Delkonklusion - Hvilken værdi skaber de alternative investeringer i en balanceret portefølje?

Der er stor forskel på, i hvilken grad de forskellige underklasser af alternative investeringer skaber

merværdi, når de indgår i en balanceret portefølje. Det generelle billede er, at hedgefond-indeksene over én kam skaber den største merværdi – og at indeksene for henholdsvis Private Equity, råvarer, infrastruktur og ejendomme enten skaber begrænset med værdi, eller slet ingen.

74 Merværdi kan skabes enten ved højere afkast til samme risiko, eller lavere risiko til samme afkast. Risikoen kan for nogle investorer, være svær at forholde sig til i form af standardafvigelse. Value at Risk-analysen viser derfor eksempler på, hvad det kvantitativt i kroner og øre er muligt spare, i en ”worst case-situation”

for en portefølje med en værdi på kr. 5.000.000. Der er tale om store potentielle besparelser på porteføljerisikoen, hvis investor oplever et længerevarende bear-marked.

Når det kommer til den virkelige verden, så er det ikke realistisk at forvente, at en porteføljemanager for en balanceret investeringsforening, vil tilføre eksempelvis 50% forskellige hedgefonde, i sin portefølje. I det tilfælde vil porteføljen ændre allokeringsprofil og ikke længere være en balanceret portefølje.

Dog vil det formentligt være realistisk at et mindre supplement, op til eksempelvis 5-10%, kunne være en mulighed at tilføre porteføljen, for at skabe en merværdi for investorerne. Eksempelvis har Nordea Invest Basis 3 allerede ca. 3,5% ”alternative fonde” som også tidligere nævnt – heriblandt hedgefonde. Det underbygger resultatet som porteføljeanalysen har vist – altså at disse alternative investeringer er med til at skabe værdi, i en ellers balanceret portefølje bestående af hovedsageligt aktier og obligationer.

Når det kommer til porteføljeanalysens dårligste performere – Private Equity samt råvarer – så er det vigtigt at notere, at datasættene for de sidste 10 år inkluderer en svær periode for begge disse aktivklasser.

For Private Equity har den svære tid særligt været under finanskrisen i 2008 med massive tab til følge, og for råvareindekset har perioden fra 2013-2015 været meget negativ. Der er med andre ord en forventning til, at særligt disse 2 aktivklassers performance og porteføljeegenskaber havde set anderledes ud, hvis datasættene var blev valgt ud fra nogle andre perioder. Dog skal det siges at den valgte 10-årige periode fastholdes, da perioden netop giver et langsigtet indblik i aktivklassernes performance – og det gør ikke noget negativt, at en potentiel investor får historik med fra eksempelvis finanskrisen, da den seneste finanskrise formentlig ikke var den sidste.

Siden at MVP’erne og de optimale porteføljer ligger fordelingsmæssigt så tæt på hinanden som de gør, så giver det anledning til at foreslå, at der i bull-markeder bør allokeres i forhold til den optimale portefølje, og at der i bear-markeder skal allokeres i forhold til MVP’en – for på den måde at have henholdsvis bedste risikojusterede afkast i stigende markeder, men også have muligheden for at beskytte sig mod fald i et identificeret bear-marked.

Konklusionen er at hedgefond-indeks er den eneste aktivklasse af de undersøgte, som har formået at skabe betydelig merværdi, ved inklusion i en balanceret portefølje, det vil sige i forhold til de traditionelle

aktivklasser, aktier og obligationer. Denne betydelige merværdi skabes både på afkast-risiko-forholdet, samt på potentielle tab i worst case-scenarier.

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10 Konklusion

I denne afhandling er der arbejdet med alternative investeringer

Formålet med afhandlingen har været at vurdere, hvordan disse udvalgte alternative investeringer adskiller sig fra de traditionelle investeringer, som i denne afhandling er defineret som aktier og obligationer.

De alternative investeringer udgør i projektet 5 forskellige kategorier, henholdsvis infrastruktur,

ejendomme, Private Equity, råvarer og hedgefonde. Det er dog uklart, hvor mange alternative investeringer der reelt findes, da der ikke er nogen konkret konsensus på den nærmere definition.

Traditionelt set har det ikke været muligt for den normale private investor at handle alternative

investeringer, som defineret i projektet. Det har været forbeholdt institutionelle investorer og velstillede private investorer.

De alternative investeringer kan handles på flere måder, men der er forskel på direkte alternative investeringer, kontra handel med proxyer. Proxyer er en ”alternativ” måde at få eksponering imod en bestemt alternativ investering. Eksempelvis kan der via investering i en tracker til et Private Equity-indeks, opnås eksponering imod Private Equity-sektoren. Den direkte investering i alternative investeringer er fortsat forbeholdt institutionelle investorer, så som pensionsselskaber og fonde mv.

Der er undersøgt for hvilket benchmark der typisk benyttes for de traditionelle investeringer – altså aktier og obligationer – og efterfølgende hvilke der sættes for de alternative investeringer. Formålet var at se, om der er lighed i måden der sættes benchmarks, eller om der er stor forskel.

Det konkluderes at der er stor forskel på traditionelle investeringer kontra alternative investeringer. Det har vist sig at være problemfrit at fremfinde benchmarks for aktier og obligationer – men det har været

sværere at fremfinde benchmarks for de alternative investeringer.

