How To Analyze A Pension Fund

Transcription

1 PENSION MUTUAL FUNDS INVESTMENT PERFORMANCE: THE CASE OF TURKEY İlhan Ege Mersin University, Turkey Emre Esat Topaloğlu Mersin University, Turkey Dilek Coşkun Erdoğan Şırnak University, Turkey ABSTRACT Private investment funds are quite an important type of investment in terms of creating resources in developing and developed countries. Along with the start of the individual pension system in Turkey in 003, the number of investors, pension funds, and the funds managed are increasing day by day. In this study, we investigate 77 pension funds active between October, 008 and September, 010 in Turkey to find out the funds with the highest and the lowest performances on the basis of assessment methods such as Sharpe, Modigliani, and Sortino based on standard deviation. Keywords: Pension Funds, Sharpe Rate, M Performance Criteria, Sortino Rate. JEL Codes: G3, G11, C14 I. INTRODUCTION People in developing or underdeveloped countries themselves save for their future throughout their work life, whereas in developed countries financial institutions manage people s 1

2 investments. However, since such types of investments are generally acknowledged as issues concerning public life, governments do not solely depend on private companies to deal with such investments. Governments also work on amendments in order to eliminate the problems that could result from the market system and in the end to provide people with a stable income after retirement (Al, 00). In Turkey, with the social security reform, it is aimed that the new system is constructed three dimensionally. First, the social security institutions were united into one institution. Second, it was made obligatory to open an individual pension account. People who are involved in the first step become the participants of the second step as well. Finally, there exist optional individual pension accounts. The construction of this three-dimensional social security system is made possible through the Private Pension Law numbered 463 (Individual Pension, Saving and Investment System Law) (Ege, 006). Private pension funds have, to a large extent, benefited the restructuring of social security systems implemented throughout the world. Private pension funds have also contributed to the development of capital market in that they have converted the funds collected into investment (Ege, 003). There has been an outstanding increase in the number of participants, pension funds, and the amount of fund managed since the implementation of the new individual pension system in 003 in Turkey. The savings transferred into pension funds are made use of in the money and capital market and thus these savings constitute an important source for developing Turkish economy thanks to the pension funds (Altintas, 008). Upon the investigation of the distribution of total savings in the world, it is observed that private pension funds constitute the biggest part after insurance funds. In countries such as USA, Canada, and England, the ratio of private pension funds is a lot higher compared to other countries (Ege, 007). Through the use of private pension funds, the biggest institutional investment in developed countries, the aim in Turkish capital market is to increase the investments and thus to develop the capital market (Ege, 00). In the individual pension system, the contribution margins collected are evaluated through pension funds. Together with the decision numbered /46 and launched by the Capital Market Board on , pension funds were categorized into six groups as fo llows:

3 Income Funds, Growth Funds, Capital Market Funds, Precious Metals Funds, Specialized Funds, and Other Funds. Besides, based on the type of asset, pension funds could be classified into groups such as Flexible Funds, Balanced Funds, Stock Funds, Government Bonds and Bills Funds, International Funds, Liquid Funds. The structure of portfolio assets of pension funds has changed throughout years in the world. People used to invest in stock market more in the past years, whereas today they have started to invest in foreign stock market as well. Additionally, there has been an increase in the investments made in real estates and venture-capital trust (Ege, 004). There are portfolio limitations on the pension funds in Turkey. No more than 10 percent of the fund assets may be invested in the money and capital market instruments of an issuer. Besides, for the partners that receive more than 5 percent of investment from the fun, the total cost of money and capital market instruments may not be more than 40 percent of the fund assets. Nevertheless, there are no restrictions on the domestic government bonds (Ege, 007). Mutual fund performance is analyzed widespread in finance literature. Hendricks, Patel, and Zeckhauser (1993), Goetzmann and Ibbotson (1994), Brown and Goetzmann (1995) and Wermers (1996) studied on pension funds performance in short period, one to three years. On the other hand, McDonald (1974), Grinblatt and Titman (199), Elton, Gruber, Das, and Hvalka (1993), Elton, Gruber, Das, and Blake (1996), Ferson and Schadt (1996) studied in this area for a longer period. These studies analyze how mutual fund performance relates to past performance. This study analyses 77 pension mutual funds in a 4-month period in Turkey by using Sharpe, Modigliani and Sortino methods based on total risk. The paper also suggests that, at a phase where Turkey has developed in fund market, the use of assessment techniques based on the risks which have been generally ignored in the process of fund performance evaluation is a must. II. EVALUATION METHODS IN FUND PERFORMANCE The simplest method used in the assessment of portfolio performances is the comparison of the portfolio performance with another sample portfolio or market performance. In such a 3

