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Die Konstruktion einer marktbasierten Benchmark für Beteiligungstitel in Schiffsinvestitionen

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  • Grelck, Michael B.
  • Prigge, Stefan
  • Tegtmeier, Lars
  • Topalov, Mihail
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    Abstract

    Schiffsinvestitionen haben in Deutschland eine lange Tradition und stellen für private Anleger — meist über geschlossene Fonds — und zunehmend auch für institutionelle Anleger eine bedeutende Form der Kapitalanlage dar. Trotz ihrer schon lange anhaltenden Beliebtheit und des hohen Anlagevolumens gibt es keine belastbaren Daten über die Ertrags- und Risikoeigenschaften von Beteiligungstiteln in Schiffsinvestitionen. In diesem Aufsatz wird ein Indexkonzept als Benchmark für solche Beteiligungstitel entwickelt. Es ermöglicht das Berechnen langer (Start 1997), repräsentativer, marktbasierter Index- und damit auch Renditezeitreihen für Schiffsinvestitionen. Die Frequenz ist mit monatlichen Daten ausreichend hoch für statistische Auswertungen. Das Indexkonzept verbessert die Transparenz des gesamten Schifffahrtssegments ganz erheblich. Über das Segment hinaus erlauben die Indizes die Einbindung von Schiffsinvestitionen in quantitative Gesamtportfolioüberlegungen. Die ersten Berechnungen haben eher exemplarischen Charakter. Sie geben Anhaltspunkte hinsichtlich der Ertrags-Risiko-Kombinationen und der Diversifikationseigenschaften von Schiffsinvestitionen sowie der Verteilungseigenschaften der Indexzeitreihen. -- Investments in shipping have a long tradition in Germany. They are a significant form of investment for private investors - mainly through KG funds - and became increasingly relevant for institutional investors. Despite its long term lasting popularity and the high investment volume there are no relevant data available regarding risk and return of participations in shipping investments. This article develops an index concept as a benchmark for such participations. It enables the calculation of long term (since 1997), representative, market based index time series and with it also return time series for shipping investments. With the availability of monthly data the frequency is high enough for statistical evaluations. The index concept improves the transparency of the whole shipping segment considerably. Furthermore the indexes allow the integration of shipping investments in quantitative portfolio considerations. The first calculations in this article can be seen as exemplary. They provide clues regarding risk return combinations and with respect to diversification properties of shipping investments as well as characteristics about index times series distributions.

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    Bibliographic Info

    Paper provided by Hamburg School of Business Administration (HSBA) in its series Working Paper Series with number 05/2010.

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    Date of creation: 2010
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    Handle: RePEc:zbw:hsbawp:052010

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    Related research

    Keywords: investments in shipping; losed funds in shipping (KG funds); total return index; Schiffsinvestitionen; geschlossene Schiffsfonds; Performanceindex;

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