Seminar : Ausgewählte Kapitel Investmentbanking/Kapitalmarktkommunikation

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Seminar : Ausgewählte Kapitel Investmentbanking/Kapitalmarktkommunikation. Risiko- und Ertragsanalyse von verschieden Anleihenformen. Hadi Hedayati-Rad Anna Hofmann Iris Toto Stefan Zeugner. Vorgabe. Artikel: Risiko- und Ertragsanalyse von verschiedenen Anleihenformen - PowerPoint PPT Presentation

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  • Seminar : Ausgewhlte Kapitel Investmentbanking/Kapitalmarktkommunikation.Risiko- und Ertragsanalyse von verschieden Anleihenformen Hadi Hedayati-RadAnna HofmannIris TotoStefan Zeugner

  • VorgabeArtikel: Risiko- und Ertragsanalyse von verschiedenen AnleihenformenAutor: Andre TomfortQuelle: Finanz Betrieb , Mrz 2002Datenbasis: EMBI, ELMI, GBI, SBCT BBBInstrumente: 1. Durchschnittliche jhrliche Ertrge 2. Durchschnittliche jhrliche Standardabweichungen3. Korrelationsanalyse

    Andr Tomfort: Risiko- und Ertragsanalyse von verschiedenen Anleiheformen; Finanz-Betrieb 2002-3

  • Ergebnis der VorgabeEMBI: hchster Ertrag und das hchste RisikoUnternehmensanleihen: hhere Ertrge und geringere Volatilitt als StaatsanleihenDiversifikationspotential gegenber von ELMI am hchstenAnleihen in lokalen Whrung:Ertrge geringer als UnternehmensanleihenRelativ hohes RisikoAndr Tomfort: Risiko- und Ertragsanalyse von verschiedenen Anleiheformen; Finanz-Betrieb 2002-3

  • Gegenstand unserer UntersuchungDatenbasis: 1. EMBI Composite2. EMBI Africa 3. EMBI Asia4. EMBI Europe 5. EMBI Latin America6. Morgan Global Bond Index 7. SSB Corporate Credit Index A8. SSB Corporate Credit Index BBB9. Pfandbriefe der deutsche Brse PEXBetrachtungszeitraum: 1. Januar 1995 bis 24. November 2002

  • Datenquelle: BloombergErtrag der untersuchten Indizes: EMBI

    Diagramm1

    0.38566671760.45242773060.26218544550.47346691770.385059428

    0.4019945870.42830636720.24496909470.49187785390.4050902825

    0.37512123130.37181498450.16172730610.4504652590.386997494

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    0.20260808790.25593521140.06017257740.28244158010.2031648353

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    0.28075934430.33278891420.09174001630.39681831540.2801469835

    0.28411430570.32429847310.07112437450.36241232090.2907565119

    0.26024327040.31657500430.03370774140.37370292210.2622480824

    0.30785924730.35017956910.07020246560.43174050190.3106216296

    0.25485983280.31441357180.04807750550.40499842420.2518467899

    0.18025606510.25074469450.00291210640.32688183580.1755728837

    0.14704463010.2140466803-0.04550476990.26908687240.1478433573

    0.16290480880.2040942092-0.04794521610.29399103470.1649931366

    0.12131602370.1401932031-0.04612558510.23934505590.1225904484

    0.15354751120.1816952722-0.0187964060.28195627770.1539267714

    0.16167487910.1883913372-0.02353637640.27734153090.1649634748

    0.10525153540.1513012217-0.06922899680.19215241570.1103499246

    0.04877533660.0837575894-0.12907185620.13481520510.0529762734

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    0.0031300249-0.0174246706-0.0920519758-0.00795072710.0228303579