Direkte alternative investeringer har ikke noget benchmark, da eksempelvis hvert byggeprojekt eller vindmøllepark er enestående og dermed sjældent sammenligneligt. Alternative investeringer i form af proxyer, har ikke noget decideret konsensus-benchmark, men der eksisterer bl.a. indeks, som

repræsenterer de forskellige alternative investeringer. Disse indeks kan benyttes af investorer som benchmarks, og i projektet er udvalgte indeks efterfølgende benyttet, til at analysere performance og porteføljeegenskaber.

Allerede i det redegørende afsnit 6.5, viser en model fra Nordea, henholdsvis afkast og risiko for udvalgte hedge-strategier. Alle de udvalgte hedge-strategier har et attraktivt afkast-risiko-forhold ifølge Nordea. I

76 performanceanalysen er der testet for, om samme billede kan tegne sig både for hedgefonde og de øvrige alternative investeringer.

Det konkluderes i performanceanalysen, at ikke alle nøgletal er lige brugbare, når vi bevæger os på tværs af aktivklasser, med brug af forskellige markedsporteføljer, også kaldet moderindeks i projektets forløb.

Derudover konkluderes det, at der er stor forskel i performance for de udvalgte alternative investeringer.

Hedgefonde har en attraktiv performance samt et attraktivt afkast-risiko-forhold, hvilket læner sig opad konklusionen fra Nordea i afsnit 6.5, som nævnt før. Infrastruktur, ejendomme, Private Equity samt råvarer har en ikke-acceptabel performance, i forhold til de traditionelle investeringer. Den analyserede periode er 10-årig fra primo 2006 til ultimo 2016. Denne periode har været hårdere for nogen aktivklasser end andre.

Investorer kan igen opleve en lignende nedtur, hvis eller når der kom en finanskrise i fremtiden. Det er derfor svært at argumentere for, hvilken periode der er mest retvisende. En længere kurshistorik på eksempelvis 30 år kunne være interessant at medtage – men så længe har indeksene for de alternative investeringer ikke eksisteret.

Der er undersøgt for de alternative investeringers porteføljeegenskaber, når de tilføres en balanceret portefølje med en neutralfordeling på 50% aktier og 50% obligationer. Der er lavet analyse både ud fra en portefølje med den absolut laveste risiko (MVP) samt porteføljen for det optimale afkast-risiko-forhold.

Billedet der tegner sig i denne analyse er, at det er hedgefonde der skaber den største værdi. Det kan lade sig gøre at opnå lavere risiko i form af MVP, for alle de alternative investeringer – dog gås der på

kompromis med afkastet, når der udelukkende fokuseres på risiko.

I forhold til den optimale portefølje målt på afkast-risiko-forholdet, så er der kun 2 alternative investeringer som ikke kan skabe merværdi i en balanceret portefølje. Det er Private Equity og råvarer. Årsagen hertil er deres lave afkast-risiko-forhold.

Visse af fordelingerne for optimal portefølje samt MVP, anses for at være urealistiske. Der ses i analysen eksempler på porteføljefordelinger, hvor en hedge-strategi skal udgøre 90% af en ellers balanceret

portefølje. Dog skal det noteres at denne høje fordeling er et udtryk for at hedgefonde generelt skaber stor værdi i porteføljen, og selv et supplement på 5-10% vil alt andet lige skabe et bedre risikojusteret afkast, for en balanceret portefølje.

Fordelingen for den optimale portefølje er interessant at følge i bull-markeder, men hvis der identificeres et bear-marked, bør man i stedet følge fordelingen for MVP. Der er i Value at Risk-analysen beregnet hvor meget en investor med kr. 5.000.000 i en portefølje, kan optimere på forventet tab, i en worst case-situation med 95% sandsynlighed. Det generelle billede i VaR-analysen er at alle de alternative

77 investeringer skaber merværdi i minimumvariansporteføljerne, men at Private Equity og råvarer ikke skaber nogen form for merværdi i VaR, i de optimale porteføljer. Det konkluderes at der i form af nedsat potentielt tab, skabes værdi for den enkelte investor, når en balanceret portefølje tilføres alternative investeringer i form af hedgefonde, ejendomme og infrastruktur.

De alternative investeringer har hver deres berettigelse, baseret på at det samlede investeringsunivers bør bestå af mange forskellige muligheder, således at en investor har mulighed for at vælge den type af investering, som passer vedkommende bedst. Historisk performance er ikke ensbetydende med fremtidig performance, hvilket skaber håb for de alternative investeringer, som i dette projekt ikke har præsteret attraktivt.

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11 Perspektivering - Hvad kan der i fremtiden forventes af alternative investeringer?

Dette projekt har givet et indblik i de udvalgte alternative investeringers evner, til at skabe merværdi i en traditionel aktie- og obligationsportefølje. Nordea Private Banking hvor jeg arbejder, har i 2016 valgt at revidere udvalget af anbefalede investeringsfonde, således at anbefalingen inkluderer op til 20% alternative investeringer, i en normal kundeportefølje. Dette for at øge kundernes risikojusterede afkast. Tidligere har man ikke direkte arbejdet med alternative investeringer, men mere eller mindre kun

porteføljesammensætninger af henholdsvis aktier og obligationer. De alternative investeringer opnås primært igennem investering i udenlandske og indenlandske AIF’er.

