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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 (), Treynor ratio (), and Jensen's or Alpha index (). 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.
Evaluating bank performance on a yearly basis and making comparison among banks in certain time intervals provide an insight into general financial state of banks and their relative position with respect to the environment (creditors, investors, and stakeholders). The aim of this study is to propose a new fuzzy multicriteria model to evaluate banks respecting relative importance of financial performances and their values. The relative importance of each pair of financial performance groups is assessed linguistic expressions which are modeled by triangular fuzzy numbers. Fuzzy Analytic Hierarchical Process (FAHP) is applied to determine relative weights of the financial performances. In order to rank the treated banks, new model based on Fuzzy Technique for Order Performance by Similarity to Ideal Solution (FTOPSIS) is deployed. The proposed model is illustrated by an example giving real life data from 12 banks having 80% share of the Serbian market. In order to verify the proposed FTOPSIS different measures of separation are used. The presented solution enables the ranking of banks, gives an insight of bank’s state to stakeholders, and provides base for successful improvement in a field of strategy quality in bank business.
Investment funds in diff erent types of fi nancial assets are motivated by investors' expectation to realize a profi t. Since the expected return is not always certain, the investor is faced with a risk of his investment not giving results in accordance with the expectations. Therefore, the consideration of risk by which the concrete placement is hampered should not be neglected or le$ to intuition. An incorrect risk assessment can result in a lack of the expected return or a loss of a capital investment. The global fi nancial crisis has indicated on the possible absence consequences of the comprehensive risk management, in other words, the inadequate perceiving of all the risks and their interdependencies. In this paper, the system of managing risks including their early identifi cation, assessment, measuring and risk control is analyzed. At the same time, models providing an eff ective portfolio diversifi cation in the function of reducing an investment risk have been analyzed. It is indicated that risk management requires the process fl exibility without strongly relying only on mathematical models that failed to identify the growth of a systemic risk.
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