Performance Ratios

This study evaluates how the current Israel boycotts affect Borsa Istanbul. An event study in a 45-day window around October 7, 2023 tests abnormal returns for a value-weighted portfolio of 22 boycotted firms using four models (Market, Market-Return, Constant-Mean, CAPM). All detect a clear one-day price hit, though magnitudes vary. For longer horizons we recreate the BIST 30, BIST 100 and Participation 30 indices without the boycotted stocks and follow them to December 31, 2024. Sharpe, Sortino, Treynor and Jensen metrics drift modestly higher, and the revised indices edge ahead in cumulative return, but significance tests give mixed signals. Overall, boycott targets suffer a short-run valuation loss, while indices that exclude them record slightly better risk-adjusted performance over the next year.

Pension fund organizations function as essential financial entities that protect employee retirement funds to provide complete and punctual pension distributions. Pension fund effectiveness through asset distribution determines how well a fund meets its future obligations. Traditional methods of portfolio optimization align with the Modern Portfolio Theory through the Markowitz model to help determine asset allocation by defining the relationship between return and risk. These static modeling approaches fail to fulfill their purpose in real market environments because financial markets today experience increasing rates of volatility and unpredictable economic conditions and rapid changes in economic conditions. In view of current market challenges, alternative solutions to manage dynamic portfolios effectively are needed, which AI, in conjunction with computational optimization techniques, offers. Deep learning (DL), reinforcement learning (RL), genetical algorithms (GA), particle swarm optimization (PSO) are the key development of pension fund asset allocation and their implementation under a volatile market. The research presents a critical comparison between the two approaches based on the fund stability and return optimization and investment risk management using AI based algorithms.

In Turkey, there are two types of pension fund systems. One of them is general social security system which the fund is managed by formal government institutions. The other one is individual pension fund system that the fund is managed by private insurance companies. Individual pension fund system in Turkey, not only serves to social security reform but also has an important role in the development of the financial system since October 27, 2003. Every private insurance company has their own pension fund types that investors may choose them and create their portfolios.

Background: Based on the static mean-variance portfolio optimisation theory, investors will choose the portfolio with the highest Sharpe ratio to achieve a higher expected utility. However, the traditional Sharpe ratio only accounts for the first two moments of return distributions, which can lead to false portfolio performance diagnostics with the presence of asymmetric, highly skewed returns. Aim: With many criticising the standard deviation's applicability and with no consensus on the ascendency of which other risk denominator to consult, this study contributes to the literature by validating the importance of consulting value-at-risk as the more commendable risk denominators for the Johannesburg Stock Exchange. Method: These results were derived from a novel index approach that produces a comprehensive risk-adjusted performance evaluation score. Results: Of the 24 Sharpe ratio variations under evaluation, this study identified the value-at-risk Sharpe ratio as the better variation, which led to more profitable share selections for long-only portfolios from a one-year and five-year momentum investment strategy perspective. However, the attributes of adjusting for skewness and kurtosis exhibited more promise from a three-year momentum investment strategy perspective. Conclusion: The results highlighted the ability to outperform the market, which further emphasised the importance of active portfolio management. However, the results also confirmed that active and more passive equity portfolio managers will have to consult different Sharpe ratio variations to enhance the ability to outperform the market and a buy-and-hold strategy.

In Turkey, there are two types of pension fund systems. One of them is general social security system which the fund is managed by formal government institutions. The other one is individual pension fund system that the fund is managed by private insurance companies. Individual pension fund system in Turkey, not only serves to social security reform but also has an important role in the development of the financial system since October 27, 2003. Every private insurance company has their own pension fund types that investors may choose them and create their portfolios.

Recent political events and the subsequent movements in financial markets both in the developing and the developed countries raise the instincts regarding the interaction of political risks and financial markets and increase the importance of understanding the behavior of financial markets against political risks. Therefore the purpose of this study is to explain the impact of political risks on the returns of securities traded on capital markets in Turkey in the framework of Capital Asset Pricing Model (CAPM). The relation between the monthly returns of 47 companies' assets being traded on Borsa Istanbul and the political risks in Turkey between the years of 1997 and 2013 is examined in the study. Results of the analysis held by two-step regression method represent that there exists a positive and linear relation between beta and expected return. On the other hand, it is found that 4 out of 12 political risk factors, in other words internal conflict, external conflict, government stability and military in politics have a significant impact on expected return. Contrary to the other three risk factors, only the risk of government stability is found to be positively affecting asset returns.

