Performance analysis of pension funds based on participation in Turkey

Fund type based on participation is composed of rent certificates, participation accounts, partnership shares, gold and other precious metals and other interest-free money and capital market instruments deemed appropriate by the Capital Markets Board. The purpose of this study is to analyze the performance of private pension funds based on participation by Sharpe Ratio, Treynor Ratio, Jensen`s Alpha, M2, T2 and Appraisal Ratio. While determining individual pension funds based on participation, the fund statute was examined and it was determined that 53 of the 266 retirement mutual funds operating as of 21.03.2019 were pension funds based on participation. 40 of these funds were used in the analysis since they have started operations before 01.08.2014. As a result of this study, the performances of 10 funds in 40 funds were positive while the performances of the other 30 funds were negative. 9 out of 10 successful pension investment funds have been identified as capital market instruments based on gold. There were no differences between the fund performances of the fund companies that managed the 40 funds analyzed, and the performances of funds managed by public and private companies. It was also reported that the performance of high-risk participation-based pension investment funds were more successful. The portfolio managers of the private pension funds based on participation do not have selectivity and timing abilities. The participation-based pension investment funds, which consist of gold-based capital market instruments, were not affected by the crisis, while other funds were negatively affected by the crisis.