Prerequisite of the standard norm distribution of Markowitz

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 1

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

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

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

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

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

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

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

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

Alternative Investments ► Relative Value ► Directional Strategies 13

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

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

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

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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" 18

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. 19

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

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

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

Overview of the management strategies 23

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

ALPHA – higher Performance expectation DAX DIV-DAX 25

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

Bayer correlates with 0. 13% with the DAX 27

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

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 29

Log – Norm - Distribution Fat - Tail 30

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

"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. " 32

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

On the left crookedness On the right steepness 34

Discount - Certification 35

Carl Friedrich GAUSS 36

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

I thank you for your attention very much 39

Nobelpreisträger 1990 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) USamerikanischer Ökonom William F. Sharpe (* 16. 6. 1934 in Cambridge, Massachusetts, USA) US-amerikanischer Wirtschaftswissenschaftler back 40