Article

The development of a performance index for KG funds and a comparison with other shipping-related indices

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Despite their high economic importance, academic research has granted KG funds only marginal attention. A main reason is the lack of reliable performance data due to non-observable market prices during the lifetime of a KG fund. In order to measure the performance of KG funds, we construct an index using a database of more than 300 German one-ship companies during the sample period from December 1996 to December 2007. Looking at the distributional characteristics and the correlation structures, we analyse the comovement of the KG index with a broad set of other shipping-related indices. The variation ofour index is more dependent on vessel prices than on charter rates. Moreover, we use principal component analysis (PCA) in order to examine whether there are common structures and linkages between the different indices. On the basis of the resulting factor loadings, the KG index exhibits peculiar risk-return characteristics. PCA identifies one statistical factor that is specific to KG funds in the sense that only the KG index loads significantly on this particular factor. Our index does not merely represent a linear combination of vessel prices and freight rates, and it also does not stand in direct relationship with all other shipping-related indices. Instead, it constitutes a new index concept measuring the development of the market value of equity and distributions in the form of a performance index and incorporates specific information that is primarily of importance for one-ship companies. The availability of a performance index will likely increase transparency in the market for closed-end ship funds

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Ketersediaan

Informasi Detail

Judul Seri

The development of a performance index

No. Panggil

ATC MG DRO t C.1

Penerbit

Germany : KG FUNDS., 2013

Deskripsi Fisik

40 p.

Bahasa

English

ISBN/ISSN

1479-2931

Klasifikasi

MG

Tipe Isi

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Tipe Media

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Tipe Pembawa

online resource

Edisi

Vol. 15, 1, 32–71

Subjek

closed-end ship fund
KG fund
performance index
risk-return profile of shipping investments
correlation analysis
principle component analysis

Info Detail Spesifik

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Pernyataan Tanggungjawab

Wol f g a n g Drob e t z

Versi lain/terkait

Lampiran Berkas

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