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Fixed Income Performance Attribution: Ein Modellvergleich by Redler, Alexander

Fixed Income Performance Attribution: Ein Modellvergleich

by Alexander Redler
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Book cover type: Paperback
  • ISBN13: 9783836692687
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Diplomica Verlag
  • Publisher Imprint: Diplomica Verlag
  • Publication Date:
  • Pages: 98
  • Original Price: USD 59.9
  • Language: German
  • Edition: N/A
  • Item Weight: 186 grams
  • BISAC Subject(s): Management

Der Begriff der Performance Attribution beschreibt im Allgemeinen die vollständige Zerlegung der aktiven Rendite eines Portfolios gegenüber der zugehörigen Benchmark in ihre einzelnen Bestandteile. Eine solche Analyse eines Portfolios, welche auch als Attributionsanalyse bezeichnet wird, soll Aufschluss darüber verschaffen, durch welche konkreten Anlageentscheidungen der Portfoliomanager eine Out- oder Underperformance generieren konnte. Damit nimmt die Performance Attribution einen hohen Stellenwert in der Leistungsbeurteilung von Portfoliomanagern ein und stellt darüber hinaus ein wichtiges Instrument zur Evaluierung des gesamten Investmentprozesses dar. Zusätzlich erleichtert diese den Dialog mit dem Investor, da die Ergebnisse aus einer Performance Attribution eine zusätzliche Transparenz über die Wertentwicklung des Portfolios schaffen und damit eine konkrete Grundlage zur Beurteilung und Diskussion über die erzielte Performance bieten. Das Thema Performance Attribution erschien erstmals Mitte der 80er Jahre in der wissenschaftlichen Literatur mit dem Grundlagenwerk von Brinson et al., heute besser bekannt als das Brinsonmodell, und entwickelte sich seitdem durch viele Modifikationen stetig weiter. Während sich in der Aktienwelt dieses eine Modell im Grundansatz etabliert und weitestgehend durchgesetzt hat, fehlt bis dato ein solches, allgemein anerkanntes Attributionsmodell für den Rentenmarkt. Zunächst unternahm man bei der Analyse von Rentenportfolios den Versuch, das Brinsonmodell eins zu eins auf Anleihen anzuwenden. Man musste jedoch schnell erkennen, dass diese Vorgehensweise keine befriedigenden Ergebnisse lieferte. Aus dieser Notwendigkeit nach einem eigenen Attributionsmodell für Anleihen haben sich auf dem noch relativ jungen Forschungsgebiet der Fixed Income Attribution mittlerweile einige Modelle entwickelt, die sich etabliert haben und in der Praxis bereits eingesetzt werden. Dabei können alle Modelle zwecks Systematisierung zwei unterschiedlichen

Alexander Redler, Jahrgang 1984, studierte Betriebswirtschaftslehre (Diplom) an der Rheinisch- Westfälischen Technischen Hochschule (RWTH) Aachen mit Schwerpunkt Banken und Finanzierung. Neben dem Studium sammelte er zusätzliche Erfahrung als Praktikant und Werkstudent in der Abteilung Performancemessung der WestLB Mellon Asset Management Kapitalanlagegesellschaft mbH, wo er auch im Anschluss an das Studium tätig wurde. Diese Tätigkeit stellte den ersten Berührungspunkt zur Fixed Income Performance Attribution und weckte fortan das Interesse des Autors an dieser Thematik.

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