Alternative measures and decomposition of mutual funds portfolio performance

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 versio...
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Autor*in:	Leković Miljan [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch ; srp

Erschienen:	2018

Schlagwörter:	information ratio M2 performance measure T2 performance measure Treynor-Mazuymodel Henriksson-Merton model Sortino ratio

Übergeordnetes Werk:	In: Bankarstvo - Association of Serbian Banks, 2017, 47(2018), 1, Seite 52-81
Übergeordnetes Werk:	volume:47 ; year:2018 ; number:1 ; pages:52-81

Links:	Link aufrufen Link aufrufen Journal toc Journal toc

Katalog-ID:	DOAJ003741001

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allfields	(DE-627)DOAJ003741001 (DE-599)DOAJ601d0f07bf574f40886ff9838d67db5c DE-627 ger DE-627 rakwb eng srp HG1-9999 Leković Miljan verfasserin aut Alternative measures and decomposition of mutual funds portfolio performance 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier 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. information ratio M2 performance measure T2 performance measure Treynor-Mazuymodel Henriksson-Merton model Sortino ratio Finance In Bankarstvo Association of Serbian Banks, 2017 47(2018), 1, Seite 52-81 (DE-627)790020343 (DE-600)2777224-X 24665495 nnns volume:47 year:2018 number:1 pages:52-81 https://doaj.org/article/601d0f07bf574f40886ff9838d67db5c kostenfrei https://scindeks-clanci.ceon.rs/data/pdf/1451-4354/2018/1451-43541801052L.pdf kostenfrei https://doaj.org/toc/1451-4354 Journal toc kostenfrei https://doaj.org/toc/2466-5495 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2863 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 47 2018 1 52-81
spelling	(DE-627)DOAJ003741001 (DE-599)DOAJ601d0f07bf574f40886ff9838d67db5c DE-627 ger DE-627 rakwb eng srp HG1-9999 Leković Miljan verfasserin aut Alternative measures and decomposition of mutual funds portfolio performance 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier 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. information ratio M2 performance measure T2 performance measure Treynor-Mazuymodel Henriksson-Merton model Sortino ratio Finance In Bankarstvo Association of Serbian Banks, 2017 47(2018), 1, Seite 52-81 (DE-627)790020343 (DE-600)2777224-X 24665495 nnns volume:47 year:2018 number:1 pages:52-81 https://doaj.org/article/601d0f07bf574f40886ff9838d67db5c kostenfrei https://scindeks-clanci.ceon.rs/data/pdf/1451-4354/2018/1451-43541801052L.pdf kostenfrei https://doaj.org/toc/1451-4354 Journal toc kostenfrei https://doaj.org/toc/2466-5495 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2863 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 47 2018 1 52-81
allfields_unstemmed	(DE-627)DOAJ003741001 (DE-599)DOAJ601d0f07bf574f40886ff9838d67db5c DE-627 ger DE-627 rakwb eng srp HG1-9999 Leković Miljan verfasserin aut Alternative measures and decomposition of mutual funds portfolio performance 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier 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. information ratio M2 performance measure T2 performance measure Treynor-Mazuymodel Henriksson-Merton model Sortino ratio Finance In Bankarstvo Association of Serbian Banks, 2017 47(2018), 1, Seite 52-81 (DE-627)790020343 (DE-600)2777224-X 24665495 nnns volume:47 year:2018 number:1 pages:52-81 https://doaj.org/article/601d0f07bf574f40886ff9838d67db5c kostenfrei https://scindeks-clanci.ceon.rs/data/pdf/1451-4354/2018/1451-43541801052L.pdf kostenfrei https://doaj.org/toc/1451-4354 Journal toc kostenfrei https://doaj.org/toc/2466-5495 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2863 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 47 2018 1 52-81
allfieldsGer	(DE-627)DOAJ003741001 (DE-599)DOAJ601d0f07bf574f40886ff9838d67db5c DE-627 ger DE-627 rakwb eng srp HG1-9999 Leković Miljan verfasserin aut Alternative measures and decomposition of mutual funds portfolio performance 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier 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. information ratio M2 performance measure T2 performance measure Treynor-Mazuymodel Henriksson-Merton model Sortino ratio Finance In Bankarstvo Association of Serbian Banks, 2017 47(2018), 1, Seite 52-81 (DE-627)790020343 (DE-600)2777224-X 24665495 nnns volume:47 year:2018 number:1 pages:52-81 https://doaj.org/article/601d0f07bf574f40886ff9838d67db5c kostenfrei https://scindeks-clanci.ceon.rs/data/pdf/1451-4354/2018/1451-43541801052L.pdf kostenfrei https://doaj.org/toc/1451-4354 Journal toc kostenfrei https://doaj.org/toc/2466-5495 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2863 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 47 2018 1 52-81
allfieldsSound	(DE-627)DOAJ003741001 (DE-599)DOAJ601d0f07bf574f40886ff9838d67db5c DE-627 ger DE-627 rakwb eng srp HG1-9999 Leković Miljan verfasserin aut Alternative measures and decomposition of mutual funds portfolio performance 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier 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. information ratio M2 performance measure T2 performance measure Treynor-Mazuymodel Henriksson-Merton model Sortino ratio Finance In Bankarstvo Association of Serbian Banks, 2017 47(2018), 1, Seite 52-81 (DE-627)790020343 (DE-600)2777224-X 24665495 nnns volume:47 year:2018 number:1 pages:52-81 https://doaj.org/article/601d0f07bf574f40886ff9838d67db5c kostenfrei https://scindeks-clanci.ceon.rs/data/pdf/1451-4354/2018/1451-43541801052L.pdf kostenfrei https://doaj.org/toc/1451-4354 Journal toc kostenfrei https://doaj.org/toc/2466-5495 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2863 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 47 2018 1 52-81
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callnumber-first	H - Social Science
author	Leković Miljan
spellingShingle	Leković Miljan misc HG1-9999 misc information ratio misc M2 performance measure misc T2 performance measure misc Treynor-Mazuymodel misc Henriksson-Merton model misc Sortino ratio misc Finance Alternative measures and decomposition of mutual funds portfolio performance
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topic	misc HG1-9999 misc information ratio misc M2 performance measure misc T2 performance measure misc Treynor-Mazuymodel misc Henriksson-Merton model misc Sortino ratio misc Finance
topic_unstemmed	misc HG1-9999 misc information ratio misc M2 performance measure misc T2 performance measure misc Treynor-Mazuymodel misc Henriksson-Merton model misc Sortino ratio misc Finance
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title	Alternative measures and decomposition of mutual funds portfolio performance
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title_sort	alternative measures and decomposition of mutual funds portfolio performance
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title_auth	Alternative measures and decomposition of mutual funds portfolio performance
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.
abstractGer	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.
abstract_unstemmed	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.
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title_short	Alternative measures and decomposition of mutual funds portfolio performance
url	https://doaj.org/article/601d0f07bf574f40886ff9838d67db5c https://scindeks-clanci.ceon.rs/data/pdf/1451-4354/2018/1451-43541801052L.pdf https://doaj.org/toc/1451-4354 https://doaj.org/toc/2466-5495
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Alternative measures and decomposition of mutual funds portfolio performance

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