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Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen

  • Becker, Christoph
  • Wystup, Uwe
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    Bei der Altersvorsorge von Privatanlegern ergibt sich in der derzeitigen Marktsituation die Frage nach der Einführung von Anlageprodukten mit Garantien. Garantien können sich auf das Kapital oder auf eine Mindestrendite beziehen. Produktvarianten können Fonds oder Zertifikate sein. Aus Furcht vor Markt-Crashs oder Asset-Melt-down Phänomenen verlangt mancher Anleger Garantieprodukte. Wir analysieren die Marktsituation, die Verbreitung von Produkten, identifizieren die drei wesentlichen Garantieprodukte Bonus, Performance und CPPI und untersuchen in einem Sprungdiffusionsmodell die Renditen dieser Produkte über einen 25-Jahres-Anlagehorizont. Im Ergebnis erweisen sich die drei Produkte einerseits attraktiv, da sie unter teilweise geringer Abweichung von risikofreier Rendite immer noch 50% der Rendite eines Vergleichsindex erwirtschaften, zum anderen als etwas spröde, da sie im Vergleich zu aktiv gesteuerten Aktienportfolien oft weit weniger als die Hälfte der Rendite erzielen. Für die langfristige Kapitalanlage wird damit eine Garantie sehr teuer erkauft.

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    Paper provided by Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF) in its series CPQF Working Paper Series with number 8.

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    Date of creation: 2008
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    Handle: RePEc:zbw:cpqfwp:8
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