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Derivate im Portfoliomanagement pp 215–360Cite as

Derivate zur Optimierung der Performance

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Zusammenfassung

Derivate erschließen dem Portfoliomanager neue Möglichkeiten, die Performance zu verbessern. Einerseits versetzen sie ihn in die Lage, bestehende Performance‐Quellen besser auszuschöpfen. Dies gelingt dadurch, dass die Umsetzung einer Anlageidee mit Derivaten in vielen Fällen mit weniger Kosten verbunden ist. Dadurch werden gute Trades noch ein klein wenig ertragreicher. Und im Grenzbereich können Ideen, die im Kassamarkt einen haarscharf negativen Erwartungswert haben, beim Einsatz von Derivaten möglicherweise profitabel werden. Außerdem lässt sich eine Prognose präziser umsetzen, sei es dadurch, dass durch Hebelung auch kleinere Bewegungen lohnend oder durch den Einsatz von asymmetrischen Instrumenten passgenauer implementiert werden können. Außerdem können Derivate eingesetzt werden, um das Nachsteuerergebnis zu verbessern.

Andererseits eröffnen Optionen und Futures Möglichkeiten zur Erzielung von Zusatzerträgen auf Feldern, die ohne Derivate nicht zugänglich sind. Während die Ertragschancen in der klassischen Arbitrage für Asset Manager eher begrenzt sind, halten manche Marktteilnehmer die regulatorische Arbitrage für einen der bedeutendsten Einsatzzwecke von Derivaten, wobei auch dieser eher im Bereich der Investment‐Banken denn im Asset Management angesiedelt ist. Vielfach genutzt wird hingegen die Möglichkeit, durch den Verkauf von Optionen Prämieneinnahmen zu generieren. Und der Handel auf die Richtung und Form der Volatilität ist ureigenstes Derivate‐Terrain.

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Bossert, T. (2017). Derivate zur Optimierung der Performance. In: Derivate im Portfoliomanagement. Springer Gabler, Wiesbaden. https://doi.org/10.1007/978-3-658-17574-0_4

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