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Türkiye’deki Emeklilik Yatýrým Fonlarýnýn Performanslarýnýn BIST-100 Endeksinin Performansý Ýle Karþýlaþtýrýlmasý

Author

Listed:
  • Seçkin Arslan

    (Niðde Ömer Halisdemir Üniversitesi, Ýktisadi ve Ýdari Bilimler Fakültesi, Bankacýlýk ve Finans Bölümü, Niðde)

  • Mehmet Sinan ÇELÝK

    (Niðde Ömer Halisdemir Üniversitesi, Ýktisadi ve Ýdari Bilimler Fakültesi, Bankacýlýk ve Finans Bölümü, Niðde.)

Abstract

Bireysel emeklilik sisteminin ortaya çýkmasý ile birlikte yeni bir finansal araç olarak adlandýrýlan emeklilik yatýrým fonlarý da faaliyetlerine baþlamýþtýr. Türkiye’de önemi her geçen gün giderek artmakta olan bireysel emeklilik sisteminde biriken fon büyüklüðü 2018 yýlý Ekim ayý itibariyle 85 Milyar Türk Lirasýný aþmýþtýr. Toplanan bu fonlarýn, kaynak bulma maliyetlerini önemli ölçüde düþürdüðü, sermaye piyasalarýnýn geliþmesine ve derinleþmesine yardýmcý olarak uzun vadeli yatýrýmlarýn artmasýna yol açtýðý, ekonomik ve finansal istikrarýn saðlanmasýna olumlu katkýda bulunduðu ifade edilmektedir. Bu kapsamda çalýþmanýn amacý, bireysel emeklilik sistemde yer alan emeklilik yatýrým fonlarýnýn gösterdiði performanslarý ölçmektir. Çalýþmada, yatýrýmcýlar için önemli bir yatýrým aracý olarak görülen ve bireysel emeklilik sistemi içerisinde yer alan 157 adet emeklilik yatýrým fonunun 2014 yýlý Ocak ayý ile 2017 yýlý Aralýk ayý arasýnda gösterdiði performanslarýn ölçümü; Sharpe Oraný, Treynor Oraný ve Jensen Ölçütü kullanýlarak hesaplanmýþ ve performans analizi sonucunda elde edilen çýktýlar ayný dönemdeki BÝST-100 endeksinin performansý ile karþýlaþtýrýlmýþtýr. Çalýþmadan elde edilen sonuçlar incelendiðinde; Sharpe Oranýna göre, 48 adet bireysel emeklilik yatýrým fonunun, Treynor Oraný göre 21 adet emeklilik yatýrým fonunun, Jensen Ölçütüne göre ise 51 adet emeklilik yatýrým fonunun karþýlaþtýrma ölçütü olarak alýnan BÝST-100 endeksinden daha iyi bir performans sergilediði sonucuna ulaþýlmýþtýr.

Suggested Citation

  • Seçkin Arslan & Mehmet Sinan ÇELÝK, 2018. "Türkiye’deki Emeklilik Yatýrým Fonlarýnýn Performanslarýnýn BIST-100 Endeksinin Performansý Ýle Karþýlaþtýrýlmasý," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 6(4), pages 61-73.
    • Handle: RePEc:eco:journ4:2018-04-7
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    References listed on IDEAS

    as
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    3. McDonald, John G, 1973. "French Mutual Fund Performance: Evaluation of Internationally-Diversified Portfolios," Journal of Finance, American Finance Association, vol. 28(5), pages 1161-1180, December.
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    More about this item

    Keywords

    Pension Mutual Fund; Performance Evaluation; Sharpe Ratio; Treynor Ratio; Jensen;
    All these keywords.

    JEL classification:

    • H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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