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2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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Prerequisite Prerequisite of theof the
standard norm standard norm distribution distribution
of of
Markowitz Markowitz atat
hedge fund hedge fund
not realisticnot realisticVolker GRONAUVolker GRONAU
2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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CPPI - InvestmentCPPI - Investment
2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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MACD - InvestmentMACD - Investment
2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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Value - InvestmentValue - Investment
2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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Growth - InvestmentGrowth - Investment
2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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Markowitz Maximum Sharpe RatioMarkowitz Maximum Sharpe Ratio
2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
1010
Markowitz Minimum VarianzMarkowitz Minimum Varianz
DAX
2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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DAXDAX
REXREX = loan investment
Real Estate Real Estate InvestmentInvestment
2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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aktuelle Rendite %
4,54 4,52 4,54 4,574,62 4,66
4,91
4,63
4,51 4,50
3,00
3,50
4,00
4,50
5,00
5,50
6,00
1 2 3 4 5 6 7 8 9 10
YIELD - StructureYIELD - Structure
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Alternative InvestmentsAlternative Investments
►Relative ValueRelative Value
►Directional StrategiesDirectional Strategies
2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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Hedge Funds Hedge Funds
Managed Futures Managed Futures
as well asas well as
Private Equity Private Equity
andand
Venture CapitalVenture Capital
2. Oktober 20082. Oktober 2008 Educational Centre of TU in Herľany,Educational Centre of TU in Herľany,Slovak Republic Slovak Republic
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Harry Max MARKOWITZHarry Max MARKOWITZ
Merton MillerMerton Miller
Exkurs
Nobelpreis 1990
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Definition and features of hedge fundsDefinition and features of hedge funds
There is not a uniform definition There is not a uniform definition for the concept for the concept "hedge funds""hedge funds"
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Definition and features of hedge fundsDefinition and features of hedge funds
Hedge funds represent a very Hedge funds represent a very heterogeneous investment group in the heterogeneous investment group in the
financial economyfinancial economy
There is not a uniform definition for the There is not a uniform definition for the concept "hedge funds"concept "hedge funds"
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The expression "hedge" usually describesThe expression "hedge" usually describes
the protection against a financial assetthe protection against a financial asset
against change of price risks, against change of price risks, like share price, like share price,
interest or interest or exchange rate fluctuations,exchange rate fluctuations,
at the capital markets.at the capital markets.
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"Hedge funds" "Hedge funds"
have established himself have established himself as generally recognized as generally recognized
and primary conceptuality, and primary conceptuality, however, worldwide.however, worldwide.
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Literature definitionLiterature definition
• low liquiditylow liquidity• more complexlymore complexly • short sellings short sellings • investments into derivatives investments into derivatives • to obtain an essential leverageto obtain an essential leverage
furthermorefurthermore
• Hedge Fund investments are not accessible Hedge Fund investments are not accessible for all investorsfor all investors
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The unusual feature The unusual feature of alternative investments of alternative investments
arises arises
from the view from the view that capital markets assets that capital markets assets frequently inefficiently and frequently inefficiently and
therefore are not able correctly to judgetherefore are not able correctly to judge
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Definition of the risk conceptDefinition of the risk concept
a deviation by the concept riska deviation by the concept risk
of expected of expected
or planned returns or planned returns
in the investment areain the investment area
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Problem definition at the risk-/ performance
measuring
The judgement of hedge fund strategies is carried out with certain return and
risk key financial data
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A diversification effect A diversification effect adapts provided adapts provided
that the investment alternatives that the investment alternatives not perfect and not perfect and
with that the portfolio risk correlates with that the portfolio risk correlates at same return expectation at same return expectation
is loweredis lowered
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Log – norm distributionLog – norm distribution
If one analyses hedge fund strategies If one analyses hedge fund strategies a little more exactly, a little more exactly,
then the acceptance of the normal distribution then the acceptance of the normal distribution must be rejected in most casesmust be rejected in most cases
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Sharpe-RatioSharpe-Ratio William F. William F. SharpeSharpe
red = Sharpe red = Sharpe investmentinvestment
DAXDAX
Div-Div-DAXDAX
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"The use leads the Sharpe reason "The use leads the Sharpe reason to extraordinary results, to extraordinary results,
however, however, which is owed to only the fact in truth which is owed to only the fact in truth that in connection with hedge funds that in connection with hedge funds
all risks are not included all risks are not included with the volatility. with the volatility.
Said differently the overall risk Said differently the overall risk is underestimated and is underestimated and
the return risk relationship the return risk relationship consequently overestimated." consequently overestimated."
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Sortino ratioSortino ratio
the surplus return, at which onlythe surplus return, at which onlythe negative performance changes the negative performance changes
(Downside deviation) (Downside deviation) are divided byare divided by
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"Pre investment analysis "Pre investment analysis
always should of one and always should of one and
a hedge fund investment a hedge fund investment
of a post investment risk management of a post investment risk management
is accompanied”is accompanied”
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Harry M. Markowitz (* 24.8.1927 in Chicago, Illinois) US-amerikanischer Ökonom
Merton Miller (* 16.5.1923 in Boston, Massachusetts; † 3. 6.2000 in Chicago) US-amerikanischer Ökonom
William F. Sharpe (* 16.6.1934 in Cambridge, Massachusetts, USA) US-amerikanischer Wirtschaftswissenschaftler
Nobelpreisträger 1990Nobelpreisträger 1990
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