2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 1 Prerequisite of the standard norm distribution of Markowitz at hedge fund not realistic.

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Presentation transcript:

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 1 Prerequisite of the standard norm distribution of Markowitz at hedge fund not realistic Volker GRONAU

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 2

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 3

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 4

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 5 CPPI - Investment

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 6 MACD - Investment

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 7 Value - Investment

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 8 Growth - Investment

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 9 Markowitz Maximum Sharpe Ratio

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 10 Markowitz Minimum Varianz DAX

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 11 DAX REX REX = loan investment Real Estate Investment

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 12 YIELD - Structure

13 Alternative Investments ► Relative Value ► Directional Strategies

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 14 Hedge Funds Managed Futures as well as Private Equity and Venture Capital

2. Oktober 2008 Educational Centre of TU in Herľany, Slovak Republic 15 Harry Max MARKOWITZ Harry Max MARKOWITZ Merton Miller Exkurs Nobelpreis 1990

16 Definition and features of hedge funds There is not a uniform definition for the concept "hedge funds"

17

18 Definition and features of hedge funds Hedge funds represent a very heterogeneous investment group in the financial economy There is not a uniform definition for the concept "hedge funds"

19 The expression "hedge" usually describes the protection against a financial asset against change of price risks, like share price, interest or exchange rate fluctuations, at the capital markets.

20 "Hedge funds" have established himself as generally recognized and primary conceptuality, however, worldwide.

21 Literature definition low liquidity low liquidity more complexly more complexly short sellings short sellings investments into derivatives investments into derivatives to obtain an essential leverage to obtain an essential leverage furthermore Hedge Fund investments are not accessible for all investors Hedge Fund investments are not accessible for all investors

22 The unusual feature of alternative investments arises from the view that capital markets assets frequently inefficiently and therefore are not able correctly to judge

23 Overview of the management strategies

24 Definition of the risk concept a deviation by the concept risk of expected or planned returns in the investment area

25 ALPHA – higher Performance expectation DAX DIV-DAX

26 Problem definition at the risk-/ performance measuring The judgement of hedge fund strategies is carried out with certain return and risk key financial data

27 Bayer correlates with 0.13% with the DAX

28 A diversification effect adapts provided that the investment alternatives not perfect and with that the portfolio risk correlates at same return expectation is lowered

29 Log – norm distribution If one analyses hedge fund strategies a little more exactly, then the acceptance of the normal distribution must be rejected in most cases

30 Log – Norm - Distribution Fat - Tail

31 Sharpe-Ratio William F. Sharpe red = Sharpe investment DAX Div-DAX

32 "The use leads the Sharpe reason to extraordinary results, however, which is owed to only the fact in truth that in connection with hedge funds all risks are not included with the volatility. Said differently the overall risk is underestimated and the return risk relationship consequently overestimated."

33 Sortino ratio the surplus return, at which only the negative performance changes (Downside deviation) are divided by

34 On the right steepness On the left crookedness

35 Discount - Certification

36 Carl Friedrich GAUSS

37

38 "Pre investment analysis always should of one and a hedge fund investment of a post investment risk management is accompanied”

39 I thank you for your attention very much

40 Harry M. MarkowitzHarry M. Markowitz (* in Chicago, Illinois) US-amerikanischer Ökonom Merton Miller (* in Boston, Massachusetts; † in Chicago) US- amerikanischer Ökonom William F. Sharpe (* in Cambridge, Massachusetts, USA) US-amerikanischer Wirtschaftswissenschaftler Merton Miller William F. Sharpe Nobelpreisträger 1990 back