Ruhig Schlafen mit inflationsindexierten Anleihen
Creators: name: Streuli, Rolf
name: Hobein, Günter A.
Publisher: name: ZHAW Zürcher Hochschule für Angewandte Wissenschaften
Year: 2008
Subjects: Inflationsindexierte Anleihe
Realzinsen
Inflationserwartung
Kaufkraftschutz
Inflation expectation
Inflation-linked bond
Purchasing power protection
Real yield
332: Finanzwirtschaft

description: For many years, bonds, in particular government bonds, were thought to be a safe investment. Then came the high inflation rates of the eighties which considerably reduced real earnings. A new instrument was needed to compensate for the effects of inflation. As a result, inflation-indexed bonds (IIBs) were created.

Only few people know anything much about IIBs, which is a problem. This paper aims to introduce a wider audience to the benefits of IIBs. It will cover the basic elements, the benefits and drawbacks and the different markets of this new class of assets and also talk about the mathe-matical concepts necessary to understand this financial issue. Furthermore, the behavior patterns of IIBs in different economic phases and the two most significant variables in this context – real rates and inflation – will be examined in detail. While IIBs gain in value during periods of stagflation, they are under a great deal of pressure whenever an economic boom coincides with the absence of inflationary tendencies.

However, this paper intends to go beyond mere theory: Findings drawn from macroeconomic research will be used to formulate investment strategies. Different methods need to be chosen to correspond to the investment horizon. Investors who focus on the short term tend to opt for carry trades, while long-term oriented investors prefer break-even trades.

Based on their specific characteristics, IIBs should have less correlation to other types of asset allocation such as stocks or nominal bonds and thus be able to improve the risk/profit profile of any portfolio. The empirical study that forms part of this thesis is based on quantitative methods and proves that in the real world this hypothesis is, for the most part, true. Indeed, IIBs have a risk-reducing effect on a portfolio while profit expectations remain unchanged.

Combined with conventional bonds, IIBs can provide useful information to financial policy makers and economists with regard to real interest rates and inflation expectations and in doing so exceed present measures in precision.

Compared to the market, investment funds that invest in IIBs are exposed to consistently lower risks. They are also able to reflect the market quite accurately. However, they are unable to match it in terms of profit – in particular concerning the charges. Thus, they are suitable instruments for investors who want to be represented in the IIB market but do not expect any additional profit.
description: Jahrelang waren Anleihen, insbesondere Staatsanleihen, als sichere Investition betrachtet worden. Durch die hohen Inflationsraten in den 80er Jahren wurde jedoch der Realertrag der Anleihen beträchtlich vermindert. Es wurde nach einem Instrument gesucht, welches die inflationären Effekte kompensieren kann. So entstanden inflationsindexierte Anleihen (IIA). 
Das Problem besteht nun aber darin, dass nur die Wenigsten über IIA Bescheid wissen. Folglich geht es in dieser Arbeit darum, IIA einem breiten Publikum näher zu bringen. Neben den fundamentalen Bausteinen, den Vor- und Nachteilen sowie den verschiedenen Märkten dieser neuen Vermögensklasse werden die fürs Verständnis notwendigen finanzmathematischen Konzepte vorgestellt. Des Weiteren werden das Verhalten von IIA in unterschiedlichen konjunkturellen Phasen erläutert und die zwei in diesem Zusammenhang bedeutendsten Variabeln – Realzins und Inflation – näher unter die Lupe genommen. Während IIA insbesondere in einer Stagflation an Wert gewinnen, geraten sie in Boomphasen bei gleichzeitiger Inexistenz inflationärer Tendenzen besonders stark unter Druck.
Damit es nicht bei reiner Theorie bleibt, werden die aus der makroökonomischen Betrachtung gewonnenen Erkenntnisse zur Formulierung von Investitionsstrategien genutzt. Dem Anlagehorizont entsprechend sind unterschiedliche Vorgehensweisen zu wählen. Kurzfristig orientierte Investoren konzentrieren sich auf Carry Trades, eher längerfristig denkende auf Breakeven Trades.
Aufgrund ihrer spezifischen Eigenschaften sollten IIA geringe Korrelationen zu anderen Vermögensklassen wie Aktien oder Nominalanleihen aufweisen und damit das Risiko/Ertragsprofil eines jeden Portfolios optimieren können. Die in dieser Arbeit enthaltene empirische Studie, welche auf quantitativen Methoden aufbaut, zeigt, dass sich diese Vermutung in der Realität mehrheitlich bewahrheitet. Tatsächlich wirken IIA im Portfoliozusammenhang risikoreduzierend bei unveränderten Ertragsaussichten.
Kombiniert mit konventionellen Anleihen liefern IIA Geldpolitikern sowie Ökonomen nützliche Informationen über die realen Zinssätze und die Inflationserwartungen und übertreffen dabei in ihrer Genauigkeit aktuelle Messgrössen.
Anlagefonds, die in IIA investieren, gehen im Vergleich zum Markt durchwegs geringere Risiken ein, bilden ihn in der Regel auch sehr gut ab, können jedoch renditemässig – insbesondere nach Gebühren – nicht mithalten. Sie eignen sich also für Investoren, die zwar im IIA-Markt vertreten sein wollen, aber gleichzeitig keinen Mehrertrag erwarten.
description: For many years, bonds, in particular government bonds, were thought to be a safe investment. Then came the high inflation rates of the eighties which considerably reduced real earnings. A new instrument was needed to compensate for the effects of inflation. As a result, inflation-indexed bonds (IIBs) were created.
Only few people know anything much about IIBs, which is a problem. This paper aims to introduce a wider audience to the benefits of IIBs. It will cover the basic elements, the benefits and drawbacks and the different markets of this new class of assets and also talk about the mathe-matical concepts necessary to understand this financial issue. Furthermore, the behavior patterns of IIBs in different economic phases and the two most significant variables in this context – real rates and inflation – will be examined in detail. While IIBs gain in value during periods of stagflation, they are under a great deal of pressure whenever an economic boom coincides with the absence of inflationary tendencies.
However, this paper intends to go beyond mere theory: Findings drawn from macroeconomic research will be used to formulate investment strategies. Different methods need to be chosen to correspond to the investment horizon. Investors who focus on the short term tend to opt for carry trades, while long-term oriented investors prefer break-even trades.
Based on their specific characteristics, IIBs should have less correlation to other types of asset allocation such as stocks or nominal bonds and thus be able to improve the risk/profit profile of any portfolio. The empirical study that forms part of this thesis is based on quantitative methods and proves that in the real world this hypothesis is, for the most part, true. Indeed, IIBs have a risk-reducing effect on a portfolio while profit expectations remain unchanged.
Combined with conventional bonds, IIBs can provide useful information to financial policy makers and economists with regard to real interest rates and inflation expectations and in doing so exceed present measures in precision.
Compared to the market, investment funds that invest in IIBs are exposed to consistently lower risks. They are also able to reflect the market quite accurately. However, they are unable to match it in terms of profit – in particular concerning the charges. Thus, they are suitable instruments for investors who want to be represented in the IIB market but do not expect any additional profit.