International diversifikation med aktier, under hensyntagen til valutarisiko og korrelationsændringer, set fra et dansk investorsynspunkt

Palle Trøst Kristensen

Studenteropgave: HD-afhandlinger


The objective of this thesis is to analyze which influence international equities has on Sharpe Ratio for a Danish investor, holding a portfolio of Danish equities only, having the risks of currency fluctuations and correlation changes in mind. By using the single index model to construct two benchmark portfolios consisting Danish equities, the thesis explains how the effects of expanding with international equities will be, for a well diversified investor and a less diversified investor. Using the Danish index OMX Copenhagen Benchmark as Market Portfolio, construction of Sharpe Ratio optimized portfolios is made from a regression of excess returns on the Market Portfolio, against excess returns on the American index S&P500 and the Japanese index Nikkei225. The thesis examines which effect the floating currencies US dollars and Japanese Yen has on the standard deviation and expected return, for the Danish investor, by decomposing the currency risk into an equity part and a currency part. After this, it is examined how the two portfolio's Sharpe Ratios are affected if the investors chooses to hedge the currency risk with forwards or futures. It is concluded that on basis of the analyzed time period and measured by Sharpe Ratio, international diversification with equities results in a very small effect for the investor holding the well diversified Danish portfolio. Through the analyzed time period there is no overall trend in the correlation changes between the international equity markets, but substantial increase in correlation by turbulence caused by events of global economic character. This means that the currency risk's little impact on portfolio Sharpe Ratio, can be turned into a large positive effect, due to the low correlation between currency and equity movements. Generally this is concluding that it is valuable for the investor, to use international diversification with equities

UddannelserHD Finansiering, (HD uddannelse) Afsluttende afhandling
Antal sider84