Оцена перформанси портфолија инвестиционих фондова у Републици Србији

  • Miljan Leković Univerzitet u Kragujevcu, Fakultet za hotelijerstvo i turizam u Vrnjačkoj Banji
  • Milena Jakšić University of Kragujevac, Faculty of Economics
  • Dragana Gnjatović University of Kragujevac, Faculty of Hotel Management and Tourism in Vrnjačka Banja
DOI: https://doi.org/10.5937/sjm15-21145
Ključne reči: инвестициони фондови, портфолио, селекциона способност, способност тајминга тржишта

Sažetak


У раду се оцењују перформансе отворених инвестиционих фондова у Републици Србији остварене у периоду 2011–2015. годинe, применом разноврсних приступа моделирању заснованих на различитим моделима. Циљ рада је да се теоријско-методолошки и емпиријски сагледа оправданост активног управљања портфолиом инвестиционих фондова и испита присуство селекционе способности и способности тајминга тржишта српских портфолио менаџера. Резултати истраживања показују да активним управљањем портфолиом инвестиционих фондова у Републици Србији нису остварене боље перформансе од просечних тржишних перформанси. Портфолио менаџерима већине српских инвестиционих фондова недостају способност избора профитабилних хартија од вредности и способност тајминга тржишта.

Biografije autora

Miljan Leković, Univerzitet u Kragujevcu, Fakultet za hotelijerstvo i turizam u Vrnjačkoj Banji
https://orcid.org/0000-0002-4952-3991
Milena Jakšić, University of Kragujevac, Faculty of Economics
https://orcid.org/0000-0003-0553-6085
Dragana Gnjatović, University of Kragujevac, Faculty of Hotel Management and Tourism in Vrnjačka Banja
https://orcid.org/0000-0002-3589-517X

Reference

Abdel-Kader, M., & Kuang, Y. (2007). Risk-Adjusted Performance, Selectivity, Timing Ability and Performance Persistence of Hong Kong Mutual Funds. Journal of Asia-Pacific Business, 8 (2), 25-58.

Aragon, G.O., & Ferson, W.E. (2006). Portfolio Performance Evaluation. Foundations and Trends in Finance, 2 (2), 83-190.

Baker, M., Litov, L., Wachter, J.A., & Wurgler, J. (2010). Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements. Journal of Financial and Quantitative Analysis, 45 (5), 1111-1131.

Bialkowski, J., & Otten, R. (2011). Emerging Market Mutual Fund Performance: Evidence for Poland. The North American Journal of Economics and Finance, 22 (2), 118-130.

Bogle, J. (1998). The Implications of Style Analysis for Mutual Fund Performance Evaluation. The Journal of Portfolio Management, 24 (4), 34-42.

Bollen, N.P.B., & Busse, J.A. (2001). On the Timing Ability of Mutual Fund Managers. The Journal of Finance, 56 (3), 1075-1094.

Carlson, R.S. (1970). Aggregate Performance of Mutual Funds, 1948-1967. Journal of Financial and Quantitative Analysis, 5 (1), 1-32.

Chang, E.C., & Lewellen, W.G. (1984). Market Timing and Mutual Fund Investment Performance. The Journal of Business, 57 (1), 57-72.

Chang, E.C., & Lewellen, W. G. (1985). An Arbitrage Pricing Approach to Evaluating Mutual Fund Performance. Journal of Financial Research, 8 (1), 15-30.

Chen, D., Gan, C., & Hu, B. (2013). An Empirical Study of Mutual Funds Performance in China. Working Paper, No. 2, Faculty of Commerce. Retreived from https://researcharchive.lincoln.ac.nz/bitstream/handle/10182/5525/FoC_wp_02.pdf;jsessionid=5BB6CED589D9379200792F2E0EB03D66?sequence=1

Chen, H.-L., Jegadeesh, N., & Wermers, R. (2000). The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers. The Journal of Financial and Quantitative Analysis, 35 (3), 343-368.

Davis, J.L. (2001). Mutual Fund Performance and Manager Style. Financial Analysts Journal, 57 (1), 19-27.

Francis, J.C., & Kim, D. (2013). Modern Portfolio Theory: Foundations, Analysis and New Developments. John Wiley & Sons, Inc. Hoboken, New Jersey.

Friend, I., Brown, F.E., Herman, E.S., & Vickers, D. (1962). A Study of Mutual Funds. U.S. Government Printing Office, Washington, D.C.

Glejser, H. (1969). A New Test for Heteroskedasticity. Journal of the American Statistical Association. 64 (325), 316-323.

Goetzmann, W.N., & Ibbotson, R.G. (1994). Do Winners Repeat? The Journal of Portfolio Management, 20 (2), 9-18.

Goetzmann, W.N., Ingersoll, J., & Ivković, Z. (2000). Monthly Measurement of Daily Timers. Journal of Financial and Quantitative Analysis, 35 (3), 257-290.

Grewe, O., & Stehle, R. (2001). The Long-Run Performance of German Stock Mutual Funds. EFMA 2001 Lugano Meetings. Retreived from https://ssrn.com/abstract=271452

Grinblatt, M., & Titman, S. (1989). Мutual Fund Performance: An Analysis of Quarterly Portfolio Holdings. The Journal of Business, 62 (3), 393-416.

Harlow, W., & Brown, K. (2006). The Right Answer to the Wrong Question: Identifying Superior Active Portfolio Management. Journal of Investment Management, 4 (4), 15-40.

