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2017, vol. 46, br. 4, str. 108-133
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Modeli ocene performansi portfolija investicionih fondova - Šarpov, Trejnorov i Jensenov indeks
Mutual funds portfolio performance evaluation models: Sharpe, Treynor and Jensen index
Univerzitet u Kragujevcu, Fakultet za hotelijerstvo i turizam, Vrnjačka Banja
e-adresa: m.lekovic@kg.ac.rs
Ključne reči: investicioni fondovi; performanse portfolija; Šarpov indeks; Trejnorov indeks; Jensenov indeks
Sažetak
Ocena performansi portfolija investicionih fondova je sastavni deo kontinuiranog procesa upravljanja portfoliom podređen unapređenju njegove efikasnosti. Važnost poznavanja modela ocene performansi portfolija investicionih fondova ogleda se u činjenici da se njihovom upotrebom pojedinačni i institucionalni investitori informišu o uspešnosti portfolio menadžmenta i performansnosti pojedinačnih investicionih fondova, a portfolio menadžeri fondova o prednostima i slabostima kreiranih portfolija. S tim u vezi, predmet rada su u teoriji najčešće korišćene i u praksi potpuno afirmisane mere performansi portfolija: Šarpov indeks, Trejnorov indeks i Jensenov ili alfa indeks. Budući da nijedna od navedenih mera performansi portfolija nije savršena, pažnja je posvećena i razumevanju problema i uvažavanju nedostataka i ograničenja sa kojima se suočavaju ovi modeli. Uvažavanjem nedostataka i ograničenja umanjuje se njihov značaj, a povećava značaj i validnost dobijenih rezultata.
Abstract
Portfolio performance evaluation is an integral part of a continuous portfolio management process aimed at improving its efficiency. The importance of being familiar with the evaluation models of mutual fund portfolio performance is reflected in the fact that such models inform individual and institutional investors about the success of portfolio management, as well as about the performance of individual mutual funds; moreover, the portfolio managers identify strengths and weaknesses of the created portfolios based on the mentioned models. In this respect, this paper looks at the methods that are most widely used, both in theory and in practice, to measure portfolio performance: Sharpe index, Treynor index and Jensen's alpha or index. Bearing in mind that none of these methods of portfolio performance measurement is perfect, the author focuses on identifying and understanding the disadvantages and limitations of these models. By identifying and understanding these disadvantages and limitations, their importance and effects are being reduced, while at the same time, the importance and accuracy of the results are being improved.
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