Pensionskasser og andre store institutionelle investorer, har i mange år investeret direkte i alternative investeringer i form af vindmølleparker, sygehuse, infrastruktur, boliger mv., hvilket må forventes at have givet et positivt langsigtet afkast, da det er pensionskassernes hovedmål, at have investeringer med lang løbetid og stabilt cashflow. Det er mit indtryk at de alternative investeringer over de seneste år, har vundet en del terræn - nu også hos øvrige investorer, så som investeringsrådgivere og private investorer.

Ved at der nu kan opnås eksponering mod alternative investeringer vha. finansielle instrumenter, forventer jeg at denne popularitet vil fortsætte med at stige. Det er oftere at jeg hører om private investorer, som ikke længere kun spekulerer i aktier og obligationer, men nu også spekulerer i eksempelvis olieprisen, vha.

finansielle instrumenter så som certifikater(ETN’er) eller AIF’er.

Selv tror jeg at tilbuddene inden for alternative investeringer, vil fortsætte med at vokse over de næste mange år, således at man som privat investor kan opnå likvide investeringer, med eksponering med stort set alt tænkeligt. Dog tror jeg ikke at udviklingen vil tage sådan fat, at alternative investeringer bliver et

”allemandseje”, som eksempelvis aktieinvesteringer har været de senere år.

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12 Kilde- og Litteraturliste

Denne liste består af de benyttede kilder, som ikke fremgår af selve projektet. Der er i projektet angivet kilder for direkte benyttet materiale og information, ud over denne liste.

Information, research, indeks og artikler:

www.Nationalbanken.dk

Den Danske Ordbog: www.ordnet.dk Investopedia – www.investopedia.com

STOXX Global Broad Infrastructure Index: https://www.stoxx.com/index-details?symbol=STXGBIV HFR Indeks på hedgefonde og alternative investeringer: https://www.hedgefundresearch.com/family-indices/hfri

S&P Global Infrastructure Index - http://us.spindices.com/indices/equity/sp-global-infrastructure-index Private Equity TR (PRIVEXPD) - https://www.investing.com/indices/private-equity-tr-historical-data Effektiv rente på DK 10-årig statsobl. -

https://www.statbank.dk/statbank5a/SelectVarVal/saveselections.asp

Effektiv rente USA 10-årig statsobl. - https://www.bloomberg.com/markets/rates-bonds/government-bonds/us

Bloomberg Commodities Index - https://www.bloombergindices.com/bloomberg-commodity-index-family/

S&P Global Infrastructure Index - http://us.spindices.com/indices/equity/sp-global-infrastructure-index S&P Global REITs index - https://us.spindices.com/indices/equity/sp-global-reit-us-dollar

MSCI World:

https://www.msci.com/end-of-day-history?chart=regional&priceLevel=41&scope=R&style=C&currency=15&size=36&indexId=106

SP Sovereign Bond Index - https://us.spindices.com/indices/fixed-income/sp-global-developed-sovereign-bond-index

Bloomberg Commodities TR index: https://www.investing.com/indices/bbg-commodity-tr Nordea Invest Basis 3:

https://nordeagws.gws.fcnws.com/fs_Oversigt.html?isin=DK0016196082&clientid=DKNI&shelves=Nordea

%20Invest&currency=DKK&culture=da-DK&CategoryFilter:taborder=1,2,3,4 Benchmarks:

European Federation of Financial Analysts Societies: www.effas.net MSCI (benchmarks): https://www.msci.com/market-cap-weighted-indexes The European Financial Review, Alternative Investments and Benchmark Biases:

http://www.europeanfinancialreview.com/?p=1034

80 Bank Investment Consultants, How to Benchmark Alternatives:

http://www.bankinvestmentconsultant.com/news/how-to-benchmark-alternatives

Vestjysk bank (benchmarks): https://www.vestjyskbank.dk/Files/Files/Investering/Vaerdipleje/Benchmark-for-aktivklasser.pdf

Bloomberg (benchmarks): https://www.bloombergindices.com/global-fixed-income/

Nykredit Invest (benchmarks):

http://www.nykreditinvest.dk/nykreditinvestdk/info/afdelinger/benchmarks.xml Fixed Income Benchmarks discussion CFA:

https://www.cfainstitute.org/learning/products/publications/irpn/Pages/irpn.v2012.n1.13.aspx Nordea Benchmark: https://www.nordea.dk/private-banking/din-formue/investering-af-din-formue/benchmark-private-banking-portfolio-management.html

Danske Bank Benchmark aktier:

https://www.danskeinvest.com/web/show_fund.produkt?p_nId=7&p_nFundgroup=8&p_nFund=1251 Tryghedsgruppen benchmark:

https://www.tryghedsgruppen.dk/investering/kapitalforvaltning/forvalterstruktur SEB Benchmark: https://seb.dk/sebinvest/foreninger/sebinvest-aktier/danske-aktier Maj Invest: http://majinvest.dk/vores-afdelinger/danske-aktier/oversigt/

Danske Invest "overvejer" nye benchmark:

http://borsen.dk/nyheder/avisen/artikel/11/139652/artikel.html

Danske Bank manipulerer med benchmarks: http://finanswatch.dk/Finansnyt/article8609688.ece Litteratur:

CBS Learn – diverse uddannelsesmateriale fra HD-studiets forløb, herunder slides, artikler mv.

