STUDY FRAMEWORK Proceeding E Book 4A Turky

1007 Mormingstar use downside risk in Morningstar risk calculation and this final risk score expresses how risky the fund is relative to the average fund in its category. While downside risk may be a better reflection of in vestors‘ attitudes towards risk, empirical evidence suggests that the distinction between downside risk and the standard deviation is not as important as it seems because the two measures are highly correlated. Sharpe 161 1997 analyzed monthly standard deviations of excess returns and average monthly underperformance in a sample of 1,286 diversified equity funds in the three-year period between 1994 and 1996. He found a close relationship between these two measures, with a correlation coefficient of 0.932. Such a close correlation is not surprising, since monthly stock returns generally follow a symmetrical bell-shaped distribution. Therefore, stocks with larger downside deviations will also have larger standard deviations.

4. PENSION MUTUAL FUNDS WEIGHTED PERFORMANCE AND STAR-RATING RESULTS

The investment process of pension mutual funds is strategically important as well as the fund performance for beneficiaries, retirement corporations and regulatory authorities. The analyses of these data are an important clue for the potential number of beneficiaries and the effectiveness of pension mutual fund investments. 162 Especially performance evaluation is very important for mutual funds and pension mutual funds which are institutional investors, a lot of numerical indices are widely used in the literature such as Sharpe, Treynor, Jensen and recently Morningstar-star rating. See Table 1 In this study we use Morningstar-star rating system to conclude performance and rating results of 60 pension mutual funds in Turkey. So we calculate Morniningstar risk adjusted performance and rating results as follows; Table 1: Study Periods and Other Details Age of Fund Morningstar Risk-Adjusted Performance and Star Rating Period Based On Number of Funds Analysed 1 At least 3 years, but less than 5 100 3-year raw return. 60 2At least 5 years, but less than 10 40 3-year raw return, 60 5-year raw return. 60 3At least 10 years 20 3-year raw return, 30 5-year raw return, 50 10-year raw return. Non available data and funds Turkish pension mutual fund industry commenced on October 27, 2003 . So there isn‘t enough data for 10 year. 4.1 Pension Mutual Funds Weighted Performance and Rating Results of Three Year Weighted 100 Three-Year Raw Return We present performance and rating results of Turkish pension mutual funds. So the funds grouped into five categories and ratings weighted 100 three-year raw return. See Table 2 The pension mutual funds which are grouped into Flexible-Balanced Funds, the best performing five star fund is Anadolu Hayat Emek lilik A.Α. Flexible Income PεF whereas the worst performing one star fund is Koç Allianz Hayat ve Emeklilik A.Α. Flexible Growth PMF. Table 2: Flexible-Balanced Funds Rank Name of Fund 3 Year Raw Return × 100 Result Percent Rank Number of Stars 1 ANADOδU HAYAT EεEKδİδİK A.Α. FδEXIBδE INCOεE PMF - 0,08 - 0,08 2 ANADOδU HAYAT EεEKδİδİK A.