Empirical Analysis of Risk Taking, Investment Efficiency and Diversification in Turkish Defined Contribution Pension Plans

Öz

This article empirically studies the risk levels of individual pension portfolios, investment efficiency and also the diversification of the pension investors in Türkiye with a novel administrative data with the month-end snapshots in December 2019. To examine the risk taking behavior, investment efficiency and the level of diversification of the Turkish pension investors, we compute beta coefficients, total risk together with idiosyncratic and systematic risk, Sharpe Ratio, the loss from under-diversification of investors’ pension portfolios. The results indicate that a substantial heterogeneity is evident in portfolio risk and the idiosyncratic risk contributes much more. We also find significant evidence on the inefficiency of investment and our results suggest that most of the Turkish pension investors design their portfolios inefficiently. The losses from under-diversification is widespread among Turkish investors as only a quarter of investors achieve risk reward profile better than the risk reward profile of the domestic benchmark equity index BIST 100.

Anahtar Kelimeler

• Pension Funds
• Retirement
• Risk
• Investment Inefficiency
• Under-diversification

Kaynakça

1. Balsızan, H. N. (2016). Emeklilik sistemi dahilinde faaliyet gösteren emeklilik yatırım fonlarının performans değerlendirmesi. (Unpublished PhD Thesis). T.C. İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İstanbul. Retrieved from: http://nek.istanbul.edu.tr:4444/ekos/TEZ/55066.pdf
2. Benartzi, S. and Thaler, R. H. (2007). Heuristics and biases in retirement savings behavior. Journal of Economic Perspectives, 21(3), 81-104. doi.org/10.1257/jep.21.3.81
3. Black, S. E., Devereux, P. J., Lundborg, P. and Majlesi, K. (2018). Learning to take risks? The effect of education on risk-taking in financial markets. Review of Finance, 22(3), 951-975. doi.org/10.1093/rof/rfy005
4. Bodie, Z. (1990). Pension as retirement income insurance. Journal of Economic Literature, 28(1), 28-49. Retirived from: https://www.jstor.org/stable/2727190
5. Börsch-Supan, A., Härtl, K. and Leite, D. N. (2016). Social security and public insurance. J. Piggott and A. Woodland (Eds.), In Handbook of the Economics of Population Aging (pp. 781-863). North-Holland: Elsevier. doi.org/10.1016/bs.hespa.2016.09.002
6. Calvet, L. E., Campbell, J. Y. and Sodini, P. (2007). Down or out: Assessing the welfare costs of household investment mistakes. Journal of Political Economy, 115(5), 707-747. doi.org/10.1086/524204
7. Calvet, L. E., Campbell, J. Y. and Sodini, P. (2009). Fight or flight? Portfolio rebalancing by individual investors. The Quarterly Journal of Economics, 124(1), 301-348. doi.org/10.3386/w14177
8. Calvet, L. E., Campbell, J. Y., Gomes, F., and Sodini, P. (2021). The cross-section of household preferences (No. w28788). NBER Working Paper Series, National Bureau of Economic Research, Cambridge. doi.org/10.3386/w28788

