Die externe Performance-Messung beurteilt auf Basis öffentlich verfügbarer Daten die Leistung des Fondsmanagements. Es wird zunächst geprüft, inwieweit die für die Beurteilung von Aktienfonds entwickelten Maße auf Rentenfonds anwendbar sind. Anschließend wird die Performance einer...

Um die gesetzliche Rentenversicherung zu entlasten, wurde mit dem Altersvermögensgesetz (AVmG) zum 01.01.2002 in Deutschland die staatlich geförderte kapitalgedeckte private und betriebliche Altersvorsorge erheblich in ihrem Umfang erweitert. Im Rahmen der privaten Altersvorsorge stellen...

This paper shows optimal asset allocation during these two phases must be different.

In enhanced annuities, the annuity payment depends on one's state ofhealth at some contracted date while in "standard annuities", it does not.The focus of this paper is on an annuity market where "standard" and en-hanced annuities are oered simultaneously. When all insured know equallywell on...

Some investment advisors offer multiple versions of a fund with the same manager and highlycorrelated returns. But these “twin” funds are separate portfolios for different investors withdiffering abilities to select and monitor managers. Using a matched sample of retail andinstitutional twin...

This is the first study to show evidence of liquidity risk in private equity returns.Our data contains cash flows for 4,403 liquidated investments, which are both successfuland unsuccessful, reducing sample selection bias to a minimum. We find that a onestandarddeviation positive shock in...

We compare the characteristics of conglomerates and private equity entities. This is done by examining the differences among their business models. We analyze the relations of the two entity types to their investors on the one hand and to their investments on the other hand. The distinguishing...

Private equity funds and hedge funds are both alternative asset classes that are continuouslygrowing in importance. Although they have different focuses, they share some characteristics.First of all, both have or allegedly have a significant impact on the economy as well as thefinancial system...

The use of technical analysis by financial market professionals is not well understood. Thispaper thus analyzes survey evidence from 692 fund managers in five countries, the vast majorityof whom rely on technical analysis. At a forecasting horizon of weeks, technical analysis isthe most...

This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter long-short positions can be useful to reduce marketbeta,...