Passiv investering i aktieindeks: En efter skat analyse af investeringsalternativer for en dansk privatperson på frie midler

Mikkel Nyboe Rasmussen & Frederik Nordentoft

Student thesis: Master thesis


Three alternatives to passive equity index investing are analyzed for a Danish individual on available funds. The premise is that the passive investment strategy is relevant to many. This thesis complements a vast range of literature by focusing on the execution of the strategy. Several options exist in a non-transparent market. Danish investment funds are criticized for being expensive. Exchange Traded Funds (ETFs) have not been evaluated as an alternative. Investing directly in stocks is recommended by experts, but the degree of complexity in executing the strategy is unclear. Performance comparison of the alternative strategies remains. In this thesis, research for costs, tax treatment, availability, ‘ease of use’ and hidden risks are being undertaken for each alternative. By simulating equity index returns, net tax consequences are identified in a base case. Sensitivity analysis is performed to identify trends. The results reveal that investing directly in index stocks overall provides the highest net tax return. This is especially evident on a long term time horizon. This strategy, however, turned out to be the most difficult of the three investigated to implement. An easier approach is the ETF-strategy. Lower return is apparent compared to direct investment in stocks. Despite this, ETFs proved to be legit on available funds. This includes when investor experiences negative ‘anden kapitalindkomst’, smaller amounts invested or a short to medium term time horizon. ETFs are best when benchmark index experiences low expected return or low standard deviation. Assessing ETFs on a risk adjusted basis reveals that ETFs outperform competing strategies the first 15 years. The easiest approach is the Danish investment funds. This strategy is preferred above ETFs only in certain situations. This includes a low annual expense ratio, or when benchmark index is characterized by high expected return, high standard deviation or low payout ratio. To choose the best alternative, investor needs to decide how much involvement one is willing to handle in executing a passive investment strategy. Then, by assessing the amount invested, time horizon, level of ‘anden kapitalindkomst’ and characteristics of wanted benchmark index, the investor is now able to decide on one alternative to optimize the investment decision.

EducationsMSc in Finance and Accounting, (Graduate Programme) Final Thesis
Publication date2014
Number of pages132