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Dissertation Die Umsetzung marktneutraler Anlagestrategien in regulierten UCITS-Investmentfonds Von der Wirtschaftswissenschaftlichen Fakultät der Universität Leipzig genehmigte DISSERTATION zur Erlangung des akademischen Grades Doctor rerum politicarum (Dr. rer. pol.) vorgelegt von Master of Science Franziska Bolle geboren am 11. Juli 1988 in Stendal Gutachter: Prof. Dr. Frank Schuhmacher Prof. Dr. Matthias Schmidt Tag der Verleihung: 17. Mai 2017 I Inhaltsverzeichnis I Abkürzungsverzeichnis ............................................................................................. V II Symbolverzeichnis ................................................................................................... IX III Abbildungsverzeichnis .............................................................................................. X IV Tabellenverzeichnis ................................................................................................. XI 1 Das Potenzial des Offshore-Fonds im regulierten Mantel .................................................. 1 A Zulässiges Portfolio unter UCITS ................................................................ 4 2 Die Konstruktion des Fondsportfolios ............................................................................. 4 2.1 Das Assetuniversum .............................................................................................. 6 2.2 Quantitative Risikomischung .................................................................................. 9 2.2.1 Anlagebeschränkungen .................................................................................. 9 2.2.1.1 Die 5/10/40-Regel ................................................................................. 9 2.2.1.2 Emittentenbedingte Grenzwerte ............................................................... 11 2.2.1.3 Indexnachbildende UCITS ....................................................................... 14 2.2.1.4 Beteiligungen an anderen Investmentvermögen ......................................... 16 2.2.1.5 Staatliche und öffentlich-rechtliche Emittenten ............................................ 17 2.2.1.6 Derivate ................................................................................................ 17 2.2.1.7 Vermeidung von Beherrschungsverhältnissen ............................................. 20 2.2.2 Master-Feeder-Strukturen ............................................................................... 21 2.2.3 Überblick zu den Anteilsgrenzen .................................................................... 23 2.3 Leverage ........................................................................................................... 29 2.3.1 Direktes Leverage und Kreditaufnahme ........................................................... 29 2.3.2 Richtlinienkonforme Ausgestaltung .................................................................. 29 2.3.3 Indirektes Leverage ....................................................................................... 31 2.4 Leerverkauf ........................................................................................................ 31 II Inhaltsverzeichnis B Die Voraussetzungen für die Short-Position unter UCITS ........................... 33 3 Überblicksdarstellung zur Umsetzung von Short-Positionen ............................................. 33 4 Key Service Provider ................................................................................................. 37 4.1 Kapitalverwaltungsgesellschaft ............................................................................. 38 4.2 Kontrahent ......................................................................................................... 41 4.3 Synthetischer Prime Broker ................................................................................... 42 4.4 Alternative UCITS-Plattformen ............................................................................... 44 5 Das Risikomanagement der Derivate ........................................................................... 47 5.1 Das Kontrahentenrisiko der OTC-Derivate .............................................................. 47 5.1.1 Ermittlung .................................................................................................... 47 5.1.2 Anforderungen an das Collateral ................................................................... 49 5.2 Das Gesamtrisiko ............................................................................................... 50 5.2.1 Anrechnungsbetrag bzw. Basiswertäquivalent des Derivats ............................... 52 5.2.2 Brutto-Leverage ............................................................................................ 52 5.2.3 Der Commitment-Ansatz ................................................................................ 53 5.2.4 Der absolute und der relative Value-at-Risk ...................................................... 55 6 Auswirkungen von EMIR auf die OTC-Derivate ............................................................. 59 6.1 Clearingpflicht und Eintrag ins Transaktionsregister ................................................ 59 6.2 Das Sicherheitenkonzept der CCP ........................................................................ 63 C Short-Position in Märkten und Branchen ................................................. 64 7 Umsetzung mit Total Return Swaps .............................................................................. 64 7.1 Anforderungen an den Index ............................................................................... 65 7.2 Marktüberblick ................................................................................................... 66 7.3 Direkte Nachbildung von Indizes .......................................................................... 68 7.4 Indirekte Nachbildung von Indizes ....................................................................... 71 7.4.1 Die Methodik des Total Return Swaps im Überblick .......................................... 71 III 7.4.2 Unfunded Swap ........................................................................................... 75 7.4.3 Funded und fully funded Swap ...................................................................... 78 7.5 Das Risikomanagement der Total Return Swaps ..................................................... 81 7.5.1 Emittentenrisiko ............................................................................................ 81 7.5.2 Kontrahentenrisiko ........................................................................................ 81 7.5.3 Gesamtrisiko ............................................................................................... 82 7.6 Rebalancing-Kosten, Tracking Error und Tracking Differenz ..................................... 85 7.7 Replizierung von Short- und gehebelten Strategien ................................................. 85 7.7.1 Short- bzw. Hebel-Exposure durch den Total Return Swap ................................. 86 7.7.2 Short- bzw. Hebel-Exposure im Index .............................................................. 90 7.7.3 Short- und Hebel-ETF als Langfristinvestment? ................................................... 94 D Short-Position in Einzeltiteln .................................................................. 100 8 Umsetzung mit Differenzkontrakten ........................................................................... 100 8.1 Charakteristik und Abschluss des Kontrakts .......................................................... 100 8.1.1 Was sind Differenzkontrakte? ...................................................................... 100 8.1.2 Wie erfolgt die Kursnotierung? .................................................................... 102 8.1.3 Wie tritt der Prime Broker als Kontrahent auf? ............................................... 103 8.1.4 Prime Broker in der Praxis ........................................................................... 104 8.1.5 Die Auswirkungen von MiFID II auf den Kontraktschluss .................................. 105 8.2 Zu welchen Zahlungen verpflichtet der Differenzkontrakt? ..................................... 106 8.2.1 Das Margin-Konzept ................................................................................... 106 8.2.2 Die Handelskosten ...................................................................................... 114 8.2.2.1 Kommissionsgebühren/Brokerprovisionen ............................................... 115 8.2.2.2 Bid-Ask-Spread .................................................................................... 118 8.2.2.3 Finanzierungskosten/-ertrag .................................................................. 119 8.3 Anlagerestriktionen ........................................................................................... 123 IV Inhaltsverzeichnis 9 Umsetzung mit Futures ............................................................................................. 130 9.1 Charakteristik des Futureskontrakts ..................................................................... 130 9.2 Bestimmung des Futurespreises und Einfluss von Delta ........................................... 131 9.3 Kosten der Rollierung ........................................................................................ 136 9.4 Marginanforderungen ....................................................................................... 142 9.5 Anlagerestriktionen ..........................................................................................
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