    0.05373086450.031052165-0.06535854460.06634181540.0702065419

    0.08883873170.0939152407-0.03106579720.11258722680.1017139528

    0.04850456460.0574642261-0.04643482050.05353835080.060851064

    0.00003864820.0186342391-0.0688986243-0.04345486250.0187186328

    0.00167324050.0345612692-0.0513187529-0.10743222230.0322554128

    -0.129020119-0.0969051758-0.0900888754-0.4517514538-0.0657676945

    -0.2587830289-0.1961261748-0.1441782255-0.7977248976-0.1704952865

    -0.163292166-0.0875139347-0.0492485665-0.7780121151-0.0623559372

    -0.04700202530.06661872030.0290627868-0.56652856740.0376767344

    -0.05354336460.06985141230.147681965-0.5912790160.0142076913

    -0.06126103030.06422311430.2005325652-0.5206860893-0.0205911557

    -0.10670909310.03312277240.1465264651-0.5569272894-0.0675056621

    -0.1312139446-0.01118566730.1279696339-0.6540332861-0.0755305475

    -0.09266506390.00280555010.124359774-0.6272053561-0.0239316426

    -0.1113326382-0.02981566040.1077542166-0.570334742-0.0553124027

    -0.1119166317-0.02029261530.0989980175-0.4564123862-0.0790452246

    -0.0990502649-0.00715897520.108546691-0.3334900142-0.0905647048

    0.05139353370.13772617980.1852550446-0.0028900350.0322985647

    0.15972939370.21299212060.22168727070.26784430280.1277941098

    0.09155789360.1329830760.1387704350.25739352710.0536253177

    0.05601064520.05937913310.07058881770.23949364090.0221833556

    0.06070799670.03416836970.00378420670.28491183010.0347937134

    0.10211000450.0767854872-0.02693562830.34334788710.0842778528

    0.1088078640.0376022623-0.04825748390.38196179040.0907472252

    0.13707437560.0564788893-0.04073765660.50243860220.1033869525

    0.0498960219-0.0459867019-0.0772417560.43129659080.002294298

    -0.0141785188-0.1224004701-0.12660225480.2953316879-0.0520343969

    0.1066061163-0.0363357537-0.02553363650.3605844240.083591123

    0.1200288248-0.0464355565-0.03144865110.33968116280.1085141084

    0.0976898806-0.0488268972-0.0655427190.34259591580.0808075889

    0.0461094082-0.0794231721-0.10177003270.31711492050.0212068711

    -0.0304246401-0.149275057-0.16108141540.2433507282-0.058562996

    -0.0492909551-0.1514730924-0.13802890190.1772710129-0.078943942

    0.0234904433-0.0621927988-0.04981389010.19292703220.0038057955

    0.088419265-0.00716338270.02142715020.20640586060.0785314349

    0.08927086470.03989974750.04136907970.16885215220.0819791889

    0.05150425650.0653664120.05871873870.08307337360.0415828328

    0.05444012070.13969243710.06223154330.09352811950.03826125

    0.12047597740.23840537740.11161294860.19665456760.0954997246

    0.03775745440.17035469710.03652465390.11494546470.0093345834

    -0.02093202260.16786548690.04433916710.0623306445-0.068662769

    0.04965799640.22351147170.13610625230.1367992932-0.0023560352

    0.09177388350.2487365030.18151019960.22849850630.0255151399

    0.10985485590.28212899250.22242045320.28461405020.0256108464

    0.09289925150.28906352960.21093226740.3194995637-0.0133265077

    0.01585960150.21432635090.14922304990.32776747-0.1233752888

    -0.05284538460.15205656360.08837339350.2669242463-0.1991723858

    -0.0479636460.14399757640.09004649280.2815038696-0.1955411313

    -0.00569523070.14271812070.09615562380.3256713111-0.1426958425

    0.05127702460.17219561850.14438757680.3770001681-0.0815730945