Nordea Private Banking samt Savings and Wealth Offerings – Div materiale (internt- og kundemateriale).

Kompendium Aspiri, Corporate Finance, Jonas Kofoed Larsen 2014.

Basic Statistics for Business & Economics, Lind/Marchal/Wathen 2013.

Finansielle Derivater, Jørgen Just Andresen 2015.

Finansiel Risikostyring, Jørgen Just Andresen 2015.

International Finansial Management, Shapiro & Moles 2014.

Fundamentals of Futures and Options Markets, John C. Hull 2014.

Principles of Corporate Finance, Brealey, Myers & Allen 2014.

Aktieinvesteringer, Michael Christensen 2014.

Obligationsinvesteringer, Michael Christensen 2014.

Portfolio Analysis HD(F), Institut for Finansiering, Artikelsamling 2015.

81

Bilag 1 - 5.5.1 Eksempel 1 + 5.5.2 Eksempel 2 + 5.5.3 Eksempel 3

DATE NZYM MAERSK R NZYM R MAERSK V NZYM CARLS R CARLS V CARLS DS 1.75% 2025 R DS V DS

17-02-2017 273 11820 -0.07% -2.21% 0.00028 604.52 0.33% 0.000143939 112.35 0.46% 0.00001

16-02-2017 273.197 12086.62 0.07% 0.33%V MAERSK 602.56 0.25%KOV. N/C 111.837 0.10%KOV. N/S

15-02-2017 273 12047.12 0.18% 0.83% 0.00052 601.08 0.58% 0.000079 111.73 -0.17% -0.000005

14-02-2017 272.507 11948.37 0.18% -0.17%KOV. N/M 597.64 -0.65%KOV. M/C 111.917 -0.11%KOV. M/S

13-02-2017 272.014 11968.12 -0.76% 1.51% 0.000116 601.57 -0.25% 0.00007 112.041 -0.04% -0.000004

