In this paper we evaluate the performance of nine mutual funds in the Republic of Serbia in the period 2011-2013 by integrating traditional approaches for measuring absolute efficiency and the selected multi-criteria decision-making methods for measuring relative efficiency. | Yugoslav Journal of Operations Research 28 (2018), Number 3, 385–414 DOI: A MULTI-CRITERIA DECISION-MAKING APPROACH TO PERFORMANCE EVALUATION OF MUTUAL FUNDS: A CASE STUDY IN SERBIA ´ Milena JAKŠIC University of Kragujevac, Faculty of Economics,Serbia milenaj@. ´ Predrag MIMOVIC University of Kragujevac, Faculty of Economics, Serbia mimovicp@ ´ Miljan LEKOVIC University of Kragujevac, Faculty of Hotel Management and Tourism in Vrnjaˇcka Banja, Serbia Received: February 2017 / Accepted: November 2017 Abstract: In this paper we evaluate the performance of nine mutual funds in the Republic of Serbia in the period 2011-2013 by integrating traditional approaches for measuring absolute efficiency and the selected multi-criteria decision-making methods for measuring relative efficiency. The aim of our research is to test selection abilities of Serbian portfolio managers. Performance evaluation of mutual funds, being by its nature a complex problem of multi-criteria decision-making, must be solved by the methods that have, at least, the same level of complexity. Research results indicate that mutual funds have inferior performance, which on the other hand, confirms that the national portfolio managers lack selection abilities. Keywords: Sharpe Index, Treynor Index, Jensen’s alpha Index, Ivaluation, Ierformance, Efficiency, Mutual Funds, Multi-criteria Decision-Making, AHP, DEA, DEAHP. MSC: 90B50, 90B90, 97M40. 386 Jakši´c, M., Mimovi´c, P., Lekovi´c, M., / A Multi-Criteria Decision-Making 1. INTRODUCTION In modern business, with strong dynamic changes in its environment, the task of mutual funds management is to continuously monitor users’ preferences of financial services, competition activities, performance of internal processes, and overall financial situation. Therefore, performance measurement and evaluation is the basis for reviewing the current situation in business behavior and the .
