RATIO ANALYSIS OF ACTUAL BUSINESS PERFORMANCE OF INVESTMENT FUNDS IN SERBIA
Abstract
The subject of this paper is to analyze the performance of open investment funds in Serbia in the period of 2007 to 2013. By applying Jensen's alpha, Sharper and Sortino ratio it was found that the performances of domestic investment funds are unsatisfactory. Review of investment funds operations is based on the returns they bring and the risks they accept in the business. In Serbia, the equity funds, as the most risky funds, started to operate in 2007, while cash funds (as the least risky funds) were introduced in later phase after 3 years. At the moment there are 16 open investment funds (on 02/28/13), where value growth and value maintenance funds dominate. A total net asset of open investment funds is 2,324 million Dinars i.e. 20 million Euros (at the end of 2012).
References
Alexander, C. (2008). Market Risk Analysis: Quantitative Methods in Finance. Chichester, Wiley.
Barjaktarovic, L., & Jecmenica, D. (2011). Optimism vs. pessimism of competitiveness of Serbian banking division. Industrija, 2/2011: 137-150. (In Serbian)
Barjaktarovic, L., Jecmenica, D., & Paunovic, M. (2012). Ratio analysis of actual performances of open investment funds in Serbia. May Conference on Strategic Management, Technical faculty in Bor, 2012: 332-342. (In Serbian)
Barjaktarovic, L., Jecmenica, D., & Paunovic, M. (2012a). Investment funds as alternative investment in Serbia, ICEOS – 2012 13 th International Conference on Econometrics, Operations, Research, and Statistics, Turkish Republic of Northern Cyprus. (presented paper work, the book of proceedings in the process of publishing)
Doku, N.J., Delali Ajdasi, C.K., & Sarpong-Kumankuma, E. (2011). Financial market development and capital structure of listed firms- empirical evidence from Ghana. Serbian journal of management, 6(2): 155-168.
Haslem, J. (2010). Mutual Funds: Portfolio structure, Analysis, Management and Stewardship. New Jersey, Wiley.
Jensen, M. (1967). The performance of mutual funds in the period 1945 - 1965. Journal of finance 23.
Jeremic, Z. (2009). Financial markets. Third edition. Belgrade, University Singidunum. (In Serbian)
Luckoff, P. (2011). Mutual Fund Performance and Performance Persistence: The Impact of Fund Flows and Manager Changes. Geissen, Gabler Research.
National Bank of Serbia (2013). Quarterly report of movement of financial stability indicators of Repbulic of Serbia for the 4th quartile of 2012.
National Bank of Serbia (2013) My money [www.mojnovac.rs/fondovi.1.thml]
Prospect of open investment fund Citadel Cash Fund [http://www.citadel-am.com/files/Prospekti/Prospekt-Novcani-31-03-11.pdf]
Prospect of open investment fund Delta Dynamic [http://www.deltainvestments.rs/upload/images/Prospekt%20Delta%20Dynamicx.pdf]
Prospect of open investment fund Delta Plus [http://www.deltainvestments.rs/upload/images/Prospekt%20Delta%20Plusx.pdf]
Prospect of open investment fund Erste Cash [http://www.ersteinvest.rs/Erste_CASH/Prospekt/sPortal.portal;jsessionid=hrqJL58MTvzVVfJY0w9dt1JbPtNgY6SPYbh81LKs2cXH6GnpZx7K!407568366?