This study investigates whether Latvian and Estonian second-pillar pension fund managers can outperform European equity and fixed income market indexes on a consistent basis. The quarterly returns of 17 pension funds, for the time period from 2003 till 2009, have been studied. Findings confirm the conclusion of similar studies worldwide that it is very difficult to achieve outperformance. None of the pension funds investigated in this study managed to achieve a statistically significant positive Alpha using Jensen's model with both stock market and composite index benchmarks as independent variables. A modified Treynor-Mazuy model is used to separately evaluate the stock selection and market timing abilities of fund managers. The study helps to resolve a controversy about the market timing skills of secondpillar pension fund managers in Central and Eastern Europe, by confirming earlier US results that indicated a lack in this ability. Fund managers compensate for this deficiency by exhibiting positive, but not statistically significant, stock selection skills.

In Turkey, there are two types of pension fund systems. One of them is general social security system which the fund is managed by formal government institutions. The other one is individual pension fund system that the fund is managed by private insurance companies. Individual pension fund system in Turkey, not only serves to social security reform but also has an important role in the development of the financial system since October 27, 2003. Every private insurance company has their own pension fund types that investors may choose them and create their portfolios.

The purpose of this study is to ascertain whether pension fund returns are in line with benchmark returns taking into account the regulatory structure in Turkey. The methodology of the study is the cumulative portfolio returns. Data is retrieved from TEFAS Platform and official web site of Capital Market Board of Turkey. Portfolio and benchmark of pension funds are compared. Only standard pension funds are covered within the scope of voluntary pension funds of Turkey. Findings are as follows; Portfolio returns and benchmark returns are in line significantly. The results are partly attributable to the regulations about pension fund management and portfolio structure. The paper also shows that in the long term, the volatility of returns decreases and returns prove to conform with the primary purpose of the private pension system.

We provide an overview of the voluntary pension fund market in Turkey by starting with recent developments in the global pension markets and then focusing on the pension fund reform in Turkey and the following developments since 2003. Findings from the literature indicate that the reforms on the introduction of voluntary pension funds in Turkey have positive implications for the overall national savings rates and capital market development. Voluntary pension funds create extra income for beneficiaries after their retirement. However, redesigning the system in a simplified structure is necessary in order to increase participation, inclusion and also to ensure persistency.

Öz Private Pension System (PPS) which has been in practice for many countries began its operations on 27 October 2003 in Turkey, and Pension Fund Companies (PFCs), Portfolio Management Companies (PMCs), and government authorities are three main actors in the system. Evaluating the performance of pension funds is vital to the benefit of all participants. In addition, the performance of the relevant funds should be periodically reviewed to use financial resources effectively and efficiently. In this respect, private pension funds are of vital importance, especially for countries with a savings deficit such as Turkey. When the finance literature is examined, it is seen that there are many studies to measure fund performance. However, examining the performance of funds alone is not an adequate control method for the IPS. In addition to the performance of the funds, the performance of those who manage the funds is also important for economic development. In this context, the aim of the study is to evaluate the performance of the PMC of pension funds with Sharpe Ratio and Treynor Index. 149 funds managed by 12 PMCs were included in the analysis for the period between January 2013 and December 2016. According to the findings, TEB PMC has the highest average Sharpe ratio (0.0768) and QNB FİNANS PMC has the lowest highest average Sharpe ratio (0.0225). According to the Treynor index, the highest average score (0.0524) belongs to GARANTİ PMC while the lowest score belongs to YAPI KREDİ PMC with (0.0048).

The objective of this study is to investigate the performance persistence of Turkish mutual and pension funds. 310 mutual and 259 pension funds were analyzed between the period of 2010–2019 in order to determine if there is an evidence of performance persistence. In this study, a persistence rate is developed, and the skill ratio is used to crosscheck the results of the persistence rate. Furthermore, six different risk-adjusted return measures, such as Sharpe, Treynor, Information, Jensen’s alpha, Sortino, and Omega ratios are calculated to analyze whether funds also exhibit superior risk-adjusted returns. The results indicate that only 2% of funds demonstrate persistence above 50%, and 15 out of 20 fund categories do not have any funds that show persistence in 10 years. Most of the persistent funds have positive skill ratios, and it is observed that the persistence rate is effective. However, it cannot be stated that there is performance persistence in the Turkish fund management i...

Investors often look for confirmation of a mutual fund’s performance. This paper analyzes whether Morningstar’s rating system adds value within the mutual fund sector for government bonds. The authors confirm that on average Morningstar ratings accurately represent high and low performing mutual funds when measured against Sharpe ratios, Treynor ratios, Jensen’s alphas, Sortino ratios, and M-squared values. Our performance evaluation also shows that some managers, although not all, can add value on a risk-adjusted basis even within the generic government bond mutual fund category.

