AN EVALUATION OF TURKISH MUTUAL AND PENSION FUNDS’ PERFORMANCES

Year 2017, , 131 - 142, 30.06.2017

Jale S. Oran Emin Avci , Mahmood Ashoor Omer Faruk Tan

https://doi.org/10.17261/Pressacademia.2017.399

Abstract

This study evaluates the performance of Turkish type-A
equity mutual funds and growth equity pension funds for the period between
01.01.2009 and 31.12.2015, using the Sharpe, Sortino, Treynor, Jensen, and
Information ratio models, followed by the TOPSIS (Technique for Order
Preference by Similarity to Ideal Solution) model, which combines the
previously mentioned evaluation techniques to reach to a comprehensive ranking
of the funds. In addition, the study tests the ability of fund managers to
outperform the market using Jensen’s alpha and Treynor-Mazuy models. In this
study, a total of 15 type-A mutual funds and 10 growth equity pension funds
have been evaluated and ranked. After using the Jensen’s alpha and
Treynor-Muzay models, the results, in general, indicate that the managers of
these funds do not possess the ability to outperform the market neither by
stock selection nor by market timing. For market timing, only one pension fund
has a statistically significant measure implying that its management possesses
the ability to time their investments according to their expectations of the
future movements of the market. On the other hand, only one mutual fund shows
to have outperformed the market by stock selectivity while statistically
significant at the 1% level. The study also ranked the mutual and pension funds
using the Sharpe, Sortino, Treynor, Information ratio and Jensen models,
followed by the TOPSIS model. On the average, pension funds seem to outperform
mutual funds when Treynor, Information, and Jensen models are considered.
While, when Sharpe and Sortino models are considered, mutual funds seem to
outperform pension funds. In addition, it seems that mutual funds outperform
pension funds when all measures are combined using the TOPSIS model. 

Keywords

TOPSIS method, mutual funds, pension funds, Jensen’s Alpha, market timing ability

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