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Die Konstruktion eines Performanceindexes für geschlossene Schiffsfonds

Author

Listed:
  • Wolfgang Drobetz

    (Universität Hamburg, Lehrstuhl für Unternehmens- und Schiffsfinanzierung, Von-Melle-Park 5, D-20146 Hamburg)

  • Lars Tegtmeier

    (TKL.Fonds GmbH, Neuer Wall 18, D-20354 Hamburg, und FOM Hochschule für Oekonomie & Management, Rothenbaumchaussee 5, D-20148 Hamburg)

  • Mihail Topalov

    (TKL.Fonds GmbH, Neuer Wall 18, D-20354 Hamburg)

Abstract

Closed-end ship funds (KG-funds) have been an important form of capital investment for private investors for many years. They also represented the most successful financing instrument of German tramp ship-owners in the past. In spite of their great importance for the economy overall, closed-end ship funds have attracted comparatively little attention in the academic literature. The primary reason is the lack of a representative performance index, which would allow to incorporate this asset class into the framework of modern portfolio theory. We construct a performance index using a database of more than 300 German closedend ship funds during the sample period from December 1996 to December 2007. Moreover, we examine the risk-return characteristics of closed-end ship funds and compare them with other major asset classes.

Suggested Citation

  • Wolfgang Drobetz & Lars Tegtmeier & Mihail Topalov, 2012. "Die Konstruktion eines Performanceindexes für geschlossene Schiffsfonds," Credit and Capital Markets, Credit and Capital Markets, vol. 45(1), pages 79-113.
  • Handle: RePEc:kuk:journl:v:45:y:2012:i:1:p:79-113
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    More about this item

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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