Emerging markets of South-eastern Europe: Croatian mutual funds and Bosnian investment funds = Novi trgi Jugovzhodne Evrope: hrvaški vzajemni in bosanski investicijski skladi /
In this article we study the performance of Croatian mutual funds and Bosnian investment funds. The risk/return measures are assessed by using the Sharpe ratio, the Treynor ratio, Jensen's Alpha, and the Treynor appraisal ratio. Furthermore, we analyze the timing ability of the funds using the...
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| Main Authors: | , , , , , |
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| Format: | Book Chapter |
| Jezik: | English |
| Teme: | |
| Sorodne knjige/članki: | Vsebovano v:
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| Izvleček: | In this article we study the performance of Croatian mutual funds and Bosnian investment funds. The risk/return measures are assessed by using the Sharpe ratio, the Treynor ratio, Jensen's Alpha, and the Treynor appraisal ratio. Furthermore, we analyze the timing ability of the funds using the quadratic regression of Treynor and Mazuy. To emphasize the financial perspective of South-eastern Europe, we also analyze returns of major financial indices in Croatia, Bosnia and Herzegovina, Slovenia, Serbia and Montenegro, Bulgaria, and Macedonia, and show that financial markets in the whole region exhibit a strong performance recently. V članku analiziramo donosnost hrvaških vzajemnih in bosanskih investicijskih skladov. Med možnimi merami tveganja in donosnosti smo izračunali Sharpov koeficient, Treynorjev koeficient, Jensenovo alfo in Treynorjev informacijski koeficient. Dodatno analiziramo še časovno usklajenost s kvadratno regresijo po Treynorju in Mazuyu. Da bi poudarili perspektivnost regije, analiziramo tudi donose pomembnejših indeksov na Hrvaškem, v Bosni, Sloveniji, Srbiji, Črni Gori, Bolgariji in Makedoniji. Rezultati kažejo na izjemno rast na vseh omenjenih trgih. |
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| Opis knjige/članka: | Soavtorji Vanco Balen, Timotej Jagrič, Marko Kolanovič, Beco Pehlivanovič, Sebastjan Strašek. |
| Fizični opis: | str. 30-39. |
| Bibliografija: | Bibliografija: str. 39. |
| ISSN: | 0547-3101 |