摘要：In this paper we evaluate the performance of eight open-end mutual funds in the Republic of Serbia for the period 2009-2012,with the aim of testing the justification of active portfolio management of mutual funds,and determining the selection capability of Serbian portfolio managers.Riskweighted returns of mutual funds are compared with the risk-weighted return of the leading Belgrade Stock Exchange index,Belex15,whereas the following are used as performance measures:Sharpe ratio(Si),Treynor ratio(Ti),and Jensen's or Alpha index(ai).The results suggest that the portfolio of Serbian mutual funds has inferior performance compared to the market portfolio,which indicates the lack of selection capabilities of domestic portfolio managers.
其他摘要：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 koristese:Sharpeov indeks(Si),Treynorov indeks(Ti)i Jensenov ili alfa indeks(ai). 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.
关键词：mutual funds;Sharpe ratio;Treynor ratio;Jensen's or Alpha index
其他关键词：investicioni fondovi;Sharpeov indeks;Treynorov indeks;Jensenov ili alfa indeks
