Performance evaluation of the Turkish pension fund system

Tolga Umut Kuzubas, Burak Saltoğlu, Ayberk Sert and Ayhan Yüksel

Journal of Capital Markets Studies, 2019, vol. 3, issue 1, 18-33

Abstract: 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.,βreturn and excess return originating from residualαand 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 positiveαand 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.

Keywords: Fund performance evaluation; Turkish pension system (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jcmspp:jcms-03-2019-0013

DOI: 10.1108/JCMS-03-2019-0013

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