Measurement of investment portfolio performances

Davidović, Milivoje and Mehmedović, Husein and Šijan, Goran and Marjanović, Darko (2013) Measurement of investment portfolio performances. TTEM. Technics technologies education management, 8 (2). pp. 745-753. ISSN 1840-1503

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Management of investment portfolio includes technical and fundamental analysis, selection of appropriate securities, designing the optimal portfolio structure, portfolio performance measurement, monitoring and portfolio rebalancing. Investing in securities involves active, balanced or passive investment strategies. In addition, the structure of investment portfolio consists of investment securities and trading book. Investment securities include liquid part that is a secondary liquidity reserve and the income part which is held to maturity in order to achieve the greatest possible profit. Trading book are securities that are traded continuously in order to make a profit according to current price differences. Investment activities are based on information about rates of return, the degree of risk, economic forecasts and risk preferences. After creating an optimal portfolio that is on the efficiency frontier, investment managers perform ongoing monitoring by measuring performance of securities. Investment instruments and tools for evaluating portfolio performance are quite developed: Sharpe’s index, Treynor’s index, Sortino ratio, Jensen index, Modigliani alpha index, CAPM and APT. Using these indices and models, portfolio managers assess portfolio performance and redesign the portfolio structure to bring current portfolio to the efficiency frontier as close as possible. Usability of these models and techniques are in creating and maintaining an optimal investment portfolio in accordance with the preferences of investors in terms of yield and risk.

Item Type: Article
Additional Information: COBISS.ID=512511074
Uncontrolled Keywords: investment portfolio, Sharpe’s index, Treynor’s index, Sortino ratio, Jensen index, Modigliani alpha index, CAPM and APT
Research Department: Macroeconomics
Depositing User: Jelena Banovic
Date Deposited: 29 Aug 2018 11:37
Last Modified: 03 May 2020 14:54

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