4 comparison, one makes use of returns per se. Although this method is quite simple, it ignores the risks. Different portfolio performance assessment techniques have been developed via analyses of the risk factor from different perspectives. The main aim of constructing an investment fund is to decrease the risk at a certain profit level (010). There are performance measures where the risk is expressed by the standard deviation such as Sharpe, Sortino and M (Modigliani). There also exist some other performance measures based on systematic risk (beta) like Treynor Index, Jensen s Measure and Valuation Ratio. The assessment of portfolio performance constitutes an important part of investment activities. The most important elements in investment activities are the elements risk and return (008). In portfolio management, risk is defined by the standard deviation of the past returns; on the other hand, the expected return of the investment is defined by the average of the past returns. Although in practice performance assessment is commonly based on the past returns of funds, it does not presuppose that the same return is going to be made in the future (001). Table 1. Fund Performance Evaluation Methods Sharpe Ratio M (Modigliani) Ratio M Modigliani ( Ra R f ) R f rm a R p : Average return of portfolio p R f : Average return of riskfree interest rate p : Standard deviation of portfolio p R a : average return of portfolio a R f : Average return of riskfree interest rate a: Standard deviation of portfolio a 4

5 Sortino Ratio Treynor Index Jensen s (Alfa) Ratio Evaluation Ratio Sortino R T T t 0 Rat MKEG R MKEG a ( R at MKEG) T R R p f a a, t R f, t a a( Rm, t R f, t ) e p AR ur at rm: Standard deviation of benchmark returns R at : The return of portfolio in t time R a : Average return of portfolio T: Number of days analyzed MKEG: Minimum value of acceptability β a : Systematic risk of portfolio R p : Average return of portfolio p R f : Average return of riskfree interest rate R a,t : The return of portfolio a in t time R f,t : Risk-free interest rate in t time α a : Alpha coefficient of portfolio a R m,t : Market return in period t β a : Beta coefficient of portfolio a error term α p : Jensen s alpha of fund ur: Unsystematic risk Source: Teker, Karakum and Tav, (008) Korkmaz and Uygurturk (008), Kurun et al (008). 5

6 III. DATA Pension companies and pension mutual funds started on October 7 th, 003 together with Individual Pension, Saving and Investment System Law in Turkey. According to the data provided by Pension Observation Centre, by November 015, nineteen pension companies had been active, the total cost of funds had been 4.155,1 million TL, the cost of investment had been ,4 million TL, and the total number of participants in companies had reached (EGM, 015). This study examines the performances of 77 pension mutual funds belonging to ten pension companies, which we believe to represent all the funds worldwide under the 008 global crisis, between the dates and via methods such as Sharpe, M and Sortino based on standard deviation. IV. CALCULATION OF RETURN Considering the 77 pension mutual funds scrutinized in this study, we took the prices on the operation date into consideration; the geometric return is calculated as follows: (Equation 1) What this formula represents is R p = Portfolio Return V t = The value of the portfolio at the end of the term V t-1 = The value of the portfolio at the beginning of the term. Here, V expresses the price of the asset in which an investment is made in t time, and expresses the return of the investment between t and t-1. V. RISK-FREE INTEREST RATE We benefited from the data base on the web site of ISE in order to determine risk-free interest rates and adopted KYD O/N Repo Index as risk-free interest rate. This index is intended to 6

