Nachhaltig bessere Renditen, Sharpe Ratios und geringere Drawdowns

Mit den „Deka-MultiFactor Rentenfonds“ hat die Deka eine Rentenfondsserie für institutionelle Investoren aufgelegt, die anhand eines quantitativen faktorbasierten Ansatzes gesteuert werden. Die Deka erweitert hiermit ihr quantitativ gemanagtes Produktportfolio für institutionelle Investoren um vier international investierende Rentenfonds: „Deka-MultiFactor Emerging Markets Corporates“, „Deka-MultiFactor Global Corporates“, „Deka-MultiFactor Global Corporates High Yield“ und „Deka-MultiFactor Global Government Bonds”.

Die neu aufgelegten, währungssicheren Produkte kombinieren ein faktorbasiertes Anleihen-Management mit dem bewährten quantitativen Rentenansatz der Deka, bei dem Investitionsentscheidungen auf erprobten mathematisch-statistischen Modellen basieren. Ziel ist es, nachhaltig bessere Renditen, Sharpe Ratios und geringere Drawdowns als der Markt zu erreichen. Gleichwohl können Wertschwankungen, die sich auch negativ auf den Wert des Investments auswirken, nicht ausgeschlossen werden.

Als einer der größten Anbieter in Europa im Bereich des quantitativen Fondsmanagements verwaltet die Deka rund 44 Milliarden Euro (Stand: 30.06.2017). 

Deka-MultiFactor Emerging Markets Corporates

Der Fonds investiert global in fest- und variabel verzinsliche Wertpapiere. Dabei werden nur Wertpapiere erworben, die selbst oder deren Aussteller über ein Rating von mindestens B- verfügen. Die Investitionen erfolgen überwiegend in auf Euro lautende oder währungsgesicherte Unternehmensanleihen von Ausstellern aus Schwellenländern. Zusätzlich können alle Arten von Derivaten, sowohl zur Absicherung als auch zu Investitionszwecken erworben bzw. veräußert werden. Das Management des Sondervermögens basiert dabei auf einem quantitativen faktorbasierten Ansatz, der fundamental begründete Marktanomalien zur Verbesserung der Rendite und Reduzierung des Risikos ausnutzt. Die Anlagekriterien des Fonds entsprechen den Vorgaben der deutschen Verordnung über die Anlage des Sicherungsvermögens von Pensionskassen, Sterbekassen und kleinen Versicherungsunternehmen (Anlageverordnung).

Deka-MultiFactor Global Corporates

Der Fonds investiert global in fest- und variabel verzinsliche Wertpapiere. Dabei werden nur Wertpapiere erworben, die selbst oder deren Aussteller über ein Rating von mindestens BB- verfügen. Die Investitionen erfolgen überwiegend in auf Euro lautende oder währungsgesicherte Unternehmensanleihen. Zusätzlich können alle Arten von Derivaten, sowohl zur Absicherung als auch zu Investitionszwecken erworben bzw. veräußert werden. Das Management des Sondervermögens basiert dabei auf einem quantitativen faktorbasierten Ansatz, der fundamental begründete Marktanomalien zur Verbesserung der Rendite und Reduzierung des Risikos ausnutzt. Die Anlagekriterien des Fonds entsprechen den Vorgaben der deutschen Verordnung über die Anlage des Sicherungsvermögens von Pensionskassen, Sterbekassen und kleinen Versicherungsunternehmen (Anlageverordnung).

Deka-MultiFactor Global Corporates High Yield

Der Fonds investiert global in fest- und variabel verzinsliche Wertpapiere. Dabei werden nur Wertpapiere erworben, die selbst oder deren Aussteller über ein Rating von mindestens B- verfügen. Die Investitionen erfolgen überwiegend in auf Euro lautende oder währungsgesicherte Unternehmensanleihen. Zusätzlich können alle Arten von Derivaten, sowohl zur Absicherung als auch zu Investitionszwecken erworben bzw. veräußert werden. Das Management des Sondervermögens basiert dabei auf einem quantitativen faktorbasierten Ansatz, der fundamental begründete Marktanomalien zur Verbesserung der Rendite und Reduzierung des Risikos ausnutzt. Die Anlagekriterien des Fonds entsprechen den Vorgaben der deutschen Verordnung über die Anlage des Sicherungsvermögens von Pensionskassen, Sterbekassen und kleinen Versicherungsunternehmen (Anlageverordnung).

