Die Konstruktion eines Performanceindexes für geschlossene Schiffsfonds

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.