7 observe the return of overnight repo rate that take place in ISE (İstanbul Stock Exchange) Repo-Reverse Repo market and to be used in short term investment instruments. VI. BENCHMARK CRITERIA The benchmark criteria to be used for each fund group should necessarily be the best representative of the pension fund in question in terms of purpose and portfolio structure. When pension funds are analyzed on the basis of their grouping, one criteria quite appropriate for one group may not be so for another group. That s why we need to determine a different criteria for each group. In this study, we determine benchmark criterion based on the following factors; 50% of Turkish Institutional Investment Managers Association O/N Repo Index and 50% of 30-day Bond Index for liquid pension funds, 100% of Turkish Institutional Investment Managers Association Total Bond Index for government bonds and bills funds, 100% of Istanbul Stock Exchange National 100 Index for stock pension funds, 50% of Turkish Institutional Investment Managers Association Eurobond EURO-TL Index and 50% of Institutional Investment Managers Association Eurobond USD-TL Index for International Exchange Traded Funds, 100% of Turkish Institutional Investment Managers Association 30-day Bond Index for flexible and balanced funds. The monthly returns of these indexes on which benchmark criteria are based are computed according to geometric return formula. VII. Results We have used the methods Sharpe, M and Sortino which are based on standard deviation in order to evaluate the performances of private pension mutual funds between the years

8 Performance Results And Comparison Following The Methods Based On Standard Deviation (Total Risk) We have analyzed pension mutual funds using the methods based on standard deviation such as Sharpe, M and Sortino. Below are the results with the lowest and the highest performances. Table. Liquidity Funds Num LIQUIDITY FUNDS Sha ber 1 AK EMEKLİLİK GOV T BONDS AND BILLS LIQUID 0,91 rpe 0,30 ANADOLU HAYAT EMEKLİLİK GOV T BONDS 0,88 0, ANKARA EMEKLİLİK GOV T BONDS AND BILLS 0,91 0,30 AND BILLS LIQUID AVIVA HAYAT VE EMEKLİLİK GOV T BONDS 0,91 0,30 LIQUID AND BAŞAK BILLS GROUPAMA LIQUID EMEKLİLİK GOV T BONDS 0, , FİNANS EMEKLİLİK VE HAYAT GOV T BONDS 0,75 0,9 AND BILLS LIQUID AND FORTIS BILLS EMEKLİLİK LIQUID VE HAYAT GOV T BONDS 0,69 0, AND FORTIS BILLS EMEKLİLİK LIQUID EMANET VE HAYAT GOV T BONDS 0, , GARANTİ EMEKLİLİK VE HAYAT GOV T BONDS 0,91 0,30 AND BILLS LIQUID VAKIF EMEKLİLİK GOV T BONDS AND BILLS 0,94 0,30 AND BILLS LIQUID VAKIF EMEKLİLİK GOV T BONDS AND BILLS 0,91 0,30 1 LIQUID YAPI KREDİ GROUP EMEKLİLİK GOV T BONDS AND 0, ,9 61 LIQUID BILLS YAPI KREDİ LIQUID EMEKLİLİK EMANET GOV T BONDS AND 0, ,30 89 AVERAGE BILLS RETURN LIQUID 0, ,30 37 BENCHMARK RETURN INDEX 0, M Sorti no As is seen in Table, the average Sharpe ratio for Liquid Funds during the period this study was conducted is The average M performance criteria is 0.306, while the average Sortino ratio is The number of funds whose performances are over the average value of Sharpe and M performance criterion is 10, whereas the number of funds whose performance exceeds the average value of Sortino performance criteria is 9. Also, the calculations based on Sharpe, Sortino and M performance criterion demonstrate that the fund with the highest performance is Vakif Emeklilik Gov t Bonds and Bills Liquid Group. The lowest performance, on the other hand, belongs to Fortis Emeklilik ve Hayat Gov t Bonds and Bills Liquid. According to the calculations based on M performance criteria, that the average value of funds is lower than benchmark return index might be because of the errors in 8