Α. FδEXIBδE GROWTH PMF - 0,63 - 0,63 8 3 AVİVASA EεEKδİδİK VE HAYAT A.Α. FδEXIBδE PεF - 0,65 - 0,65 17 161 SHARPE William F., http:www.stanford.edu~wfsharpeartstarsstars7.htm 162 AδTINTAŞ Kadir εurat, The Risk-Based Management Performance Evaluation of Turkish Private Pension Funds: An Analysis For 2004-2006 Period, Anadolu University Journal of Social Sciences, Vol.8, No.1, 2008, p.85 1008 4 ANADOδU HAYAT EεEKδİδİK A.Α. FδEXIBδE PεF - 0,71 - 0,71 33 4 AVİVASA EεEKδİδİK VE HAYAT A.Α. FδEXIBδE GROWTH PMF - 0,71 - 0,71 33 5 AVİVASA EεEKδİδİK VE HAYAT A.Α. BAδANCED PεF - 0,76 - 0,76 42 6 VAKIF EεEKδİδİK A.Α. FδEXIBδE PεF - 0,82 - 0,82 50 7 YAPI KREDİ EεEKδİδİK A.Α. FδEXIBδE PεF - 0,86 - 0,86 58 8 OYAK EεEKδİδİK A.Α. COεPOSITE GROWTH PεF - 0,94 - 0,94 67 9 BAΑAK GROUPAεA EεEKδİδİK A.Α. FδEXIBδE PεF - 1,05 - 1,05 75 10 FORTIS EεEKδİδİK VE HAYAT A.Α. FδEXIBδE PεF - 1,28 - 1,28 83 11 AEGON EεEKδİδİK VE HAYAT A.Α. BAδANCED PεF - 1,50 - 1,50 92 12 KOÇ AδδIANZ HAYAT VE EεEKδIδIK A.Α.FδEXIBδE GROWTH PMF - 1,55 - 1,55 100 AVERAGE - 0,89 - 0,89 See Table 3 The pension mutual funds which are grouped into Stock Funds, the best performing five s tar fund is Vakıf Emeklilik A.Α. Stock Growth PεF whereas the worst performing one star fund is Koç Allianz Hayat Emeklilik A.Α. ISE γ0 Index Specialized PεF. Table 3: Stock Funds See Table 4 The pension mutual funds which are grouped into Gov‘t Bonds and Bills Funds, the best perf orming five star fund is Avivasa Emeklilik ve Hayat A.Α. Gov‘t Bonds and Bills Income PMF whereas the worst performing one star fund is Fortis Emeklilik ve Hayat A.Α. Gov‘t Bonds and Bills Income PεF. Table 4: Gov‟t Bonds and Bills Funds Rank Name of Fund 3 Year Raw Return × 100 Result Percent Rank Number of Stars 1 AVİVASA EεEKδİδİK VE HAYAT A.Α. GOV‘T BONDS AND BILLS INCOME PMF - 0,63 - 0,63 2 YAPI KREDİ EεEKδİδİK A.Α. GOV‘T BONDS AND BILLS INCOME PMF - 0,70 - 0,70 10 3 BAΑAK GROUPAεA EεEKδİδİK A.Α. GOV‘T BONDS AND BILLS INCOME PMF - 0,71 - 0,71 20 4 GARANTİ EεEKδİδİK VE HAYAT A.Α. GOV‘T BONDS AND BIδδS INCOεE PεF - 0,76 - 0,76 30 5 ANADOδU HAYAT EεEKδİδİK A.Α. GOV‘T BONDS AND BILLS INCOME PMF - 0,81 - 0,81 40 6 OYAK EεEKδİδİK A.Α. GOV‘T BONDS AND BILLS INCOME PMF - 0,91 - 0,91 50 7 AVİVASA EεEKδİδİK VE HAYAT A.Α. GOV‘T BONDS AND BILLS INCOME PMF - 0,99 - 0,99 60 8 KOÇ AδδIANZ HAYAT EεEKδİδİK A.Α. GOV‘T BONDS AND BILLS INCOME PMF - 1,05 - 1,05 70 9 AEGON EεEK. VE HAYAT A.Α. GOV‘T BONDS AND BILLS INCOME PMF - 1,23 - 1,23 80 10 VAKIF EεEKδİδİK A.Α. GOV‘T BONDS AND - 1,30 - 1,30 90 Rank Name of Fund 3 Year Raw Return × 100 Result Percent Rank Number of Stars 1 VAKIF EεEKδİδİK A.Α. STOCK GROWTH PMF - 0,38 - 0,38 2 YAPI KREDİ EεEKδİδİK A.Α. STOCK GROWTH PMF - 0,42 - 0,42 14 3 ANADOδU HAYAT EεEKδİδİK A.Α. STOCK GROWTH PMF - 0,43 - 0,43 29 4 AEGON EεEKδİδİK VE HAYAT A.Α. STOCK INCOME PMF - 0,48 - 0,48 43 5 GARANTİ EεEKδİδİK VE HAYAT A.Α. STOCK GROWTH PMF - 0,53 - 0,53 57 6 BAΑAK GROUPAεA EεEKδİδİK A.Α. STOCK GROWTH PMF - 0,55 - 0,55 72 7 OYAK EεEKδİδİK A.Α. STOCK GROWTH PMF - 0,61 - 0,61 86 8 KOÇ AδδIANZ HAYAT EεEKδİδİK A.Α. ISE 30 INDEX SPECIALIZED PMF - 0,73 - 0,73 100 AVERAGE - 0,52 - 0,52