Hedging eines DAX-Portfolios mittels Futures unter zur Hilfenahme eines indikatorgestützten Portfoliomanagements – eine Untersuchung am Beispiel des MACD und der Slow Stochastik

Diplomarbeit
für die
Prüfung zum Diplom- Betriebswirt (BA)
im
Ausbildungsbereich Wirtschaft
Fachrichtung: Bank	Kurs: WBK98V2
der
Berufsakademie Karlsruhe
von
Name:	Herrmann	Vorname: Thorsten Geburtsort:	Bühl/ Baden
Ausbildungsstätte:	Dresdner Bank AG Karlsruhe 
Betreuender Dozent:	Frau Dr. Kirsten Stöpler
Abgabedatum:	27.08.2001
	Note: 

INHALTSVERZEICHNIS

INHALTSVERZEICHNIS	.................................................................................................I
ABKÜRZUNGSVERZEICHNIS	....................................................................................IV
ABBILDUNGSVERZEICHNIS	......................................................................................VI

1. EINLEITUNG	................................................................................................................1
1.1	Problemstellung	............................................................................................................1
1.2	Vorgehensweise	...........................................................................................................1

2. GRUNDLAGEN DES PORTFOLIOMANAGEMANTS	.............................................2
2.1 Begriff	...........................................................................................................................2
2.2 Ziel	................................................................................................................................2
2.3 Marktabhängige Performancekomponenten	................................................................3
2.3.1 Rendite	......................................................................................................................3
2.3.2 Risiken	......................................................................................................................5
2.3.2.1 Volatilität	...............................................................................................................5
2.3.2.2 Beta-Faktor	.............................................................................................................6
2.4 Benchmarks	..................................................................................................................7
2.5 Asset Allokation	..........................................................................................................8
2.6 Modelle der Portfoliooptimierung	...............................................................................8
2.6.1 Portfolio Selection	....................................................................................................9
2.6.2 Capital Asset Pricing Modell	..................................................................................12
2.7 Investmentstile	...........................................................................................................14
2.7.1 Aktives Portfoliomanagement	................................................................................14
2.7.2 Passives Portfoliomanagement	...............................................................................15
2.7.2.1 Indexfonds	............................................................................................................16
2.7.2.2 Indexzertifikate	....................................................................................................17
2.7.2.3 Indexaktien	..........................................................................................................17

3. DER DEUTSCHE AKTIENINDEX DAX	.................................................................18
3.1.Bedeutung	..................................................................................................................18
3.2 Berechnung	................................................................................................................19

4. HEDGING	...................................................................................................................20
4.1 Prämissen	...................................................................................................................21
4.2 Findung des geeigneten Hedginginstruments	............................................................21
4.2.1 Optionen	..................................................................................................................22
4.2.2 Financial Futures	.....................................................................................................22
4.2.3 Fazit	.........................................................................................................................23
4.3 DAX-Future	...............................................................................................................23
4.3.1 Grundsätzliches	.......................................................................................................23
4.3.2 Short Future	.............................................................................................................24
4.3.3 Funktion der Terminbörse	.......................................................................................25
4.3.3.1 Das Marginsystem	................................................................................................25
4.3.3.1.1 Initial Margin	....................................................................................................25
4.3.3.1.2 Variation Margin	...............................................................................................26
4.3.3.2 Die Andienung (Cash Settlement)	.......................................................................26
4.3.3.3 Die Preisbildung des DAX-Futures	.....................................................................27

5. TECHNISCHE ANALYSE	.........................................................................................29
5.1 Markttechnik	..............................................................................................................30
5.1.1 Trendfolger (MACD)	..............................................................................................30
5.1.2 Oszillatoren (Slow Stochastik)	...............................................................................31
5.1.3 Fazit	.........................................................................................................................32

6. EMPIRISCHE UNTERSUCHUNG	............................................................................32
6.1 Transaktionskosten	....................................................................................................33
6.2 Wahl der geeigneten Kontraktlaufzeit	.......................................................................33
6.3 Kurse	..........................................................................................................................34
6.4 Bestimmung der Kontraktanzahl	...............................................................................35
6.5 Das Verrechnungskonto	.............................................................................................38
6.6 Fall der gegenläufigen FDAX-Entwicklung	..............................................................38
6.7 Untersuchung der Indikatoren	...................................................................................39
6.7.1 MACD	.....................................................................................................................39
6.7.2 Slow Stochastik	.......................................................................................................39

7. SCHLUSSBETRACHTUNG	......................................................................................42

GLOSSAR	.......................................................................................................................44
ANHANG	........................................................................................................................49
LITERATURVERZEICHNIS	.........................................................................................64
QUELLENVERZEICHNIS	.............................................................................................67