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Bankarstvo
2018, vol. 47, br. 1, str. 52-81
jezik rada: srpski, engleski
vrsta rada: izvorni naučni članak
objavljeno: 18/05/2018
doi: 10.5937/bankarstvo1801052L
Creative Commons License 4.0
Alternativne mere i dekompozicija performansi portfolija investicionih fondova
Univerzitet u Kragujevcu, Fakultet za hotelijerstvo i turizam, Vrnjačka Banja

e-adresa: m.lekovic@kg.ac.rs

Sažetak

Pored u teoriji najčešće korišćenih i u praksi potpuno afirmisanih mera performansi portfolija: Šarpovog, Trejnorovog i Jensenovog ili alfa indeksa, u finansijskoj literaturi su se izdvojile i dve modifikovane verzije Šarpovog indeksa: informacioni racio i M2 mera performansi portfolija, jedna modifikovana verzija Trejnorovog indeksa: T2 mera performansi portfolija, modeli koji mere menadžersku sposobnost tajminga tržišta: Treynor-Mazuy i Henriksson-Merton model, i racio zasnovan na negativnom riziku i negativnoj devijaciji kao njegovoj meri: Sortinov racio. Cilj rada je da se investiciona javnost u Republici Srbiji bliže upozna sa osnovnim odlikama navedenih mera performansi portfolija, kao i da se razume važnost dekompozicije ostvarenih performansi portfolija investicionih fondova.

Ključne reči

informacioni racio; M2 mera performansi; T2 mera performansi; Treynor-Mazuy model; Henriksson-Merton model; Sortinov racio

Reference

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