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2015, vol. 43, br. 1, str. 37-51
Merenje performansi otvorenih investicionih fondova - studija slučaja
aUniverzitet u Kragujevcu, Ekonomski fakultet
bUniverzitet u Kragujevcu, Fakultet za hotelijerstvo i turizam, Vrnjačka Banja

e-adresamilenaj@kg.ac.rs
Ključne reči: investicioni fondovi; Sharpeov indeks; Treynorov indeks; Jensenov ili alfa indeks
Sažetak
U radu se evaluiraju performanse osam otvorenih investicionih fondova u Republici Srbiji u periodu 2009-2012. godina sa ciljem ispitivanja opravdanosti aktivnog upravljanja investicionim fondovima i utvrđivanja selekcione sposobnosti srpskih portfolio menadžera. Rizikom ponderisani prinosi investicionih fondova upoređuju se sa rizikom ponderisanim prinosom vodećeg indeksa Beogradske berze Belex15, a kao mere performansi koriste se: Sharpeov indeks (Si), Treynorov indeks (Ti) i Jensenov ili alfa indeks (αi). Rezultati istraživanja ukazuju da portfolio srpskih investicionih fondova ima inferiorne performanse u odnosu na tržišni portfolio, što govori o nedostatku selekcione sposobnosti domaćih portfolio menadžera.
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O članku

jezik rada: engleski
vrsta rada: izvorni naučni članak
DOI: 10.5937/industrija43-6677
objavljen u SCIndeksu: 02.06.2015.
metod recenzije: dvostruko anoniman