Alternativne mere i dekompozicija performansi portfolija investicionih fondova

Abstract

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.