9. Can, Y. (2010). Bireysel emekliliğin Türkiye’deki durumu ve gelişimi. Ekonomi Bilimleri Dergisi, 2(2), 139-146. Retrieved from: https://dergipark.org.tr/tr/pub/ebd/issue/4856/66804
10. Chang, B.S. and Hwang E.Y. (2010). Pension fund risk management: Financial and actuarial modeling. M. Micocci, G.N. Gregoriou, and G.B. Masala (Eds.). Investment Decisions in Defined Contribution Pension Schemes Incorporating Incentives Mechanism (pp. 4-39) New York: CRC Press. doi.org/10.1201/9781439817544
11. Chovancova, B., Hudcovsky, J., and Kotaskova, A. (2019). The impact of stocks and bonds on pension fund performance. Journal of Competitiveness, 11(2), 22-35. doi.org/10.7441/joc.2019.02.02
12. Cichon, M. and Latulippe, D. (1998). Comprehensive quantitative modelling for a better pension strategy. Organisation for Economic Co-operation and Development (OECD) Working Paper, Aging Working Papers 3.6, 1-34. Retrieved from: https://www.oecd.org/els/public-pensions/2428871.pdf
13. Cole, S., Paulson, A. and Shastry, G. K. (2014). Smart money? The effect of education on financial outcomes. The Review of Financial Studies, 27(7), 2022-2051. doi.org/10.1093/rfs/hhu012
14. Egan, M. L., MacKay, A. and Yang, H. (2021). What drives variation in investor portfolios? Evidence from retirement plans (No. w29604). NBER Working Paper Series, National Bureau of Economic Research, 1-87. doi.org/10.3386/w29604
15. Ergenekon, Ç. (2001) Emekliliğin finansmanı, global özel emeklilik fonu uygulamaları ışığında ülkemiz için öneriler. İstanbul: Enis Matbaacılık
16. Erol, I. S. (2019). Sosyal güvenlik açısından bireysel emeklilik sisteminin önemi. İktisadi Yenilik Dergisi, 6(2), 10-29. Retrieved from: https://dergipark.org.tr/tr/pub/iy/issue/46636/530137
17. Gomes, F., Haliassos, M. and Ramadorai, T. (2021). Household finance. Journal of Economic Literature, 59(3), 919-1000. doi.org/10.1257/jel.20201461
18. Guiso, L. and Sodini, P. (2013). Chapter 21 - Household finance: An emerging field. G.M. Constantinides, M. Harris and R.M. Stulz (Eds.) Handbook of the Economics of Finance, 2(Part B), 1397-1532. doi.org/10.1016/B978-0-44-459406-8.00021-4
19. Güvercin, C.H. (2004). Sosyal Güvenlik Kavramı ve Türkiye’de Sosyal Güvenliğin Tarihçesi. Ankara Üniversitesi Tıp Fakültesi Mecmuası, 57(2), 89-95. Retrieved from: https://dergipark.org.tr/en/download/article-file/38937
20. İlhan, B. (2016). OECD ülkeleriyle karşılaştırmalı olarak Türkiye'de bireysel emeklilik sistemindeki gelişmeler üzerine eleştirel bir yaklaşım. Üçüncü Sektör Sosyal Ekonomi, 51(2), 157-184. Retrieved from: http://www.makalesistemi.com/panel/files/manuscript_files_publish/e61942b4897972dd6a60f8037db34c7c/5ab33da6d442c480af0f8eb3fd7da072/622da8198252efb.pdf
21. Ionescu, O.C. (2013). The evolution and sustainability of pension systems the role of the private pensions in regard to adequate and sustainable pensions. Journal of Knowledge Management, Economics and Information Technology, 3(6), 159-181. Retrieved from: http://www.scientificpapers.org/wp-content/files/13_Ionescu_Oana_THE_EVOLUTION_AND_SUSTAINABILITY_OF_PENSION_SYSTEMS.pdf
22. Kara, S. and Yıldız, Y. (2016). Türkiye’de bireysel emeklilik sistemi: 2012 sonrası yapılan reformlar ve beklentiler. İşletme ve İktisat Çalışmaları Dergisi, 4(1), 23-45. Retrieved from: https://dergipark.org.tr/en/download/article-file/355419
23. Thomas, A., Spataro L. and Mathew, M. (2014). Pension funds and stock market volatility: An empirical analysis of OECD countries. Journal of Financial Stability, 11, 92-103, doi.org/10.1016/j.jfs.2014.01.001
24. Türkoğlu, İ. (2013). Sosyal devlet bağlamında Türkiye’de sosyal yardım ve sosyal güvenlik, Akademik İncelemeler Dergisi, 8(3), 275-305. Retrieved from: https://dergipark.org.tr/en/download/article-file/17712
25. OECD (2022). OECD data, young population, total, % of population, 2021 or latest available. [Data set]. OECD. Retrieved from: https://data.oecd.org/pop/young-population.htm#indicator-chart
26. OECD (2020). OECD Pensions outlook 2020 – Highlights. OECD Publishing, Paris. Retrieved from: https://www.oecd.org/daf/fin/private-pensions/Pensions-Outlook-2020-highlights.pdf
27. OECD and IOPS, (2011). OECD/ IOPS Good Practices for Pension Funds’ Risk Management Systems. Retrieved from: https://www.oecd.org/daf/fin/private-pensions/46864889.pdf
28. Sezgin, S. and Yıldırım, T. (2015). Türkiye’de bireysel emeklilik sisteminin etkinliği. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 10(2), 123-140. Retrieved from: https://www.researchgate.net/publication/289506411_Turkiye'_de_Bireysel_Emeklilik_Sisteminin_Etkinligi
29. Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119–138. Retrieved from: http://www.jstor.org/stable/2351741
30. Türkiye Sigorta, (2022). Bireysel Emeklilikte Otomatik Katılım. Retrieved from: https://www.otomatikbes.info/files/otomatik-katilim-nedir.pdf
31. Uluçay, H., Keser, İ.K. and Kocakoç, İ.D. (2020), Türkiye’de bireysel emeklilik sistemine giriş kararlarını etkileyen faktörler ve 2017 sonrası sistemde yapılan düzenlemeler, Aydın Adnan Menderes University Journal of Institute of Social Sciences, 7(1), 115-137. Retrieved from: https://dergipark.org.tr/en/download/article-file/17712
32. Wang, P., Zhang, M., Shand, R. and Howell, K. (2014) Retirement, pension systems and models of pension systems (June 6, 2014). Available at SSRN: https://ssrn.com/abstract=2476907. doi.org/10.2139/ssrn.2476907
33. World Bank. (2000). Portfolio limits: Pension investment restrictions compromise fund performance. World Bank Pension Reform Primer Series. World Bank: Washington, DC. Retrieved from: https://openknowledge.worldbank.org/handle/10986/11445
34. Yaşarlar, Y. (2016). Aktüeryal dengenin sürdürülebilirliği: Türkiye deneyimi, (Unpublished PhD Thesis). T.C. İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İstanbul. Retrieved from: http://nek.istanbul.edu.tr:4444/ekos/TEZ/54721.pdf
35. Yao, H., Lai, Y., Ma, Q. and Jian, M. (2014). Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean-variance framework. Insurance: Mathematics and Economics, 54(1), 84–92, doi.org/10.1016/j.insmatheco.2013.10.016.