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A magyar pénzpiaci alapok összehasonlító elemzése
[A comparative analysis of Hungarian money-market funds]

Author

Listed:
  • Radnai, Márton
  • Szatmári, Alexandra

Abstract

A pénzpiaci alapoknak - mint nevük is mutatja - befektetéseiket eredetileg a pénzpiacon, azaz rövid lejáratú lekötött betétekben vagy azzal ekvivalens kamattípusú pénzügyi eszközökben kellene tartaniuk, vagyis minimális kamatkockázatot "illene" vállalniuk. A 2003. őszi sorozatos kamatemelések következtében azonban általában ezeknek az alapoknak az árfolyama is jelentősebb mértékben esett, azt jelezve, hogy sok esetben inkább beszélhetünk rövid kötvényalapokról, mint pénzpiaci alapokról. Elemzésünkben a forintalapú pénzpiaci alapok által vállalt kamatkockázatot és az ezzel elért teljesítményeket hasonlítjuk össze a 2003. január 1. és 2005. október 5. között eltelt időszakban. Megállapítjuk, hogy a pénzpiaci alapok kamatkockázata igen nagy szórást mutat, némelyiké időben is változik, és vannak olyanok, amelyek kockázatukat tekintve nem is minősíthetők pénzpiaci alapoknak. Jelentős szóródást találunk emellett az egyes alapok referenciaportfólióhoz képest elért teljesítményében is. Journal of Economic Literature (JEL) kód: G11, G23.

Suggested Citation

  • Radnai, Márton & Szatmári, Alexandra, 2006. "A magyar pénzpiaci alapok összehasonlító elemzése [A comparative analysis of Hungarian money-market funds]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 389-407.
    • Handle: RePEc:ksa:szemle:840
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    References listed on IDEAS

    as
    1. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    2. Brown, Stephen J & Goetzmann, William N, 1995. "Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-698, June.
    3. Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 2000. "Performance and Characteristics of Swedish Mutual Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(3), pages 409-423, September.
    4. David Blake & Allan Timmermann, 1998. "Mutual Fund Performance: Evidence from the UK," Review of Finance, European Finance Association, vol. 2(1), pages 57-77.
    5. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    6. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "The Persistence of Risk-Adjusted Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 69(2), pages 133-157, April.
    7. Chen, Zhiwu & Knez, Peter J, 1996. "Portfolio Performance Measurement: Theory and Applications," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 511-555.
    8. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," The Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-580.
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    Cited by:

    1. Zawadowski, Ádám, 2017. "Kezelési költségük határozza-e meg a Magyarországon forgalmazott részvénypiaci befektetési alapok teljesítményét? [Do fees determine the performance of stock mutual funds sold in Hungary?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 1186-1201.

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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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