    0.08573479220.20902853740.20073140930.3989941815-0.05428876

    0.0849464720.23839466180.25438376940.3956629425-0.0778056084

    0.14052534480.23728469190.29665284990.4451745123-0.0224412874

    0.06720073570.15533374820.23096587510.360763536-0.098107717

    0.08437553720.15225037680.23679679120.3478632306-0.0662758031

    0.10935339860.14820288230.22822406190.372613405-0.0354266237

    0.20037881830.19921682130.25825680420.40853419420.0960573723

    EMBI Comp

    EMBI Africa

    EMBI Asia

    EMBI Europe

    EMBI Latin

    Tabelle5

    JPEGCOMP Indexjpegafri indexJPEGASIA IndexJPEGEURO IndexJPEGLATI Index

    y/y gain0.07178131250.11317042730.04465307240.13310171120.0511983357

    y/y stdev0.1250342780.14188925720.1216117110.32581183580.1292221016

    sharpe y/y0.57409306970.79759686910.36717740430.40852325350.3962041714

    sbct1a indexsbct3b indexpexatr Indexjpmgglbl index

    y/y gain0.02020448510.01407162650.0101807504-0.0141582087

    y/y stdev0.10715729260.0979770710.10441325370.1257191475

    sharpe y/y0.18854979060.14362162880.0975043878-0.1126177596

    JPEGCOMP Indexjpegafri indexJPEGASIA IndexJPEGEURO IndexJPEGLATI Indexsbct1a indexsbct3b indexpexatr Indexjpmgglbl index

    JPEGCOMP Index1.0000.8940.7310.7890.9720.4080.4550.3570.379

    jpegafri index0.8941.0000.7910.7340.8310.4960.5460.4480.447

    JPEGASIA Index0.7310.7911.0000.5540.6510.7540.7600.7250.736

    JPEGEURO Index0.7890.7340.5541.0000.6480.1440.1910.0710.089

    JPEGLATI Index0.9720.8310.6510.6481.0000.3900.4430.3470.370

    sbct1a index0.4080.4960.7540.1440.3901.0000.9850.9620.964

    sbct3b index0.4550.5460.7600.1910.4430.9851.0000.9380.939

    pexatr Index0.3570.4480.7250.0710.3470.9620.9381.0000.977

    jpmgglbl index0.3790.4470.7360.0890.3700.9640.9390.9771.000

    Tabelle1

    JPEGCOMP Indexjpegafri indexJPEGASIA IndexJPEGEURO IndexJPEGLATI IndexJPEGMEST IndexJPPYELM Indexsbct1a indexsbct3b indexpexatr Indexjpmgglbl indexJPEGCOMP Indexjpegafri indexJPEGASIA IndexJPEGEURO IndexJPEGLATI IndexJPPYELM Indexsbct1a indexsbct3b indexpexatr Indexjpmgglbl index

    JPEGCOMP Index0.00157784650.00137833580.00091861680.0020554480.00159429860.00157784650.00047213590.00052359410.00036677830.0005711091

    1/10/9598.0067100481101.0763284994116.141673009790.010944169197.733269944798.0067100481641.8855390745690.7319382151198.7268896171221.546048905jpegafri index0.00137833580.00150539240.00097161810.0018679060.0013316580.00137833580.00056104170.00061364880.00044984160.0006582503

    2/10/9599.0263451982107.8025426108120.290356162393.676075472697.969016625799.0263451982670.1814979085722.6466178995205.7915427067231.2694593136198JPEGASIA Index0.00091861680.00097161810.00100182410.0011485660.0008506070.00091861680.00069553610.00069691380.00059324850.0008847969

    3/10/9596.8796075687111.3402220114127.448717631292.99382243594.701753372396.8796075687730.4074490369789.6612091764223.031565989257.1377982691291JPEGEURO Index0.0020554480.0018679060.0011485660.0042979330.00175384840.0020554480.0002749710.00036230960.00012033780.000221039

    4/10/95109.9648718633121.853009183134.9513118912107.4443840815108.2648630811109.9648718633755.2846617559817.19988374230.9725724569271.7070183917JPEGLATI Index0.00159429860.0013316580.0008506070.00175384840.00170619860.00159429860.00046983170.00053052740.00037093390.0005805698

    5/10