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Abszolút hozamú befektetési alapok teljesítményének értékelése - a teljesítménymanipulálás kimutatása
[Performance evaluation of absolute return funds - Detecting performance manipulation]

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  • Rácz, Dávid Andor

Abstract

Számos mutatószámmal és megközelítéssel lehet értékelni az aktívan menedzselt befektetési alapokat. A teljesítményértékelésben fontos probléma a manipulálhatóság, amely nemcsak az abszolút hozamú, hanem minden befektetési és fedezeti alapot érintő jelenség. Ebben a cikkben elsőként prezentáljuk a manipulációbiztos mutatószámok alkalmazását magyar befektetési alapok teljesítményértékelésére, valamint a hozammanipuláció nyomainak kimutatására. Megmutatjuk továbbá, hogy az elemzett magyar adatokon nem egyértelmű a kételkedési hányadosnak a szakirodalomban megfigyelt, az alternatív hozammanipulációt kimutató módszerekkel való szoros átfedése (Brown és szerzőtársai [2010] alapján 80 százalékos egyezés). Eredményeink alapján a torzítási ráta a potenciális hozammanipuláció kimutatására jobb előszűrő eszköznek bizonyult, mint a kételkedési hányados.* Journal of Economic Literature (JEL) kód: C10, G11, G24C10, G11, G24.

Suggested Citation

  • Rácz, Dávid Andor, 2019. "Abszolút hozamú befektetési alapok teljesítményének értékelése - a teljesítménymanipulálás kimutatása [Performance evaluation of absolute return funds - Detecting performance manipulation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 824-846.
    • Handle: RePEc:ksa:szemle:1856
    DOI: 10.18414/KSZ.2019.7-8.824
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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