Deka-MultiFactor Global Government Bonds

Der Fonds investiert global in fest- und variabel verzinsliche Wertpapiere. Dabei werden nur Wertpapiere erworben, die selbst oder deren Aussteller über ein Rating von mindestens B- verfügen. Die Investitionen erfolgen überwiegend in auf Euro lautende oder währungsgesicherte Staatsanleihen. Zusätzlich können alle Arten von Derivaten, sowohl zur Absicherung als auch zu Investitionszwecken erworben bzw. veräußert werden. Das Management des Sondervermögens basiert dabei auf einem quantitativen faktorbasierten Ansatz, der fundamental begründete Marktanomalien zur Verbesserung der Rendite und Reduzierung des Risikos ausnutzt. Die Anlagekriterien des Fonds entsprechen den Vorgaben der deutschen Verordnung über die Anlage des Sicherungsvermögens von Pensionskassen, Sterbekassen und kleinen Versicherungsunternehmen (Anlageverordnung).


Weitere Informationen zu den Deka-MultiFactor Rentenfonds finden Sie auf deka-institutionell.de.

Allein verbindliche Grundlage für den Erwerb von Deka Investmentfonds sind die jeweiligen wesentlichen Anlegerinformationen, die jeweiligen  Verkaufsprospekte und die jeweiligen Berichte, die Sie in deutscher Sprache bei Ihrer Sparkasse oder Landesbank oder von der DekaBank Deutsche Girozentrale, 60625 Frankfurt und unter www.deka.de erhalten.

Key considerations in choosing a commodity index

The composition of a commodity index, the liquidity of its underlying contracts and the complexity of its rolling schedule can have an impact on its performance, shows Edith Southammakosane, Multi-Asset Strategist at ETF Securities.

Getting exposure to futures contracts further out on the curve with enhanced commodity strategies, is an easier and more efficient way to improve return than increasing the complexity of the index rolling schedule. Adding enhanced commodity indices to a portfolio of global equities and bonds, improves the Sharpe ratio by 3% on average compared to classic commodity indices.

There are a number of factors that need to be considered when choosing a commodity index to invest in. Historical back-tested performance only presents one part of the picture. The cost of investing in an instrument, such as an Exchange Traded Product (ETP), that tracks commodity returns can vary widely depending on a number of key factors.

The index composition and weighting

The composition and weighting of a commodity index define its level of diversification. The more diversified the index is, the better the investor is protected from the downside risk when the commodity index is added to a multi-asset portfolio.

The composition of major commodity benchmarks can vary significantly as illustrated above. For example, the Bloomberg Commodity Index (BCOM) has 31% in agriculture and 28% in energy while the S&P GSCI and the Deutsche Bank Liquid Commodities Index Optimum Yield (DBLCI-OY) have more than 50% concentrated in the energy sector.

A closer look at the individual commodity level shows that 40% of the S&P GSCI index is only in oil (23% in WTI crude and 16% in Brent crude) while other commodity indices allocate a maximum of 13% to a single commodity. The weightings change marginally over time. The closer the index can get to an equal weighting, the better its level of diversification.

Modifying the composition and weighting of an index while keeping the same rolling methodology tends to increase return, by 2.3% for UBS indices and 0.9% for Deutsche Bank indices since the end of December 2015, as illustrated above.

The index rolling strategy

In this section, we analysed the performance of four commodity indices in order to assess the impact that “enhanced” rolling strategies can have on returns. All four indices are exposed to the same constituents with the same weights as BCOM but apply different rolling strategies.

The next chart shows the additional return of three different enhanced strategies compared to BCOM. The first strategy increases the index average maturity from 2 or 3 months with BCOM to 5 or 6 months with the BCOM 3 Month Forward Index (BCOMF3). Index providers tend to use this strategy to help mitigate the impact of contango (negative roll yield) on the index’s total return. This strategy improved return by 2%.

Applied to the Deutsche Bank Commodity Booster index, the optimum yield strategy is exposed to contracts that expire up to 13 months from now based on the best implied roll yield. This strategy outperforms BCOM by 2.5%. The constant maturity strategy, used by the UBS Bloomberg BCOM Constant Maturity index, rolls a small portion of its exposure every day in order to maintain its average maturity, outperforming BCOM by 2.6%.

Increasing the complexity of the rolling methodology with the optimum yield and constant maturity strategies only adds 0.5% and 0.6% extra return respectively compared to the strategy that simply increases the index average maturity.

The impact on operational costs

The number of contracts an index tracks and the frequency and complexity of the rolling schedule can have an impact not only on performance as seen previously, but also on the operational costs of replicating the index.

We here distinguish between commodity indices with a classic roll methodology: BCOM, S&P GSCI, the Rogers International Commodity Index (RICI) and the Thomson/Reuters CRB index (CRB), and commodity indices that aim to improve the classic strategy, typically called enhanced commodity indices.

