Performance evaluation of the Turkish pension fund system
Journal of Capital Markets Studies, cilt.3, sa.1, ss.18-33, 2019 (Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 3 Sayı: 1
- Basım Tarihi: 2019
- Doi Numarası: 10.1108/jcms-03-2019-0013
- Dergi Adı: Journal of Capital Markets Studies
- Derginin Tarandığı İndeksler: Scopus
- Sayfa Sayıları: ss.18-33
- Anahtar Kelimeler: Fund performance evaluation, Turkish pension system
- Boğaziçi Üniversitesi Adresli: Evet
Özet
Purpose: The purpose of this paper is to provide an in-depth performance evaluation of funds offered by the Turkish pension system. Design/methodology/approach: This paper compares aggregate fund index returns with the corresponding asset class returns, estimates a factor model to decompose excess returns to factor exposures, i.e., β return and excess return originating from residual α and analyzes persistence of fund returns using migration tables and Fama–MacBeth regressions and tests for market timing ability. Findings: Majority of pension funds are unable to generate excess returns. Majority of funds are unable to generate a positive α and fund returns are predominantly driven factor exposures. There is evidence for slight persistence in returns, mainly due to factor exposures and funds do not exhibit market timing ability. Originality/value: In this paper, the authors perform an in-depth analysis of pension fund performance for the Turkish pension fund system. The authors identify weaknesses and strengths of the pension fund industry and provide policy recommendations for a better design of pension fund system.