10-02-2017 274.084 11790.38 -0.43% 3.65%KORR. N/M 603.05 -0.65% 112.085 -0.16%

09-02-2017 275.267 11375.64 -1.17% 4.16% 0.305841092 606.98 0.41% 112.263 0.15%

08-02-2017 278.519 10921.4 0.68% -4.98% 604.52 -2.54% 112.098 0.25%

07-02-2017 276.647 11494.14 0.43% 0.17% 620.26 1.69% 111.815 0.25%

06-02-2017 275.464 11474.39 0.61% 0.96% 609.94 -1.12% 111.537 0.21%

03-02-2017 273.788 11365.76 0.65% 1.05% 616.82 0.48% 111.305 0.07%

02-02-2017 272.014 11247.27 -0.04% -2.98% 613.87 0.16% 111.23 0.24%

01-02-2017 272.113 11592.88 2.91% 2.18% 612.89 0.16% 110.963 0.05%

31-01-2017 264.426 11346.01 1.44% -0.61% 611.9 -0.24% 110.908 0.01%

30-01-2017 260.681 11415.14 0.38% -0.52% 613.38 -0.56% 110.896 0.05%

27-01-2017 259.695 11474.39 2.33% -1.78% 616.82 1.21% 110.843 0.00%

26-01-2017 253.782 11681.75 1.58% -0.25% 609.44 0.00% 110.843 -0.27%

25-01-2017 249.839 11711.38 1.12% 3.31% 609.44 0.90% 111.141 -0.63%

24-01-2017 247.08 11336.14 1.33% -0.26% 604.03 0.41% 111.845 0.06%

23-01-2017 243.827 11365.76 0.41% -0.52% 601.57 -0.65% 111.776 -0.08%

20-01-2017 242.842 11425.01 -1.08% -0.43% 605.51 0.25% 111.867 -0.10%

19-01-2017 245.503 11474.39 3.19% 1.66% 604.03 -0.16% 111.981 -0.36%

18-01-2017 237.914 11286.77 -4.66% -4.27% 605.02 1.32% 112.389 -0.32%

17-01-2017 249.544 11790.38 -0.47% 0.67% 597.15 -0.41% 112.745 0.26%

16-01-2017 250.726 11711.38 0.79% -1.00% 599.61 0.08% 112.457 0.00%

13-01-2017 248.755 11829.87 0.84% 0.08% 599.11 0.74% 112.455 -0.02%

12-01-2017 246.686 11820 -0.60% 0.84% 594.69 -0.49% 112.48 0.23%

11-01-2017 248.164 11721.25 0.96% 1.98% 597.64 -0.49% 112.218 0.13%

10-01-2017 245.799 11494.14 -1.46% -2.84% 600.59 -0.73% 112.072 0.07%

09-01-2017 249.445 11829.87 -0.35% -1.56% 605.02 0.16% 111.997 -0.05%

06-01-2017 250.332 12017.49 0.00% 2.10% 604.03 0.33% 112.051 0.01%

05-01-2017 250.332 11770.63 1.24% 2.67% 602.06 0.16% 112.036 -0.16%

04-01-2017 247.277 11464.51 4.11% -1.28% 601.08 -0.25% 112.216 -0.12%

03-01-2017 237.52 11612.63 -1.87% 0.86% 602.56 -0.08% 112.352 -0.60%

02-01-2017 242.053 11513.88 0.86% 3.46% 603.05 0.57% 113.025 0.31%

30-12-2016 239.984 11128.77 0.25% -1.31% 599.61 0.50% 112.679 -0.13%

29-12-2016 239.392 11276.89 0.29% 0.62% 596.65 0.16% 112.831 0.07%

28-12-2016 238.703 11207.77 0.04% 0.09% 595.67 -0.08% 112.751 0.20%

27-12-2016 238.604 11197.89 -0.04% -0.53% 596.16 0.75% 112.523 0.28%

26-12-2016 238.703 11257.14 0.00% 0.00% 591.74 0.00% 112.212 0.11%

23-12-2016 238.703 11257.14 1.51% -0.26% 591.74 0.00% 112.091 -0.06%

22-12-2016 235.155 11286.77 -1.69% 0.62% 591.74 -0.08% 112.162 -0.03%

21-12-2016 239.195 11217.64 0.75% -0.79% 592.23 0.33% 112.201 0.47%

20-12-2016 237.421 11306.52 0.37% 1.33% 590.26 0.42% 111.681 -0.02%

19-12-2016 236.534 11158.4 -1.15% -1.91% 587.8 -0.33% 111.699 0.20%

16-12-2016 239.294 11375.64 2.27% -0.26% 589.77 1.01% 111.478 -0.27%

15-12-2016 233.972 11405.26 1.24% 2.67% 583.87 -1.41% 111.783 0.53%

14-12-2016 231.114 11109.02 -0.21% 3.78% 592.23 -0.41% 111.192 0.09%

13-12-2016 231.607 10704.16 0.13% 4.03% 594.69 2.11% 111.097 -0.37%

12-12-2016 231.311 10289.42 0.56% -1.61% 582.39 1.11% 111.504 0.29%

09-12-2016 230.03 10457.29 4.76% 0.19% 576 1.39% 111.18 -0.29%

08-12-2016 219.583 10437.54 -0.36% 4.45% 568.13 -0.09% 111.508 -0.15%

07-12-2016 220.371 9993.18 -1.06% 0.90% 568.62 -1.45% 111.672 -0.03%

06-12-2016 222.736 9904.31 0.04% -0.69% 576.98 0.43% 111.701 -0.10%

05-12-2016 222.638 9973.43 -2.04% 1.92% 574.52 0.69% 111.816 -0.11%

02-12-2016 227.27 9785.81 -2.00% -0.25% 570.58 0.09% 111.934 -0.43%

01-12-2016 231.902 9810.5 -1.05% 6.71% 570.09 -2.93% 112.422 -0.19%

30-11-2016 234.366 9193.33 -0.21% -0.48% 587.31 0.17% 112.631 -0.10%

