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Datum: 19.09.2011

Steigende Zinsen – Kein Problem!

Per Definition lässt sich unter dem Begriff „Duration“ der Zeitraum fassen, den ein Investor im Durchschnitt warten muss, bis er aus seiner Anlage Rückzahlungen erwarten kann, d.h. hierbei handelt es sich um die durchschnittliche Kapitalbindungsdauer. Das Durationsrisiko wegzusichern bietet sich in Zeiten niedriger Zinsen an. finanzwelt bat Jonathan Harris, Produktmanager Global Fixed Income bei Schroders, um Erklärung der Wirkungsweise einer Durationsabsicherung.

finanzwelt: Please try to define duration hedged.

Jonathan Harris: The corporate bonds in the fund provide the investor with a yield, which provides compensation to the investor for the risk of holding these bonds. Essentially, this risk is comprised of a) interest rate risk (duration) and b) credit risk specific to the issuer (or the issue). Hedging interest rate duration attempts to remove interest rate risk, leaving the credit risk.

finanzwelt: When is it useful to hedge interest risks?

Jonathan Harris: There are two main reasons why investors might find it useful to hedge interest rate risks. When interest rates are going up, investors may still wish to hold corporate bonds but may want to limit the negative impact on the value of their portfolio, as the interest rate risk (duration), will have a negative the effect on total returns as interest rates rise. Secondly, an investor may already manage interest rate risk (for example, in a portfolio of government bonds), and wants to diversify exposure to corporate bonds. However, the investor may not have the experience or the resources (Schroders has over 30 credit analysts to help the portfolio managers choose the right bonds) to make an informed decision in this market. The investor could, therefore, delegate the corporate bond management to Schroders by making an investment in the Schroder ISF EURO Credit Duration Hedged fund without a material impact on the interest rate duration of his or her total portfolio.

finanzwelt: What needs to be considered for duration hedged share classes?

Jonathan Harris: Corporate bonds of course do have interest rate risk, and this can be a significant driver of the total return of the bond. Therefore, the performance characteristics of a duration hedged share class or fund can be quite different to the unhedged equivalent portfolio. For example, when interest rates are rising a duration hedged portfolio may outperform an unhedged equivalent, but when interest rates are falling the duration hedged version of the portfolio is likely to underperform, and the investor must consider the potential downside.

finanzwelt: How does duration hedging work at Schroders?

Jonathan Harris: Our funds hold a diversified range of corporate bonds, which are positioned relative to a euro corporate bond index. We sell government bond futures with durations matching the duration contribution of duration groups (buckets) across the yield curve to provide a reasonably accurate duration hedge. We then measure the share class or the fund against a suitable duration hedged benchmark, which is provided by Bank of America Merrill Lynch.

finanzwelt: What do duration hedged risk profiles look like in detail?

Jonathan Harris: As an example, the duration hedged share class of the Schroder ISF EURO Credit Duration Hedged has the following characteristics;

Interest rate duration: 0.05 years

Average option adjusted spread: 0.37 %

Average credit rating: A-

Annualised tracking error volatility: 1.87 %

finanzwelt: How big is the duration risk right now and which development are you expecting for interest rates (in the short and medium term)?

Jonathan Harris: The Schroder ISF EURO Credit Duration Hedged fund duration was 0.05 years which are not material, compared with an unhedged euro corporate index (courtesy of BofA Merrill Lynch) benchmark duration of 4 years.

In the short-term, government bond yields could stay at low levels because the market is pricing in a great deal of fear of recession. Economic data is weaker than many had expected, although not indicating a recession. However, the ECB may keep interest rates on hold in the near-term until there are signs of the economy re-gaining traction. From a longer-term perspective government bond yields don't offer an attractive return when compared to medium term inflation, and we believe that valuations will eventually overtake fear and bond yields should rise accordingly.

finanzwelt: What does it cost to hedge duration?

Jonathan Harris: There are transaction costs involved with duration hedging using derivatives, but these are not significant. A duration hedged fund would also offer a lower yield than the equivalent unhedged product, because the bonds with the higher duration that needs to be hedged tend to have higher yields. Also as mentioned above, investors with exposure to duration hedged funds would also not benefit from the potential gains when interest rates are falling.

finanzwelt: Are you planning to offer more products which are duration hedged (for example US and government bonds)?

Jonathan Harris: Our product range already includes the Schroder ISF EURO Credit Duration Hedged, and the Schroder ISF GLOBAL Credit Duration Hedged funds. At this point, we have no firm plans to launch another product, but we keep this option open.

Das Gespräch führte Alexander Heftrich