The need for ongoing performance measurement and the determination of the key factors related with efficiency and effectiveness of firm is substantial in consequence of globalization and the competition for the firms. Traditionally, different sectors have their own performance measurement criteria in terms of financial ratios focusing on the success of a business in the sector. The study makes a framework for measurement taking into account the factors of the Turkish life insurance sector and determining the effects of parameters on the performance. In order to find the performance rank of the life insurance companies in Turkey according to financial ratios weights for each company, we use AHP and TOPSIS method. Performance scores of life insurance companies were obtained by TOPSIS related with companies’ weighted financial ratios. Consequently, the performances of the insurance companies weren't changed during analyzed period.

The aim of the paper is to find out if these modifications influence the efficiency of the pension funds and to compare the performance of these funds to stable growth open investment funds (FIO). The analysis is provided for selected funds in the years 2009-2015. We conclude that in the examined period, OFE performed better than FIO, and the modifications of the rules for the pension funds caused the increase of risk and decrease of investment efficiency of these funds' portfolios. K e y w o r d s: pension funds, stable growth open investment funds, investment efficiency, Sharpe model, CAPM, Sharpe, Treynor and Jensen ratios.

Literature provides conflicting results on the effect of diversification on performance of mutual funds with some studies showing a positive relationship (Markowitz, 1952; Muriithi, 2005; Kagunga, 2010), others negative (Chang & Elyasiani, 2008; Fiegenbaum & Thomas, 1998) and still others showing that there is no relationship between the two variables (Loeb, 1950). It is with this background that this study sought to establish the effect of diversification on performance of mutual funds in Kenya. The study took a descriptive research design approach on weekly performance of a sample of 7 balanced mutual funds for the year 2013.The study used secondary data sources available at the Capital Market Authority offices and from each mutual funds. The portfolio return was determined by computing the changes in prices of the balanced fund as traded at the Nairobi Securities Exchange (NSE) while diversification was determined from the level of Unsystematic Risk in the Performance. The study used the Ordinary Least Squares (OLS) multiple linear regression equation. Control variables of the size and age of the fund were introduced in the regression model. The results indicated the existence of a positive relationship between the Unsystematic Risk and Performance of balanced mutual funds with a beta coefficient of 0.069 (t=4.971, p < 0.5. This implies that the lower the diversification the higher the performance of mutual funds.

The individual pension funds not only complementary to public pension systems but also an important tool in order to meet the long-term funding needs of economies. Although not having a long history, the individual pension fund system, which has been practiced in various countries around the world for many years, has become one of the important elements of the economy in Turkey since October 27, 2003. The individual pension fund system is managed by private insurance companies and monitored by government authorities in Turkey.  Therefore, these funds must be well managed and their performances should be closely monitored by either investors or governments in terms of contribution to economic progress.
In this paper, the performance ratios of each individual pension funds and the pension fund companies’ performances were analyzed for the 2010-2016 period. Due to the new individual pension funds are comprised of different research periods, we created 4 different research sample windows (2010-2016; 2011-2016; 2012-2016; 2013-2016), in order to understand the performance of the pension fund companies. In the analyses, Sharpe, Sortino ratios, Treynor, Jensen indexes, and M2 performance measure are calculated for each individual pension fund based on research sample windows. In order to comprehend performances of the companies, the performance ratios of funds are clustered into two groups as positive and negative, and then the averages of both clusters are calculated for 11 different private pension fund companies. Within the scope of this study, 146 individual pension funds held by 11 pension fund companies were used and the pension funds daily return data gathered from The Capital Markets Board’s database. The daily risk-free rate and market return data obtained from Bloomberg data terminal.
The conclusion of the study reveals that all techniques illustrate similar results according to averaged positive and averaged negative performance ratios for each research sample window. The results of positive averages show that AVIVA and VAKIF outperformed other companies.