29-11-2016 234.859 9237.77 -0.71% 1.57% 586.32 0.67% 112.742 0.34%

28-11-2016 236.534 9094.59 -1.44% -0.22% 582.39 -0.50% 112.364 0.06%

25-11-2016 239.984 9114.34 0.12% 1.60% 585.34 1.80% 112.295 0.06%

24-11-2016 239.688 8971.15 0.54% -1.78% 575.01 -0.43% 112.232 -0.09%

82

23-11-2016 238.407 9134.09 0.33% 0.49% 577.47 -1.01% 112.331 0.36%

22-11-2016 237.618 9089.65 -0.95% 2.11% 583.37 0.08% 111.928 -0.16%

21-11-2016 239.885 8902.03 0.50% -0.17% 582.88 0.85% 112.112 0.01%

18-11-2016 238.703 8916.84 -0.04% 0.67% 577.96 0.34% 112.1 0.22%

17-11-2016 238.801 8857.59 0.08% -0.50% 576 0.60% 111.853 -0.18%

16-11-2016 238.604 8902.03 -0.29% -0.39% 572.55 0.17% 112.052 0.47%

15-11-2016 239.294 8936.59 0.33% 0.89% 571.57 0.87% 111.531 -0.46%

14-11-2016 238.505 8857.59 -0.29% 2.05% 566.65 -1.62% 112.045 -0.48%

11-11-2016 239.195 8679.85 0.00% -4.56% 576 -1.18% 112.581 -0.71%

10-11-2016 239.195 9094.59 0.08% 1.04% 582.88 -1.99% 113.39 -0.15%

09-11-2016 238.998 9000.78 -1.02% -4.40% 594.69 -1.31% 113.557 0.01%

08-11-2016 241.462 9415.51 -0.37% -2.21% 602.56 1.41% 113.54 -0.08%

07-11-2016 242.349 9627.82 0.45% 3.39% 594.19 1.43% 113.632 0.13%

04-11-2016 241.265 9311.83 -0.33% -0.21% 585.83 -1.00% 113.484 -0.16%

03-11-2016 242.053 9331.58 0.12% 0.59% 591.74 -0.58% 113.669 0.42%

02-11-2016 241.758 9277.27 -1.17% -7.16% 595.18 0.25% 113.189 -0.23%

01-11-2016 244.616 9993.18 -1.39% -2.69% 593.7 -1.23% 113.448 0.11%

31-10-2016 248.065 10269.67 -1.14% 0.00% 601.08 0.00% 113.326 -0.13%

28-10-2016 250.923 10269.67 3.37% 0.10% 601.08 -0.08% 113.477 -0.52%

27-10-2016 242.743 10259.8 -2.99% -0.29% 601.57 0.49% 114.068 -0.51%

26-10-2016 250.234 10289.42 -11.22% 1.66% 598.62 -1.78% 114.655 -0.13%

25-10-2016 281.87 10121.55 -0.52% -1.06% 609.44 -0.80% 114.802 0.00%

24-10-2016 283.348 10230.18 -0.69% 1.07% 614.36 -1.03% 114.802 0.29%

21-10-2016 285.319 10121.55 -0.58% 0.69% 620.76 0.32% 114.465 -0.06%

20-10-2016 286.995 10052.43 0.48% 1.60% 618.79 -0.08% 114.53 0.01%

19-10-2016 285.615 9894.44 1.12% 2.45% 619.28 2.36% 114.515 0.47%

18-10-2016 282.461 9657.44 0.46% 0.88% 605.02 0.41% 113.98 -0.37%

17-10-2016 281.18 9573.51 -1.21% -1.07% 602.56 -0.16% 114.401 -0.07%

14-10-2016 284.63 9677.19 1.40% 3.32% 603.54 1.07% 114.477 -0.07%

13-10-2016 280.687 9366.14 -1.08% -2.57% 597.15 -0.57% 114.554 0.07%

12-10-2016 283.743 9613.01 -1.77% 0.41% 600.59 -0.89% 114.472 -0.13%

11-10-2016 288.868 9573.51 -0.61% -0.10% 606 -0.96% 114.619 -0.31%

10-10-2016 290.642 9583.38 0.79% 0.99% 611.9 1.88% 114.973 -0.29%

07-10-2016 288.375 9489.57 -0.51% -1.79% 600.59 -2.16% 115.311 -0.19%

06-10-2016 289.853 9662.38 0.20% -0.31% 613.87 -0.16% 115.536 -0.37%

05-10-2016 289.262 9692 0.82% 0.82% 614.85 -1.11% 115.962 -0.08%

04-10-2016 286.896 9613.01 0.66% 0.78% 621.74 -0.16% 116.058 -0.47%

03-10-2016 285.024 9538.95 -0.79% -0.62% 622.72 0.16% 116.601 0.25%

30-09-2016 287.291 9598.2 1.08% 0.10% 621.74 -0.71% 116.31 -0.15%

29-09-2016 284.235 9588.32 -0.38% 0.94% 626.17 0.55% 116.487 0.11%

28-09-2016 285.319 9499.45 1.29% 0.89% 622.72 1.36% 116.361 0.09%

27-09-2016 281.673 9415.51 -1.89% -1.24% 614.36 -0.64% 116.252 0.10%

26-09-2016 287.093 9534.01 -0.58% -2.28% 618.3 -0.55% 116.136 0.34%

23-09-2016 288.769 9756.19 -0.34% -3.52% 621.74 -1.02% 115.743 0.27%

22-09-2016 289.755 10111.68 0.58% 3.43% 628.13 1.83% 115.431 -0.07%

21-09-2016 288.079 9775.94 0.45% -0.50% 616.82 0.56% 115.511 0.06%

20-09-2016 286.798 9825.31 -0.17% -1.19% 613.38 1.63% 115.445 -0.20%

19-09-2016 287.291 9943.81 0.87% 0.50% 603.54 1.07% 115.682 0.43%

16-09-2016 284.827 9894.44 -0.28% -2.72% 597.15 -1.30% 115.185 0.05%

15-09-2016 285.615 10170.93 0.52% 0.00% 605.02 0.41% 115.128 -0.31%

