UPOREDNA ANALIZA RIZIKA SPORTSKOG INDEKSA PRIMENOM SHARPE, SORTINO I TREYNOR RATIO
DOI:
https://doi.org/10.46793/ManagSport16-2.044PKljučne reči:
portfolio menadžment, European Football Clubs Index, hedžing, plemeniti metali, rizik, prinos, sigurna lukaApstrakt
Ovaj rad analizira performanse European Football Clubs Index (EFCI), koji uključuje Manchester United, Juventus, Benficu i Celtic, kroz procenu prinosa i rizika. Analiza koristi Sharpe, Sortino i Treynor racio, dok su bivarijantni portfoliji konstruisani primenom minimalne varijanse i optimalnih udela prema Kroner & Ng formuli. Hedžiranje indeksa je sprovedeno sa plemenitim metalima – zlatom, srebrom, platinom i paladijumom. Rezultati pokazuju da portfolij sa zlatom ostvaruje najbolji odnos prinosa i ukupnog rizika (Sharpe 0,1186, Sortino 0,0801, Treynor 28,4340), dok platina pruža najefikasniju zaštitu od negativnih oscilacija (Sortino 0,1049, downside rizik 0,4297). Srebro i paladijum pokazuju slabije performanse, sa niskim ili negativnim Sharpe i Sortino vrednostima i neefikasnim Treynor raciom (-30,2617 za paladijum). Nalazi potvrđuju da hedžiranje sa plemenitim metalima značajno smanjuje rizik portfolija i da efikasnost strategije zavisi od primenjenog pokazatelja performansi. Rad doprinosi literaturi jedinstvenim pristupom sistematskog hedžiranja sportskih indeksa plemenitim metalima, naglašavajući praktičnu primenljivost i inovativnost metodologije.
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