Merenje performansi otvorenih investicionih fondova – studija slučaja
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 ( ), Treynorov indeks ( ) i Jensenov ili alfa indeks ( ). 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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