14-09-2016 284.137 10170.93 -0.21% 0.39% 602.56 0.00% 115.491 0.27%

13-09-2016 284.728 10131.43 0.98% 1.68% 602.56 -0.16% 115.179 -0.53%

12-09-2016 281.969 9963.56 -1.17% -1.56% 603.54 0.25% 115.793 -0.52%

09-09-2016 285.319 10121.55 -0.55% 0.99% 602.06 -1.77% 116.401 -0.11%

08-09-2016 286.896 10022.81 -0.10% -0.10% 612.89 -1.19% 116.525 0.34%

07-09-2016 287.192 10032.68 -0.27% 0.99% 620.26 -0.47% 116.135 0.17%

06-09-2016 287.981 9933.93 -0.10% -2.71% 623.22 -1.63% 115.936 0.07%

05-09-2016 288.276 10210.43 0.10% 1.77% 633.55 0.31% 115.855 0.07%

02-09-2016 287.981 10032.68 0.93% 0.40% 631.58 2.31% 115.773 -0.32%

01-09-2016 285.319 9993.18 0.07% 1.45% 617.31 0.32% 116.141 0.01%

31-08-2016 285.122 9850 0.35% -0.25% 615.35 -0.87% 116.134 0.32%

30-08-2016 284.137 9874.69 0.24% 0.15% 620.76 0.80% 115.769 -0.13%

29-08-2016 283.447 9859.87 -0.21% 0.66% 615.84 0.16% 115.92 -0.07%

26-08-2016 284.038 9795.69 0.31% 0.97% 614.85 -0.08% 116.006 -0.06%

25-08-2016 283.151 9701.88 1.02% -1.26% 615.35 0.08% 116.079 -0.02%

24-08-2016 280.293 9825.31 0.11% 1.43% 614.85 -0.87% 116.107 0.03%

23-08-2016 279.997 9687.07 -0.98% 2.83% 620.26 0.16% 116.076 0.14%

22-08-2016 282.757 9420.45 0.14% 0.16% 619.28 0.16% 115.915 0.02%

19-08-2016 282.363 9405.64 0.17% 1.93% 618.3 -0.63% 115.891 0.36%

18-08-2016 281.87 9227.89 1.42% 2.81% 622.23 -1.71% 115.474 -0.20%

83

17-08-2016 277.928 8976.09 -1.05% -1.46% 633.05 -5.23% 115.705 -0.10%

16-08-2016 280.884 9109.4 -2.73% -0.49% 667.98 0.07% 115.817 0.02%

15-08-2016 288.769 9153.83 -0.20% -0.86% 667.49 1.73% 115.789 -0.19%

12-08-2016 289.36 9232.83 2.16% 3.14% 656.17 1.83% 116.008 0.04%

11-08-2016 283.25 8951.4 0.21% -0.60% 644.37 1.39% 115.966 0.42%

10-08-2016 282.658 9005.71 -11.81% -0.87% 635.51 -1.90% 115.485 0.04%

09-08-2016 320.504 9084.71 1.43% 1.55% 647.81 1.70% 115.442 -0.26%

08-08-2016 315.97 8946.47 -0.22% -0.17% 636.99 -1.30% 115.74 0.21%

05-08-2016 316.66 8961.28 0.22% 1.74% 645.35 -0.15% 115.501 0.32%

04-08-2016 315.97 8808.22 1.04% 1.36% 646.33 0.23% 115.137 0.00%

03-08-2016 312.718 8689.72 -2.13% 0.00% 644.86 -0.38% 115.142 -0.62%

02-08-2016 319.518 8689.72 -1.01% -1.07% 647.32 -0.75% 115.855 -0.05%

01-08-2016 322.771 8783.53 0.31% -1.50% 652.24 0.38% 115.916 0.10%

29-07-2016 321.785 8916.84 -0.49% 1.29% 649.78 -0.08% 115.796 0.29%

28-07-2016 323.362 8803.28 -0.82% 3.00% 650.27 0.76% 115.456 0.01%

27-07-2016 326.023 8546.54 -0.36% 1.70% 645.35 -0.38% 115.444 0.25%

26-07-2016 327.206 8403.36 0.39% 0.12% 647.81 0.38% 115.154 0.18%

25-07-2016 325.925 8393.48 -0.30% 0.00% 645.35 0.31% 114.95 0.07%

22-07-2016 326.91 8393.48 0.33% -0.18% 643.38 0.08% 114.874 -0.30%

21-07-2016 325.826 8408.3 0.03% -0.18% 642.89 0.62% 115.224 0.03%

20-07-2016 325.727 8423.11 -0.09% 1.97% 638.96 1.09% 115.19 -0.08%

19-07-2016 326.023 8260.18 0.18% 0.00% 632.07 -0.15% 115.278 0.14%

18-07-2016 325.432 8260.18 0.98% -1.30% 633.05 0.23% 115.12 -0.31%

15-07-2016 322.278 8368.8 -1.12% -2.36% 631.58 -0.46% 115.483 -0.19%

14-07-2016 325.925 8571.23 0.55% 0.29% 634.53 -0.39% 115.701 0.13%

13-07-2016 324.151 8546.54 0.03% -1.37% 636.99 0.54% 115.554 -0.56%

12-07-2016 324.052 8665.04 0.40% 0.86% 633.55 -0.15% 116.21 0.03%

11-07-2016 322.771 8590.98 1.02% 0.52% 634.53 1.50% 116.174 0.15%

08-07-2016 319.518 8546.54 0.15% 1.52% 625.18 0.47% 116.003 -0.23%

07-07-2016 319.026 8418.17 1.57% 4.54% 622.23 1.20% 116.269 0.21%

06-07-2016 314.098 8052.81 -1.21% -4.17% 614.85 -1.19% 116.022 0.31%

05-07-2016 317.942 8403.36 -0.34% -4.27% 622.23 -2.24% 115.661 -0.03%

04-07-2016 319.026 8778.6 -0.09% -0.06% 636.5 0.00% 115.694 0.14%

01-07-2016 319.321 8783.53 1.38% 2.18% 636.5 1.97% 115.531 -0.23%