Henriksson, R.D. (1984). Market Timing and Mutual Fund Performance: An Empirical Investigation. The Journal of Business, 57 (1), 73-96.

Ilirika DZU Investment Fund Management Company, Retrieved from http://www.ilirika.rs/.

Ippolito, R. (1989). Efficiency with Costly Information: A Study of Mutual Fund Performance. Quarterly Journal of Economics, 104 (1), 1-23.

Jagrič, T., Podobnik, B., Strašek, S., & Jagrič, V. (2007). Risk-adjusted Performance of Mutual Funds: Some Tests. South-Eastern Europe Journal of Economics, 5 (2), 233-244.

Jensen, M.C. (1968). The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance, 23 (2), 389-416.

Jiang, G.J., Yao, T., & Yu, T. (2007). Do Mutual Funds Time the Market? Evidence from Portfolio Holdings. Journal of Financial Economics, 86 (3), 724-758.

Kim, S.S., & Sohn, P. (2013). Market Timing Performance in the Korean Fund Market: Evidence from Portfolio Holdings. Procedia Economics and Finance, 5, 443–452.

Kon, S.J. (1983). The Market Timing Performance of Mutual Fund Managers. The Journal of Business, 56 (3), 323-347.

Kosowski, R., Timmermann, A., Wermers, R., & White, H. (2006). Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis. The Journal of Finance, 61 (6), 2551-2595.

Lee, C.F., & Rahman, S. (1991). New Evidence on Timing and Security Selection Skill of Mutual Fund Managers. The Journal of Portfolio Management, 17 (2), 80-83.

Mains, N.E. (1977). Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios: Comment. The Journal of Business, 50 (3), 371-384.

Malkiel, B.G. (1995). Returns from Investing in Equity Mutual Funds: 1971 to 1991. Journal of Finance, 50 (2), 549-572.

Markovič-Hribernik, T., & Vek, U. (2013). Do Mutual Fund Performance and the Abilities of Fund Managers in Slovenia Deviate from those in Developed Markets? Romanian Economic and Business Review, 8 (1), 130-139.

McDonald, J.G. (1974). Objectives and Performance of Mutual Funds, 1960-1969. Journal of Financial and Quantitative Analysis, 9 (3), 311-333.

Modigliani, F., & Modigliani, L. (1997). Risk-Adjusted Performance. Journal of Portfolio Management, 23 (2), 45-54.

Otten, R., & Bams, D. (2002). European Mutual Fund Performance. European Financial Management, 8 (1), 75-101.

Otten, R., & Schweitzer, M. (2002). A Comparison Between the European and the U.S. Mutual Fund Industry. Managerial Finance, 28 (1), 14-35.

Pantić, N., & Milojević, I. (2019). Investments and employment in tourism in the Republic of Serbia. Menadžment u hotelijerstvu i turizmu – Hotel and Tourism Management, 7 (1), 95-104.

Podobnik, B., Balen, V., Jagric, T., & Kolanovic, M. (2007) Croatian and Slovenian Mutual Funds and Bosnian Investments Funds. Czech Journal of Economics and Finance, 57 (3-4), 159-177.

Raiffeisen Invest, Investment Fund Management Company, Retrieved from https://www.raiffeiseninvest.rs/invest.155.html.

Redman, L.A., Gullet, N.S., & Manakyan, H. (2000). The Performance of Global and International Mutual Funds. Journal of Financial and Strategic Decisions, 13 (1), 75-85.

Sajter, D. (2011). Can Croatian Fund Managers Create Alpha Returns? Performance of Some Mutual Funds in Croatia. Ekonomski pregled, 62 (5-6), 248-266.

Sharpe, W. F. (1966). Mutual Fund Performance. Journal of Business, 39 (1), 119-138.

Soldić Aleksić, J. (2011). Applied data analysis (in Serbian). Ekonomski fakultet u Beogradu. Beograd, Republika Srbija.

Swinkels, L., & Rzezniczak, P. (2009). Performance Evaluation of Polish Mutual Fund Managers. International Journal of Emerging Markets, 4 (1), 26-42.

Swinkels, L., & Tjong-A-Tjoe, L. (2007). Can Mutual Funds Time Investment Styles? Journal of Asset Management, 8 (2), 123–132.

Škrinjarić, T. (2013). Market Timing Ability of Mutual Funds with Tests Applied on Several Croatian Funds. Croatian Operational Research Review, 4 (1), 176-186.

Treynor J.L. (1965). How to Rate Management of Investment Funds. Harvard Business Review, 43, 63-75.

Treynor, J.L., & Black, F. (1973). How to Use Security Analysis to Improve Portfolio Selection. The Journal of Business, 46(1), 66-86.

Treynor, J.L., & Mazuy, K.K. (1966). Can Mutual Funds Outguess the Market? Harvard Business Review, 44, 131-136.

Veselinović, P., Dimitrijević, M., & Kostić, M. (2019). Significance of Fiscal Policy for Economic Development and Agriculture. Economics of Agriculture, 66 (2), 357-373.

Wermers, R. (2000). Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses. The Journal of Finance, 55 (4), 1655-1695.

Objavljeno
2020/11/08
Broj časopisa
Vol. 15 Br. 2 (2020): Serbian Journal of Management
Rubrika
Originalni naučni članak

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.