9 short-term bond preferences considering the fact that the portfolio which consists of liquid funds was mostly made up of funds invested on reverse repo operations. Table 3. Gov t Bonds And Bills Income Numb GOVERNMENT BONDS AND BILLS FUNDS Sha M er 1 AK EMEKLİLİK GOV T BONDS AND BILLS 0,96 rpe 0,46 AK EMEKLİLİK GOV T BONDS AND BILLS 1 0,47 3 INCOME ANADOLU HAYAT EMEKLİLİK GOV T BONDS 1,8 70 0, ANADOLU HAYAT EMEKLİLİK GOV T BONDS 1,11 0, AND BILLS INCOME AND ANKARA BILLS EMEKLİLİK INCOME GROUP GOV T BONDS AND BILLS 55 0, , AVIVA HAYAT VE EMEKLİLİK GOV T BONDS 0,70 0,41 INCOME AND AVIVA BILLS HAYAT INCOME VE EMEKLİLİK GOV T BONDS 1,0 83 0, BAŞAK GROUPAMA EMEKLİLİK GOV T BONDS 1,07 0,49 AND BILLS INCOME BAŞAK GROUPAMA EMEKLİLİK GOV T BONDS 1,09 0,49 AND BILLS INCOME AND BAŞAK BILLS GROUPAMA INCOME GROUP EMEKLİLİK GOV T BONDS 0,3 09 0, AND FİNANS BILLS EMEKLİLİK INCOME VE HAYAT GOV T BONDS 1,09 0, FORTIS EMEKLİLİK VE HAYAT GOV T BONDS 0,89 0,45 AND BILLS INCOME FORTIS EMEKLİLİK VE HAYAT GOV T BONDS 0,89 0,45 AND BILLS INCOME AND GARANTİ BILLS EMEKLİLİK INCOME GROUP VE HAYAT GOV T BONDS 0, , GARANTİ EMEKLİLİK VE HAYAT GOV T BONDS AND BILLS INCOME 0, , AND GARANTİ BILLS EMEKLİLİK INCOME GROUP VE HAYAT GOV T BONDS 0, , VAKIF EMEKLİLİK GOV T BONDS AND BILLS 1,03 0,48 AND BILLS YAPI KREDİ EMEKLİLİK GOV T BONDS AND 0,94 0,46 INCOME YAPI KREDİ EMEKLİLİK GOV T BONDS AND 0,96 0,47 BILLS INCOME AVERAGE RETURN 0,98 0,47 BILLS INCOME GROUP 90 0 BENCHMARK RETURN INDEX 1, Sorti no As is also observed in Table 3, the average Sharpe ratio for government bonds and bills fund is and average M performance criteria is , while the average Sortino ratio is The number of funds whose performance exceed the average value of Sharpe, Sortino and M performance criterion is 8. The computations based on average values and consistent with Sharpe, Sortino and M performance criterion suggest that the fund with the highest performance is Anadolu Hayat Emeklilik Gov t Bonds and Bılls Income, whereas the lowest performance is owned by Başak Groupama Emeklilik Gov t Bonds and Bills Income. With computations based on M performance criteria, when fund performances are 9

10 compared with the index of economic indicator, there is no fund whose performance is higher than Benchmark Return Index among the 19 funds in question. The low performance of gov t bonds and bills funds indicates that gov t bonds and bills have a lower return than the average returns. Table 4. Stock Funds Number 1 STOCK FUNDS AK EMEKLİLİK ISE 30 INDEX Sharpe 0,4497 M 0,9849 Sortino 0,013 AK EMEKLİLİK STOCK GROWTH 0,498 1,0631 0,014 SPECIALIZED 3 ANADOLU HAYAT EMEKLİLİK STOCK 0,5567 1,1574 0,016 4 ANADOLU HAYAT EMEKLİLİK STOCK 0,5669 1,1738 0,017 5 GROWTH ANKARA EMEKLİLİK STOCK INCOME 0,5175 1,094 0,015 6 GROWTH BAŞAK GROUPAMA EMEKLİLİK STOCK 0,4964 1,060 0,014 7 BAŞAK GROUPAMA EMEKLİLİK BAŞAK GROWTH GROUP 0,514 1,0860 0,015 8 GROUPAMA FİNANS EMEKLİLİK EMEKLİLİK VE HAYAT STOCK STOCK GROWTH 0,5883 1,084 0,017 9 FORTIS EMEKLİLİK VE HAYAT STOCK 0,457 0,9970 0,013 GROWTH 10 GARANTİ EMEKLİLİK VE HAYAT STOCK 0,4678 1,014 0,013 GROWTH 11 VAKIF EMEKLİLİK STOCK GROWTH 0,550 1,1498 0,015 1 GROWTH YAPI KREDİ EMEKLİLİK STOCK GROWTH 0,4847 1,0414 0,015 AVERAGE RETURN 0,513 1,0858 0,0147 BENCHMARK RETURN INDEX 3,04 We have analyzed performances of 1 pension mutual funds, as they are displayed in Table 4, using Sharpe, Sortino and M performance criterion. We have determined the average values of these criterions as 0.513, , and respectively. Accordingly, the number of funds that exhibit higher performance than the average values is 6 for the Sharpe and M performance criterion and 7 for Sortino performance criteria. The computations conducted using Sharpe, Sortino, and M performance criterion based on average values indicate that while the fund with the highest performance is Finans Emeklilik and Hayat Stock Growth, the fund with the lowest performance is AK Emeklilik ISE 30 Index Specialized. However, computations done by means of M performance criteria reveal that there is no fund that show a high performance according to Benchmark Return Index among the 1 funds when fund performances are compared. 10

