Porteføljemanagement under økonomiske kriser

Niels Mathiesen

Studenteropgave: Kandidatafhandlinger


In this master thesis I investigate the impact of economic crises on investor’s portfolios. The aim of the thesis is to create a portfolio, which is less affected by the market turmoil related to the crisis. The theory suggests that investors should hold international portfolios, because of the lower correlation between assets of different countries and the greater amount of investment opportunities. This enhances the diversification of the portfolio and thus reduces the risk. Never the less my analyses in the period of 1996-2009 including the three crises, The Asian crisis, The Dot com crisis and The Financial crisis, shows that they have a tendency to spread among markets who doesn’t show high correlation under normal conditions. To show the consequences of these contagious effects, I have created a reference portfolio, representing the portfolio of an average Danish private investor. The portfolio consists of 60 % stocks and 40 % bonds, which of 50 % is in Danish assets and 50 % in international assets. The portfolio showed high influence of the market drops during the crises. The return dropped and the risk rose significant. This was exclusively caused by the stocks, as the bonds had positive returns and the standard deviation only rose slightly. In contrast the stocks had negative returns during every crisis and much higher standard deviations. On top of that the correlation between the stocks also rose to much higher levels. The correlations between the stocks and bonds were very low and at times negative, indicating that bonds will play a significant role in the final portfolio. The more thorough analysis of the different sectors, the stock market is divided into showed a great difference in the performance of each sector. The Health Care, Consumer Goods and Utilities sectors all showed better tendencies than the other sectors. It is therefore mainly from these sectors I will chose the stocks for the portfolio. I also included commodities in the portfolio as their returns seemed less affected by the crises and had very low correlations. I finally chose to include Gold, Wheat and Cocoa. The bonds I included consists of Danish, German and US government bonds. I used The Black-Litterman asset allocation model to create the portfolio. This model uses the assets market weights as a neutral starting point and enables the investor to express his own views in each assets performance. After I expressed my own views, the model came up with a portfolio consisting of 18,28 % stocks, 20,99 % commodities and 60,73 % bonds. The expected return of the portfolio during a crisis is positive and it has a low degree of risk. I therefore concluded that it was possible to create a portfolio of different asset classes, which is able to give investors positive returns during crisis without bearing to much risk.

UddannelserCand.merc.fir Finansiering og Regnskab, (Kandidatuddannelse) Afsluttende afhandling
Antal sider125