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EnglishStrategische vs. taktische Sicherung: Ansätze im institutionellen Währungsmanagement
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In institutionellen Portfolios gibt es teils umfangreiche Anlagen in Fremdwährungen, die in der Regel über das Basisinvestment ins Portfolio kommen. Erwartete niedrige Renditen im Euroraum führten in den vergangenen Jahren dazu, dass Investoren den Anteil internationaler Investments erhöhten. Zwar werden Anteil und Performancebeitrag von FX in der strategischen Asset Allocation (SAA) ausdrücklich gemessen, allerdings erhält die Währungskomponente – trotz erheblichem Anteil am Gesamtrisiko des Portfolios – erfahrungsgemäß nicht dieselbe Aufmerksamkeit wie die zugrundeliegenden Assets.
FX-Risiken bewusst steuern
Die Mehrheit der Marktteilnehmer geht offenbar davon aus, dass Währungen keine Risikoprämie bieten: Wechselkurse sind am Ende ein Nullsummenspiel und kehren langfristig zu einem durchschnittlichen Gleichgewichtswert („fair value“) zurück – oder etwa nicht?
Unter dem Blickwinkel des Risikos lautet daher die drängende Frage: Ist es sinnvoll, Fremdwährungen ungesichert im Portfolio zu belassen, wenn sie langfristig keinen nennenswerten Performancebeitrag leisten, zwischenzeitlich aber auf der Risikoseite zu einer erhöhten Volatilität und Wertverlusten führen können?
Mit dieser Abwägung von Chancen und Risiken befasst sich jeder global aufgestellte Asset-Manager. Eine Entscheidung für oder gegen das FX-Hedging sollte unseres Erachtens bewusst getroffen werden. Dabei sind viele Faktoren zu berücksichtigen wie der Risikobeitrag, Diversifikationseffekte im Gesamtportfolio, Hedgekosten oder zusätzliche Transaktionskosten.
Aber auch regulatorische Vorgaben können eine Rolle spielen, zum Beispiel Solvency II, wonach ungesicherte Fremdwährungspositionen in den Portfolios von Versicherungsunternehmen mit Eigenkapital zu hinterlegen sind. Die Entscheidungsfindung ist also nicht einfach.
Beispiel: Fremdwährungsrisiken aus Sicht eines Anlegers aus der Eurozone
Die Eurozone war im Vergleich zu anderen Währungsräumen lange Zeit eine Niedrigzinsregion. Durch die expansive Geldpolitik der wichtigsten Notenbanken waren die Zinskurven in den meisten Industrieländern von 2019 bis Anfang 2022 bekanntlich durch negative Nominalzinssätze in vielen Laufzeitenbereichen charakterisiert.
Daraus haben sich gegenüber Währungsräumen mit höheren Zinsen Kosten bei der Devisensicherung ergeben. Per Jahresende 2022 konnten Anleger aus der Eurozone infolge der im zweiten Halbjahr vorgenommenen Zinsanhebungen der Europäischen Zentralbank (EZB) sogar Erträge erzielen mit einer Sicherung ihrer FX-Risiken im japanischen Yen (JPY), Schweizer Franken (CHF) und chinesischen Yuan (CNH)...
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