The above chart shows the number of transactions in each index, defined as the number of times each constituent has to roll in a year, multiplied by the number of days during each roll. The UBS BCOM CMCI Index has the largest number of transactions as it rolls a small portion of its exposure every day to maintain each constituent’s average maturity over time. The methodology of an investable commodity index needs to be replicable. The more complex the rolling schedule is, the higher the replication costs which may lead to higher tracking errors.

The liquidity of the underlying futures contracts that the index holds is also a key factor to consider, as an illiquid contract can cause disruption in the daily pricing of the commodity index and prevent investors from purchasing or redeeming their funds when they want. The further out on the curve the exposure is, the less liquid the futures contract. The above chart shows how much an investor can buy or redeem from an instrument that tracks the index without disrupting the daily pricing of the underlying futures market.

Commodity indices in a portfolio

In this section, we compare the performance of portfolios with 50% in global equities, 40% in global bonds and 10% in commodities to a standard portfolio of 60% global equities and 40% global bonds, the benchmark, since 1998.

While enhanced commodity indices tend to perform better than classic commodity indices, adding them to a portfolio of equities and bonds improves the Sharpe ratio by just 3% on average: from 0.72 on average for portfolios with 10% in classic commodity benchmarks to 0.75 on average for portfolios with 10% in enhanced commodity indices.

The acid test of active management

Active managers are more likely to outperform in certain market conditions, but our research finds that there is also a group that can outperform whatever the weather. Clement Yong, Strategist, Research and Analytics, at Schroders, on “good” asset managers.

All sailors know that there are environmental conditions that affect their performance, notably wind speed and direction, currents and tides. When conditions are ideal, even average sailors tend to do well, as the favourable conditions carry them along. However, when conditions are challenging, only more skilful sailors will be able to outperform.

In the same way, we have found that active managers add more value in particular market environments than others and only truly skilled managers are able to navigate through more challenging waters. Our research suggests that the two key variables that determine these environments are the extent to which share prices tend to move together (known as “correlation”) and, the distance those prices typically travel relative to each other (known as “dispersion”). This makes sense as it should be much easier to distinguish winning stocks from losing ones when the market’s correlation is low and, once a winning stock has been distinguished, the returns for the holder of those stocks should be that much greater if dispersion is high.

We found this theory borne out in practice when we looked at historical records: when market correlations have been low and dispersion of returns high, active managers have performed the best (see first circled bar in chart below). On the other hand, active managers have performed worst when correlation and dispersion were both high (see second circled bar). This environment mostly occurred during the depths of crises, suggesting the average active manager  possesses insufficient skill to weed out underperformers when all stocks are falling together. Currently, however, conditions have turned favourable for them as correlation continues to stay low.

Average UK managers' monthly excess returns

The picture changes significantly when we analyse the outperformance of “good” managers1 in the various environments. The main conclusion we reached was that they tend to perform well in all environments. Good managers still do best in the low correlation, high dispersion environment but, contrary to the experience of average managers, they do least well in a high correlation, low dispersion world. This is arguably when their stock selection skills are least effective as the difference in returns between winners and losers is minimal. Contrary to the average manager, the “good” manager does much better in the high correlation, high dispersion environment. This may be because good active managers have enough skill to avoid the worst performers when all prices are falling.

Average UK managers' monthly excess returns

It is worth noting that, although what we have discussed applies to the UK market, the pattern of returns and conclusions are virtually identical for the Japanese market, emerging markets and even those in the US, where active performance has been much maligned.

Our definition of “good” managers so far has been rather like a football league: they are not a fixed group but come and go as their performance promotes them or relegates them to or from the top tier over the period investigated. However, a more practical question is whether it is possible to find a group of active managers who consistently outperform in different environments. We believe it is, and that the knowledge of how managers have performed in different environments in the past can be used as a guide to selecting active managers who are well placed to consistently perform in the future.

To show this, we looked at UK funds that have been able to deliver the most consistent  outperformance during both favourable and challenging environments. In each case, we identified the 100 funds that most frequently outperformed. We then looked at how much overlap there was between these lists, i.e. how many of the 100 funds that most persistently outperformed in the favourable environment also featured in the top 100 for the challenging environment. 32 funds passed this test. This suggests that there is a group of skilful fund managers that has been able to persistently outperform its benchmarks in both favourable and challenging conditions.

Why is this important? Because these truly are managers who consistently perform. For instance, we found that these 32 “persistent” managers were able to outperform in consecutive periods more frequently than the average manager. Not only that, the 32 also had a lower chance of consecutiveunderperformance than other managers.

We don’t want to minimise the difficulties facing investors in identifying good. Our research confirms that when looking at past performance, it is vital to contextualise the performance of those managers in both favourable and challenging environments to gain a true picture. And for anyone who feels they have the skill and expertise to do that, the current environment looks favourable for those few active managers who consistently shine.

