Analysis of private pension funds and portfolio performances in Turkey

The Private Pension System, which started to be implemented in Chile at the beginning of the 1980s and then spread all over the world, took effect as compulsory participation practices in some countries and as a complement to the existing public social security systems in others. The private pension system, which has reached a wide audience all over the world thanks to compulsory/non-compulsory participation practices, became operational with the approval of the first pension plans created by pension companies in also Turkey in 2003. The aim of this study is to examine the risk and return performances of the private pension system, which has been constantly developing since its establishment and the pension funds that form the basis of this system against the market (benchmark) indices. In the study, beta coefficients showing both the systematic risk of a financial asset and the extent to which a private pension fund moves with the market under the Financial Asset Pricing Model. Beta coefficients of the pension funds were calculated by using regression models for funds that belonging to gold, stock, and government debt fund groups, which are determined to be stationary at levels. The ARDL bounds test, which is based on the least squares method and allows the short and long-term relationships to be investigated, was used to find out pension money market funds betas, which were determined not to be stationary in unit root tests. In the applied analysis part of the study; The beta coefficient values calculated separately for the pension gold funds, stock funds, government debt funds and money market funds were found to be less than 1 for all selected funds except Garanti Emeklilik ve Hayat A.Ş. Kamu Borçlanma Araçları EYF (GKB). In the study, GKB which has both the largest beta coefficient value with 1.0589 and the only fund with a beta greater than 1, is in the high risk-expected return group due to its beta coefficient. In addition, it has been determined that other selected funds with a beta of less than 1 are less affected by the change in any factor affecting risk and return, compared to the market portfolio, and these funds are also in the low risk-expected return group.