An evaluation of Turkish mutual and pension funds performances

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.