Please remember that past performance is not a guide to future performance and may not be repeated. The value of investments and the income from them may go down as well as up and investors may not get back the amounts originally invested.


1) We define the “average” active manager by calculating the average outperformance achieved by all actively managed funds (including those that have failed to survive over time). We define “good” active managers as those able to achieve the top 25% of returns. This theoretical approach would not necessarily reflect the experience an individual investor would have experienced.

This article has first been published on schroders.com.

Beyond Due Diligence

by Michael Stephan, Managing Director of iFunded.

Crowd investments from online platforms are among the fastest growing investment segments in Germany’s real estate industry. This new investment vehicle is taking root as a viable alternative to mutual funds. However, purchasing subordinate always harbours some risk. Just recently, the first developer of a project funded by crowd investment went into insolvency. It is for now unclear whether investors will receive a refund.

While online platforms can only act as brokers, as they are not legally permitted to assume the function of an investment advisor, it is crucial to convey trust in the products being offered. Therefore, developers must be carefully selected and vetted. I will attempt to shed light on some key steps suppliers of online crowd investment opportunities can take to minimize risk, while maintaining a high level of transparency towards clients.

Often, the level of reliability of a planned project will become apparent with an initial check. The developer’s track record is an important measure of competence, giving reference on projects they have completed in the past. Another crucial factor is the individual financial engagement. Only if the developer is prepared to invest their own equity, making them potentially liable, can one be sure of their commitment to the project and reimbursement to investors. There should also be absolute clarity about the legal circumstances of the development firm and its company structure.

In most cases, dubious offers will be combed out almost immediately, be it because of unrealistic scheduling or a lack of knowledge about the project’s prospective type of usage. After all, a record of twenty realised residential projects does not guarantee the professional handling of a retail park modernisation.

Supposing all fundamental factors appear sound: What is to say that a project plan that seems realistic and well thought out will not prove unsustainable eventually? Any platform must therefore check all prospective expenses for plausibility. Building costs will be subject to the same level of inspection as projections of future proceeds. To make sure that any project will suit market requirements, any platform must consult real estate experts and examine whether the developer’s estimates are realistic. In any case, the assessment of projects chosen for the portfolio should lie within company expertise. Cooperation with established property assessment firms is always advisable as they usually have a wealth of research data at their disposal.

Any project should be evaluated according to standards similar to those a bank may consult in the process of lending. Ideally, projects will undergo assessment twice: Once by the platform deciding whether to add them to their portfolio and once by any bank that is approached for credit.

Create transparency for investors

Another crucial step is to clearly and transparently display the information gathered to potential investors. After all, private investors are not privy to project documentation – also, the terminology used may be quite challenging for laymen. While investors are naturally advised to personally research platforms and project developers, platforms themselves must also do their best to present important information in a user-friendly format. When doing so, crowd investment platforms should go beyond conventional forecasting of a project.

One way to present information accessibly would be to use a points-based system which foresees various risk factors. In a renovation project, for example, an established prime location could be presented next to an elevated vacancy rate in the building. In the same way, the development risk of a third-tier location could be offset by the excellent track record of the respective developer. Bringing all these factors together, a platform would be able to display a range of risk categories.

Ongoing assessments, even beyond the funding phase

The success of a crowd investment project is not primarily decided by whether financing is fully realised. Results will only become visible during the reimbursement phase. Even though platforms act as brokers, supervision of a project should therefore continue beyond the funding period. This includes establishing contractual reporting obligations for developers which could help to recognise possible negative results or even insolvency early on. On this basis, platforms can then swiftly act and seek dialogue with developers and investors. 

To date, real estate-related crowd investments have often been associated with subordinated loans. This is, however, not the only possible investment method. Bearer bonds or other securities can also be issued. Due to their clearly defined stipulations, using these bonds can further increase transparency. In the future, equity investment in a project developer could be another alternative.

Investors need a reliable and neutral foundation on which to base their decisions. Despite their intermediary role, platforms should actively communicate that broad diversification remains the most important factor in crowd investment. After all, the unique feature of the digital investment platform is the opportunity to spread one’s funds across a wide range of projects.


Michael Stephan worked for over 15 years in leading positions in the digital industry and venture capital industry. For five of those years, he worked as General Counsel of a leading German venture capital company and directed the capital market part of a bank for two years.

iFunded opens the world of real estate to any interested investor. It is a smart, digital platform, that brings private investors together with leading professional investors in the real estate industry for joint projects. This enables iFunded investors access to exclusive project financing, which was previously reserved for institutional investors. https://ifunded.de/