11 Table 5. Flexible and Balanced Funds Number 1 FLEXIBLE AND BALANCED FUNDS AK EMEKLİLİK FLEXIBLE GROWTH Sharpe 0,66 M 0,948 Sortino 7 AK EMEKLİLİK FLEXIBLE INCOME 1,081 0, ANADOLU HAYAT EMEKLİLİK FLEXIBLE 0,467 0, ANADOLU HAYAT EMEKLİLİK FLEXIBLE 0,860 0, INCOME 5 ANADOLU HAYAT EMEKLİLİK FLEXIBLE 0,8136 0,3055 0,014 6 GROWTH ANADOLU HAYAT EMEKLİLİK FLEXIBLE 0,4396 0, ANKARA EMEKLİLİK BALANCED 0,7079 0, GROUP INCOME 8 AVIVA HAYAT VE EMEKLİLİK BALANCED 0,6409 0, AVIVA HAYAT VE EMEKLİLİK FLEXIBLE 0,7391 0, BAŞAK GROUPAMA EMEKLİLİK FLEXIBLE 0,705 0, BAŞAK GROUPAMA EMEKLİLİK FLEXIBLE 0,854 0, FİNANS EMEKLİLİK VE HAYAT FLEXIBLE 0,9769 0, GROUP 13 FORTIS EMEKLİLİK VE HAYAT FLEXIBLE 0,5181 0, GARANTİ EMEKLİLİK VE HAYAT 0,5877 0, GARANTİ EMEKLİLİK VE HAYAT 0,5774 0, FLEXIBLE VAKIF EMEKLİLİK GROUP FLEXIBLE 0,89 0, FLEXIBLE 17 VAKIF EMEKLİLİK FLEXIBLE INCOME 0,6084 0, YAPI KREDİ EMEKLİLİK FLEXIBLE 0,845 0, GROUP AVERAGE RETURN 0,7136 0, BENCHMARK RETURN INDEX 0,856 As is also seen in Table 5, the calculations on flexible and balanced funds reveal that the average Sharpe ratio is , the average M performance criteria is 0.999, and the average Sortino ratio is There are 9 funds whose performances are above the average values of Sharpe, Sortino and M performance criterion. The computations conducted using Sharpe and M performance criterion based on average values indicate that while the fund with the highest performance is Ak Emeklilik Flexible Income, the fund with the lowest performance is Anadolu Hayat Emeklilik Flexible Group Income. Sortino performance criteria show that the highest performance belongs to Anadolu Hayat Emeklilik Flexible Growth, whilst the lowest performance belongs to Anadolu Hayat Emeklilik Flexible Income. The calculations with M performance criteria show that there is not any fund that has a performance higher than the index of economic indicator among the 18 funds. The low performance of flexible and balanced funds may be due to portfolio managers incapability to properly command the market requirements. 11

