Hedge-Fonds als Asset-Klasse: Betrachtungen aus der Perspektive der deutschen Versicherungswirtschaft

Abstract

Zusammenfassung Die bis kurz vor der Krise so renditestarken Hedge-Fonds haben viele Versicherer dazu gebracht, den Hedge-Fonds-Anteil an ihrem Portfolio aufzustocken. Im Folgenden soll diese Assetklasse untersucht und insbesondere geprüft werden, ob sie dem Grundsatz der Sicherheit, wie er explizit gefordert wird, genügt. Es werden dabei die Probleme des Survivorship-Bias, der Normalverteilungsannahme und der instabilen Korrelationen genauer betrachtet, da diese im Rahmen einer Markowitz-Optimierung zu massiven Überschätzungen der idealen Hedge-FondsQuote führen können.Abstract The over performance of hedge funds until the current financial market turbulences led to a large number of insurers increasing their hedge funds quota. In the following this asset class is examined and particularly analyzed with respect to its adequacy for an insurance company's asset allocation by focusing on the axiom S. Reddemann (u)

REITs and the financial crisis: Empirical evidence from the U.S.

“…Most importantly, we have shown that a major macroeconomic crisis can also have additional -and more microeconomic -effects on the relationship between financial assets that have been thought to be quite similar. More specifically, Reddemann et al (2009) have argued that structural breaks in linear regressions of the type displayed in equation (1) can be a sign of instability and time variation of the correlations between the returns of the asset classes examined. Therefore, the empirical evidence reported above is also a reminder of the fact that the correlation matrices of returns on different financial assets regularly used in financial optimizations are not necessarily stable over time.…”