In Turkey, there are two types of pension fund systems. One of them is general social security system which the fund is managed by formal government institutions. The other one is individual pension fund system that the fund is managed by private insurance companies. Individual pension fund system in Turkey, not only serves to social security reform but also has an important role in the development of the financial system since October 27, 2003. Every private insurance company has their own pension fund types that investors may choose them and create their portfolios. Although there are many studies to measure the performances of the pension funds in the literature, such as Sharpe Ratio, Treyner Ratio, etc. It is well known that those performance ratios focus on the risk-free rates and the market indexes as a benchmark to measure the performance of funds as well as pension fund companies. In this study, we propose a new approach to measure pension fund companies’ performances by presenting a new benchmark namely the efficient frontier generated by all individual pension funds. In this paper, to measure the performance of pension fund companies, all individual pension funds are grouped in terms of their own companies and created optimal portfolios for different levels of risks i.e. efficient frontiers. Then efficient frontier of each company is compared to the benchmark efficient frontier. According to the comparison of efficient frontiers, the companies’ performances are discussed from the closest to the most distant. Within the scope of this study, 176 individual pension funds from 16 pension fund companies were used and the pension funds daily return data gathered from The Capital Markets Board’s database for the period of 2006 – 2016. The analyses based on seven research sample windows which contains different time periods for comparing the efficient frontiers (2006-2016; 2007-2016; 2008-2016; 2009-2016; 2011-2016; 2012-2016; 2013-2016). It is concluded that according to the widest three sample windows, Anadolu Hayat Emeklilik portfolio has the closest efficient frontier to benchmark efficient frontier (2006-2016; 2007-2016; 2008-2016). On the other hand, while sample windows narrowed, Avivasa Emeklilik ve Hayat portfolio and Allianz Hayat ve Emeklilik portfolio have the closest to the benchmark efficient frontier (2009-2016; 2011-2016; 2012-2016; 2013-2016). As a result, considering the over eight years’ performances, Anadolu Hayat Emeklilik portfolio has the highest returns. On the other hand, according to the less than eight years’ performances, Avivasa Emeklilik ve Hayat and Allianz Hayat ve Emeklilik portfolios have the highest returns.

Personal financial ratios are an important indicator of a family's
financial situation. By calculating the level of the financial report, the family
can analyze its financial situation and can predict its financial performance in
the future. Savings ratio is one of personal financial ratios, recognizing and
calculating the recommended level of this ratio as well as keeping this ratio
closer to recommended levels serves as a foundation for achieving a better
financial situation in the future. The aim of this paper is to identify the
families whose managers have read too much about personal finance
management are more likely to achieve the recommended level of savings
ratio. In order to achieve this aim was studied a vast literature of national
and foreign researchers, where it was concluded that there is no
recommended level of savings ratio as well as to other ratios of personal
finance discussed in any academic study for Albania. Considering this
observation to calculate the recommended level of saving ratio was referred
foreign researchers, who recommended a "guide" about this ratio and its
level, "guide" which we refer throughout this paper. The absence of
alternative data led us to make questionnaires in order to collect the
necessary information. After the data was collected and refined for their
elaboration were used the programs Microsoft Office Excel and Spss Ibm
Statistics. For testing was used statistical methods Chi - square test.

Personal financial ratios are an important indicator of a family's
financial situation. By calculating the level of the financial report, the family
can analyze its financial situation and can predict its financial performance in
the future. Savings ratio is one of personal financial ratios, recognizing and
calculating the recommended level of this ratio as well as keeping this ratio
closer to recommended levels serves as a foundation for achieving a better
financial situation in the future. The aim of this paper is to identify the
families whose managers have read too much about personal finance
management are more likely to achieve the recommended level of savings
ratio. In order to achieve this aim was studied a vast literature of national
and foreign researchers, where it was concluded that there is no
recommended level of savings ratio as well as to other ratios of personal
finance discussed in any academic study for Albania. Considering this
observation to calculate the recommended level of saving ratio was referred
foreign researchers, who recommended a "guide" about this ratio and its
level, "guide" which we refer throughout this paper. The absence of
alternative data led us to make questionnaires in order to collect the
necessary information. After the data was collected and refined for their
elaboration were used the programs Microsoft Office Excel and Spss Ibm
Statistics. For testing was used statistical methods Chi - square test.

This paper tries to investigate the performance of mutual funds based on criteria
based on the Tehran Stock Exchange Modern portfolio theory of Sharpe Index, Modigliani,
Trainer, Jensen (and ultra-modern portfolio theory) of Sortino measure the potential
favorable. In this regard, considering the period between 2008 (the start of the Iran-fund)
until the end of the first quarter of 2012 to evaluate the results of computed ratios, for
various investment funds and their performance has been compared. The conclusion is
based on the use of modem portfolio theory criteria to evaluate the performance of venture
capital funds, compared with the standard modern theory of portfolio are preferred. The
study is also based on the performance of mutual funds according to criteria Sharp,
Modigliani,, Trainer, Sortino, Jensen's alpha potential and there is no significant difference
in the two year period 2008-2010. In addition, there is no significant difference between the
performance criteria trainer and Sortino funds invested in the two-year period 2010 - 2012
confirmed. But Sharp criteria, Modigliani, , Jensen's alpha potential and the performance of
investment funds, there are significant differences in the two year period 2010-2012.
Keywords: Investment Fund Performance, Tehran Stock Exchange, the Modern Theory
of High Portfolio, Ultra-Modern Portfolio Theory.