摘要：In addition to the well-established and most commonly used portfolio performance measures,both in theory and practice - the Sharpe ratio,the Treynor ratio and the Jensen’s or alpha index,the financial literature also includes other alternative portfolio measures,such as: two modified versions of the Sharpe ratio - the information ratio and the M2 portfolio performance measure,one modified version of the Treynor ratio - the T2 portfolio performance measure,models that measure the market timing abilities of fund managers - the Treynor-Mazuy and the Henriksson-Merton model and a ratio based on the downside risk and the downside deviation as its measure - the Sortino ratio.The paper aims to inform the investors in the Republic of Serbia about the basic features of the aforementioned portfolio performance measures,as well as to point to the importance of understanding the decomposition of the actual portfolio performance of mutual funds.
其他摘要：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.Cilј 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.
关键词：information ratio;M2 performance measure;T2 performance measure;Treynor-Mazuy model;Henriksson-Merton model;Sortino ratio