12 Table 6. International FX Indexed Funds Number INTERNATIONAL FX INDEXED FUNDS Sharpe M Sortino 1 AK EMEKLİLİK GOV T BONDS AND BILLS 0,416 0, INCOME AK EMEKLİLİK (USD) COMPOSITE BONDS AND 0,4055 0, BILLS ANADOLU INCOME HAYAT (EURO) EMEKLİLİK 0,8719 0, COMPOSITE ANADOLU HAYAT BONDS EMEKLİLİK AND BILLS INCOME 0,4593 0, (USD) COMPOSITE ANADOLU HAYAT BONDS EMEKLİLİK AND BILLS INCOME 6 (EURO) INTERNATIONAL AVIVA HAYAT VE COMPOSITE EMEKLİLİK GROWTH 7 INTERNATIONAL BAŞAK GROUPAMA GOV T EMEKLİLİK BONDS AND BONDS 8 BILLS AND FİNANS BILLS INCOME EMEKLİLİK INCOME VE HAYAT 9 INTERNATIONAL GARANTİ EMEKLİLİK COMPOSITE VE HAYAT GROWTH GOV T 10 BONDS GARANTİ AND EMEKLİLİK BILLS (FX) VE INCOME HAYAT 0,473 0, ,7361 0, ,3085 0, ,1488 0, ,5611 0, ,803 0, INTERNATIONAL VAKIF EMEKLİLİK GOV T TURKISH BONDS GROWTH AND 0,715 0, BILLS EUROBOND VAKIF INCOME EMEKLİLİK (EUROBOND) INTERNATIONAL 0,681 0, YAPI KREDİ EMEKLİLİK FLEXIBLE (FX) 0,591 0, COMPOSITE INCOME 14 GROUP YAPI KREDİ EMEKLİLİK INTERNATIONAL 0,4111 0, GOV T YAPI KREDİ BONDS EMEKLİLİK AND BILLS INTERNATIONAL INCOME 0,0476 0, AVERAGE (EURO) COMPOSITE RETURN 0,4815 0, BENCHMARK RETURN INDEX 1,7958 When the performances of International Exchange Traded Funds are examined, the number of funds which show higher performance than the average return is 6 for the Sharpe and M performance criteria and 8 for Sortino performance criterion among 15 funds shown in Table 6. The computations conducted using Sharpe, Sortino and M performance criteria based on average values indicate that while the fund with the highest performance is Anadolu Hayat Emeklilik Composite Bonds and Bills Income (USD), the fund with the lowest performance is Yapı Kredi Emeklilik International Composite. The calculations where M performance criterion was employed suggest that there is no fund that has a performance higher than the index of economic indicator among the 18 funds. These funds have a lower return when compared with the market, which might be due to the mistakes made in the preference of securities (fx) in portfolio. 1

13 VIII. CONCLUSIONS In this study, we have used Sharpe, Modigliani and Sortino performance criteria in order to assess the performances of funds. In the following studies, the funds in question could be further investigated using some other performance criteria. In the present study, similar results have come up with all the three methods. The evaluations conducted for the current study show that none of the funds among the 77 funds analyzed in 5 groups exhibits higher performance than Benchmark Return Index. We have also determined that the performances of the pension mutual funds investigated during the 4-month period are not good enough. However, it might be possible to provide a more comprehensive analysis and thus to help the investors make proper decisions provided the pension system in Turkey develops, spreads, and varies more. REFERENCES Al, H. (00). Özel Emeklilik Fonları ve A.B.D. Uygulaması. Active Bankacılık ve Finans Dergisi, May-June, 1-9. Altintas, K. M. (008). Türk Özel Emeklilik Fonlarının Risk Odaklı Yönetim Performansı: Dönemine İlişkin Bir Analiz. Anadolu Üniversitesi Sosyal Bilimler Dergisi, (1), Arslan, M. ve Arslan, S. (010). Yatırım Fonu Performans Ölçütleri, Regresyon Analizleri ve MANOVA Yöntemine Göre A, B ve Borsa Yatırım Fonlarının Karşılaştırmalı Analizi. İşletme Araştırmaları Dergisi, (), 3-0. Basso, A. ve Funari, S. A. (001). Data Envelopment Analysis Approach To Measure The Mutual Fund Performance. European Journal of Operational Research, (135), Brown, S. J. ve Goetzmann, W. N. (1995). Performance Persistence. The Journal of Finance, (), Ege, İ. (00). Dünya da Özel Emeklilik Sistemleri Ve Bireysel Emeklilik Tasarruf Ve Yatırım Sistemi Kanununa Eleştirisel Bir Bakış. İktisat, İşletme ve Finans Dergisi, 17 (196),

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