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Die Konstruktion eines Performanceindexes für geschlossene Schiffsfonds

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Drobetz, W., Tegtmeier, L., Topalov, M. Die Konstruktion eines Performanceindexes für geschlossene Schiffsfonds. Credit and Capital Markets – Kredit und Kapital, 45(1), 79-113. https://doi.org/10.3790/kuk.45.1.79
Drobetz, Wolfgang; Tegtmeier, Lars and Topalov, Mihail "Die Konstruktion eines Performanceindexes für geschlossene Schiffsfonds" Credit and Capital Markets – Kredit und Kapital 45.1, 2012, 79-113. https://doi.org/10.3790/kuk.45.1.79
Drobetz, Wolfgang/Tegtmeier, Lars/Topalov, Mihail (2012): Die Konstruktion eines Performanceindexes für geschlossene Schiffsfonds, in: Credit and Capital Markets – Kredit und Kapital, vol. 45, iss. 1, 79-113, [online] https://doi.org/10.3790/kuk.45.1.79

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Die Konstruktion eines Performanceindexes für geschlossene Schiffsfonds

Drobetz, Wolfgang | Tegtmeier, Lars | Topalov, Mihail

Credit and Capital Markets – Kredit und Kapital, Vol. 45 (2012), Iss. 1 : pp. 79–113

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Prof. Dr. Wolfgang Drobetz, Universität Hamburg, Lehrstuhl für Unternehmens- und Schiffsfinanzierung, Von-Melle-Park 5, D-20146 Hamburg

Dr. 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

The Design of a Performance Index for Closed-End Ship Funds

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 closed-end 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.