A hybrid approach to investment fund analysis Panel modeling and cluster analysis in the Hungarian market

Vancsura, László and Plántek, Katalin and Parádi-Dolgos, Anett (2026) A hybrid approach to investment fund analysis Panel modeling and cluster analysis in the Hungarian market. ECONOMY AND FINANCE: ENGLISH-LANGUAGE EDITION OF GAZDASÁG ÉS PÉNZÜGY, 13 (1). pp. 21-49. ISSN 2415-9379

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Abstract

Our study aims to examine the performance and cost structure of Hungarian investment funds from 2017 to 2023. Using panel regression models, we analyzed the determinants of annual yield and the Total Expense Ratio (TER), with a particular focus on yield volatility, fund size, past performance, and asset class classification. Our results show that the level of risk, the current size of net asset value, and costs are significantly related to fund performance. Furthermore, our cluster analysis revealed that Hungarian funds can be divided into three distinct groups: conservative, stable-yield, and high-risk but potentially high-return funds. The findings emphasize that for investors, identifying costs and the risk profile is crucial for conscious portfolio construction. This study contributes to increasing financial literacy by showing how funds’ internal characteristics and market strategies affect performance. From a methodological perspective, the research combines classical econometric panel modeling with elements of machine learning, offering a new approach to investment fund analysis. The results are relevant not only for domestic investors and fund managers but also for the international literature and regulatory environment, as they shed light on the heterogeneity of the market structure and the diversity of investment strategies.

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