Comparative performance analysis of participation pension investment funds within the framework of participation banks

The aim of this study is to analyze the comparative performance of pension founds on Participation Pension system in Turkey between 2016-2018. Different performance measurement techniques were used for performance measurement. In this study the highest total portfolio value of 15 funds were selected from within the interest-free funds operating in Turkey. Monthly average returns are calculated from daily price movements of funds for 2016-2018. Monthly average returns of selected funds were analyzed using different performance measurement techniques. Jensen (Alpha) Criterion, Beta Ratio, Sharpe Criterion and Sortino Criterion were used as performance measurement techniques in the analysis. According to Jensen criteria, in 2016, only three funds performed positively against the market, while in 2017 and 2018. the number of funds decreased into two. According to the Beta criteria, all funds performed positively, while the number of funds according to Sharpe criteria is four. Finally, according to the sortino performance criterion, four funds outperformed the market in 2016, while this number decreased to two in 2017, but rose to four in 2018. As a result of the analysis covering the years 2016-2018; According to Jensen, Sharpe and Sortino, most funds performances are below the market performances.