Alternative investeringer: I danske institutionelle investorers porteføljer

Abstract

This thesis investigates alternative investments, by analyzing institutional investor portfolios. The motivation for a study within the subject is rooted by low transparency and intense media coverage and debate between interested parties. The discussions have especially been ignited by the Danish Financial Supervisory Authority, which express uncertainties of the current path followed by the Danish investors’ usage of alternative investments. The results in the thesis were compiled by using a deductive research design rooted in both quantitative and qualitative data, primarily from Danish institutional investors. The theoretical foundations in the research design were e.g. portfolio allocations to asset-classes deduced from a factor-based framework. Furthermore results from the Danish institutional investors were compared with equivalent American investors & endowment funds. By following the methods above, interesting results were found. In 2015 Danish institutional investors allocated 14.4% of the total portfolio to alternative investments (incl. properties). Alternative investments have experienced strong growth in the last 10 years, both in terms of allocations and absolute levels – and indications suggest these trends will continue. Allocations from Danish investors exhibited similar patterns as the deduced Global-MinimumVariance portfolio. American institutional investors allocated 21.7% to alternative investment in mid-2016, and their allocations have been stagnant the last 4-5 years. American investors’ portfolio reminded of the deduced Tangent-portfolio. American investors generate higher returns with a lower risk than the Danish peers. The results suggest that American investors are more experienced in the field of alternative investments, both in terms of allocations and performance. US Endowments exhibited even stronger performance and allocation levels, and are considered to achieve results close to the full potential of alternative investments. The conclusions of the thesis showed that Danish institutional investors should continue their increased usage of alternative investments. Motivations are e.g. improved portfolio performance. Increased usage is conditioned with a simultaneously increase in resources and capacity, which is also indicated to be the case as stated by the investors. Furthermore the investors must be aware of poorly estimated valuations, and needs to invest at fair values.