Style analysis and performance evaluation of private pension funds

The number and total value of pension funds in Turkey is increasing every day. As of the end of 2021, approximately one out of every 12 people has savings in pension funds with a total value of more than TL 244 billion. In this thesis, the style analysis of 114 pension funds operating continuously between the years 2012-2021, fund performance according to various single and multi-parameter methods and the distribution of the funds according to the risk values determined by the Capital Markets Board with various criteria were examined in an attempt to provide a comprehensive framework for the analysis of the funds. Approximate confidence intervals were determined for the factor sensitivities obtained as a result of the style analysis and the statistical significance of the style weights was evaluated. The performance of the funds is compared with passive portfolios that mimic the funds' returns with minimum risk, with passive portfolios that mimic the funds' risk levels with maximum returns, and with a passive portfolio that is assumed to be distributed in fixed and equal proportions to the chosen asset classes. The results indicate that as of 2021, 114 funds, whose total value constitutes approximately 41% of all pension funds, failed to provide a promising performance. It has been found that BIST Technology index and gold, which are the two most attractive investment alternatives among the 8 indexes included in the analysis in terms of risk-adjusted returns in the 10-year period examined, are the least preferred options by the funds subject to this study. It has been determined that the BIST Financials index, which is the most preferred by pension funds after risk-free interest, had the second weakest performance among the 8 indexes. One of the most striking results of the study is that 76 of 114 pension funds yielded returns below the equally weighted passive benchmark portfolio. Another striking finding is that an investor who invests only in gold during the relevant period may have generated higher returns from 110 funds, and an investor who only bought and held US dollars may have generated higher returns from 90 funds. Considering the aforementioned, it can be inferred that the selective ability of pension funds and the value added to the pension savings of the people by active management are controversial.