IDEAS home Printed from
   My bibliography  Save this paper

Diversification Properties of Investments in Shipping



In contrast to the more established alternative asset classes like real estate or hedge funds, there is not much research available for investments in shipping. This article contributes to closing this gap in the literature and investigates the diversification properties of investments in shipping. During our sample period from January 1999 to December 2007, an investment in shipping stocks earned an attractive risk-return combination. From an overall perspective, we find almost no indications within our analytical framework that the addition of an investment in shipping stocks to a base portfolio of stocks and bonds worsened diversification. In most cases, the Sharpe ratios increased considerably but were, with some noticeable exceptions, statistically insignificant. Some details should be noticed: Firstly, the composition of the shipping stocks portfolio mattered much. Compared with the MSCI World Marine Index, which is a capitalization-weighted aggregate of 10 stocks, the diversification benefit of the broader and equally-weighted shipping stocks portfolio of our Research Index with 41 stocks was much more pronounced and partially even statistically significant which is a rare event for the test developed by Gibbons et al. [1989]. Secondly, diversification properties were not stable through the course of time with larger diversification benefits during the bear market from March 2000 to March 2003 compared to the bull market from April 2003 to October 2007. However, the latter are statistically more reliable. Our positive overall view of the diversification properties of shipping stocks is based on a single full stock market cycle. The generalizability of our results is an open question and requires further research.

Suggested Citation

  • Michael B. Grelck & Stefan Prigge & Lars Tegtmeier & Mihail Topalov, 2008. "Diversification Properties of Investments in Shipping," Working Papers 011, Hanseatic University, Germany, Department of Economics.
  • Handle: RePEc:phu:wpaper:011

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:phu:wpaper:011. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Frank Waldau The email address of this maintainer does not seem to be valid anymore. Please ask Frank Waldau to update the entry or send us the correct address (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.