhan and Uygurtürk, Hasan (2007), “Türkiye’deki Emeklilik Fonlarının Performans Ölçümü ve
28. Fon Yöneticilerinin Zamanlama Yeteneği”, Akdeniz İ.İ.B.F. Dergisi, Vol.7, No.4, pp. 66-93. McDonald, John G. (1973), “French Mutual Fund Performance: Evaluation of Internationally-Diversified
29. Portfolios”, The Journal of Finance, Vol.28, No.5, pp.1161-1180. Moy, Ronald L. (2002), “Portfolio Performance Illustrations From Morningstar”, Journal of Education for
30. Business, Vol.77, No.4, pp.226-229.
31. Opricovic, S. and Tzeng, Gwo-Hshiung (2004), “Compromise solution by MCDM methods: A comparative
32. analysis of VIKOR and TOPSIS” European Journal of Operational Research, 156, pp.445–455.
33. Pendaraki, Konstantina, Doumpos, Michael and Constantin Zopounidis (2003), “Assessing Equity Mutual
34. Fund’s Performance Using A Multicriteria Methodology: A Comparative Analysis”, South Eastern Europe
35. Journal of Economics, 1, pp.85-104.
36. Seçme, Neşe Yalçın, Bayrakdaroğlu, Ali and Cengiz Kahraman (2009), “Fuzzy Performance Evaluation in
37. Turkish Banking Sector Using Analytic Hierrachy Process and TOPSIS (In Press).
38. Sharpe, William F. (1966). “Mutual Fund Performance”, Journal of Business, Vol.39, No.1, pp.119–138.
39. Shih, Hsu-Shih (2008), “Incremental analysis for MCDM with an application to group TOPSIS, European
40. Journal of Operational Research, 186, pp.720-734.
41. Teker, S., Karakurum, E. ve Tav, O. (2008). “Yatırım Fonlarının Risk Odaklı Performans Değerlemesi”,
42. Doğuş Üniversitesi Dergisi, Cilt 9, Sayı 1, pp.89-105.
43. Treynor, Jack L. (1965), “How to Rate Management of Investment Funds”, Harvard Business Review,
44. Vol.43, No.1, pp.63-75.