_windowLabel=LABEL_MENU&_urlType=action&LABEL_MENU_]
Prospect of open investment fund Erste Euro Balanced [http://www.ersteinvest.rs/Erste_CASH/Prospekt/sPortal.portal;jsessionid=hrqJL58MTvzVVfJY0w9dt1JbPtNgY6SPYbh81LKs2cXH6GnpZx7K!407568366?_windowLabel=LABEL_MENU&_urlType=action&LABEL_MENU]
Prospect of open investment fund Fima Novac [http://www.fimainvest.com/download/Prospekt%20FIMA%20NOVAC%2031.12.pdf]
Prospect of open investment fund Fima Proactive [http://www.fimainvest.com/download/Prospekt%20FIMA%20ProActive%2031.12.pdf]
Prospect of open investment fund Ilirika global [http://www.mojnovac.rs/upload/documents/prospekti_prezentacije/ilirika/PROSPEKT_-_ILIRIKA_GLOBAL.pdf ]
Prospect of open investment fund Kombank InFond [ http://www.kombankinvest.com/pdf/InFond_duzi2.pdf]
Prospect of open investment fund Raiffeisen Shares [http://www.raiffeiseninvest.rs/bgrbaiinv/web/public/prospekt]
Prospect of open investment fund Triumph [http://www.mojnovac.rs/upload/documents/prospekti_prezentacije/truimph/Prospekt-OIF-31-08-10.pdf]
Prospect of open investment fund Triumph Balance [http://www.citadel-am.com/files/Prospekti/Prospekt-Balans-31-03-11.pdf]
Prospect of open investment fund Focus Premium [http://www.citadel-am.com/files/Prospekti/Prospekt-Premium-31-08-10.pdf]
Racic, Z., Barjaktarovic, L., & Zeremski, A. (2011). Analysis of debts on profitability of Serbian successful companies during the crisis, Industrija 3/2011: 45-59. (In Serbian)
Security Commission of Republic of Serbia (2008) Report on activities of Security Commission of Republic of Serbia and movements on organized Serbian security market in period January – December 2007. Belgrade.
Security Commission of Republic of Serbia (2009) Report on activities of Security Commission of Republic of Serbia and movements on organized Serbian security market in period January – December 2008. Belgrade.
Security Commission of Republic of Serbia (2010) Report on activities of Security Commission of Republic of Serbia and movements on organized Serbian security market in period January – December 2009. Belgrade.
Security Commission of Republic of Serbia (2011) Report on activities of Security Commission of Republic of Serbia and movements on organized Serbian security market in period January – December 2010. Belgrade.
Sharpe, W. (1966). Mutual fund performance. Journal of business, vol. 39.
Sortino, F., & Satchell, S.(2001). Managinig downside risk in financial markets. Oxford, Butterwoth-Heinemann.
The Investment Company Institute (2007) A guide to understanding mutual funds. Washington DC, ICI.
The Investment Company Institute (2011) 2011 Investment Company Fact Book. 51. edition. Washington DC, ICI.
The official gazette of Republic of Serbia (2011) Law on Investment funds [www.sec.gov.rs]
The official gazette of Republic of Serbia (2011) Law on equity markets [www.sec.gov.rs]
The site of Bifoline (2012) News [www.bifoline.rs]
The site of Raiffeisen bank a.d. Belgrade (2013) Investment funds [www.raiffeisenbank.rs]
The site of Security Commission of Republic of Serbia (2013) Participant on Serbian financial market [www.sec.gov.rs]
Vejnovic, N. (2011). Analysis of performance of Serbian investment funds, FEFA, Belgrade. (In Serbian)
The Author wishes to submit the Work to SJM for publication. To enable SJM to publish the Work and to give effect to the parties’ intention set forth herein, they have agreed to cede the first right to publication and republication in the SJM Journal.
Cession
The Author hereby cedes to SJM, who accepts the cession, to the copyright in and to the paper.
The purpose of the cession is to enable SJM to publish the Work, as first publisher world-wide, and for republication in the SJM Journal, and to grant the right to others to publish the Work world-wide, for so long as such copyright subsists;
SJM shall be entitled to edit the work before publication, as it deems fit, subject to the Authors approval
The Author warrants to SJM that:
- the Author is the owner of the copyright in the Work, whether as author or as reassigned from the Author’s employee and that the Author is entitled to cede the copyright to SJM;
- the paper (or any of its part) is not submitted or accepted for publication in any other Journal;
- the Work is an original work created by the Author;
- the Author has not transferred, ceded, or assigned the copyright, or any part thereof, to any third party; or granted any third party a licence or other right to the copyright, which may affect or detract from the rights granted to SJM in terms of this agreement.
The Author hereby indemnifies the SJM as a body and its individual members, to the fullest extent permitted in law, against all or any claims which may arise consequent to the warranties set forth.
No monetary consideration shall be payable by SJM to the Author for the cession, but SJM shall clearly identify the Author as having produced the Work and ensure that due recognition is given to the Author in any publication of the Work.
Should SJM, in its sole discretion, elect not to publish the Work within 1 year after the date of this agreement, the cession shall lapse and be of no further effect. In such event the copyright shall revert to the Author and SJM shall not publish the Work, or any part thereof, without the Author’s prior written consent.