30-06-2016 314.985 8595.91 1.52% 1.04% 624.2 4.44% 115.793 0.33%

29-06-2016 310.254 8507.04 3.86% 4.55% 597.64 1.67% 115.41 -0.08%

28-06-2016 298.723 8136.74 3.27% 1.73% 587.8 0.76% 115.497 0.25%

27-06-2016 289.262 7998.5 -4.08% -8.58% 583.37 -1.82% 115.204 1.26%

24-06-2016 301.581 8748.97 -2.55% -3.06% 594.19 -3.52% 113.765 -0.21%

23-06-2016 309.466 9025.46 2.11% 11.87% 615.84 1.13% 114.003 -0.05%

22-06-2016 303.06 8067.62 1.22% 0.62% 608.95 0.49% 114.064 -0.09%

21-06-2016 299.413 8018.25 -0.78% 0.68% 606 0.41% 114.168 -0.43%

20-06-2016 301.778 7963.93 3.10% 1.38% 603.54 2.59% 114.663 -0.19%

17-06-2016 292.711 7855.31 0.34% 1.73% 588.29 -0.67% 114.881 0.35%

16-06-2016 291.726 7722 -2.02% -2.74% 592.23 -1.23% 114.476 0.11%

15-06-2016 297.738 7939.25 1.75% 2.10% 599.61 0.41% 114.352 0.33%

14-06-2016 292.613 7776.32 -1.88% -4.60% 597.15 -0.90% 113.975 0.07%

13-06-2016 298.23 8151.55 -0.13% -2.08% 602.56 -0.73% 113.892 0.15%

10-06-2016 298.625 8324.36 -2.29% -2.82% 606.98 -2.53% 113.723 0.19%

09-06-2016 305.622 8566.29 -1.96% -3.45% 622.72 -1.09% 113.511 0.21%

08-06-2016 311.732 8872.41 -0.78% -0.17% 629.61 -0.39% 113.268 -0.11%

07-06-2016 314.196 8887.22 0.19% 4.65% 632.07 0.00% 113.395 0.21%

06-06-2016 313.605 8492.23 0.79% 1.42% 632.07 0.31% 113.161 0.48%

03-06-2016 311.141 8373.73 0.25% -1.40% 630.1 -0.77% 112.616 -0.14%

02-06-2016 310.353 8492.23 -0.63% -0.46% 635.02 0.00% 112.77 0.39%

01-06-2016 312.324 8531.73 -0.35% 0.35% 635.02 0.08% 112.328 -0.07%

31-05-2016 313.408 8502.11 -0.19% 0.35% 634.53 -0.69% 112.403 -0.41%

30-05-2016 313.999 8472.48 0.44% 0.59% 638.96 0.39% 112.863 0.27%

27-05-2016 312.62 8423.11 -1.40% -1.95% 636.5 0.31% 112.563 0.21%

26-05-2016 317.055 8590.98 0.28% 0.99% 634.53 0.78% 112.322 -0.02%

25-05-2016 316.168 8507.04 -0.12% -1.43% 629.61 1.11% 112.35 -0.19%

24-05-2016 316.562 8630.48 0.50% 0.00% 622.72 0.64% 112.569 0.41%

23-05-2016 314.985 8630.48 0.13% -0.96% 618.79 0.08% 112.105 0.05%

20-05-2016 314.591 8714.41 0.66% 2.14% 618.3 1.78% 112.054 -0.36%

19-05-2016 312.521 8531.73 -0.35% -1.93% 607.48 -1.36% 112.46 -0.03%

18-05-2016 313.605 8699.6 -0.38% -1.07% 615.84 -0.63% 112.492 -0.19%

17-05-2016 314.788 8793.41 0.76% 3.37% 619.77 0.00% 112.707 0.00%

16-05-2016 312.422 8507.04 0.00% 0.00% 619.77 0.00% 112.707 0.08%

13-05-2016 312.422 8507.04 0.76% -1.09% 619.77 -0.87% 112.617 -0.23%

12-05-2016 310.057 8600.85 -0.22% -0.11% 625.18 2.58% 112.88 -0.01%

84

11-05-2016 310.747 8610.73 -0.32% -0.68% 609.44 -2.90% 112.891 0.11%

10-05-2016 311.732 8669.97 0.54% -1.57% 627.64 -0.31% 112.766 0.67%

09-05-2016 310.057 8808.22 0.10% -3.62% 629.61 2.81% 112.012 0.00%

06-05-2016 309.761 9139.02 0.00% 0.00% 612.39 0.00% 112.012 0.00%

05-05-2016 309.761 9139.02 0.00% 0.00% 612.39 0.00% 112.012 0.32%

04-05-2016 309.761 9139.02 0.42% 6.38% 612.39 -1.19% 111.658 0.07%

03-05-2016 308.48 8590.98 -1.17% -2.47% 619.77 -0.16% 111.58 -0.20%

02-05-2016 312.127 8808.22 1.67% -2.41% 620.76 -0.31% 111.808 -0.18%

29-04-2016 307.002 9025.46 -1.49% 0.16% 622.72 -1.63% 112.01 0.54%

28-04-2016 311.634 9010.65 0.03% -2.72% 633.05 0.94% 111.409 -0.37%

27-04-2016 311.535 9262.46 2.10% 1.08% 627.15 0.95% 111.823 -0.23%

26-04-2016 305.129 9163.71 -1.43% -0.64% 621.25 0.40% 112.082 -0.22%

25-04-2016 309.564 9222.96 -1.35% -2.71% 618.79 -1.33% 112.332 -0.50%

22-04-2016 313.802 9479.7 0.00% 0.00% 627.15 0.00% 112.894 0.13%

21-04-2016 313.802 9479.7 6.77% 1.53% 627.15 -0.55% 112.752 -0.43%

20-04-2016 293.894 9336.52 -1.81% 2.44% 630.59 -0.77% 113.234 0.11%

19-04-2016 299.314 9114.34 3.76% 4.24% 635.51 2.95% 113.115 -0.17%

18-04-2016 288.473 8744.03 0.00% 0.06% 617.31 0.24% 113.305 0.38%

15-04-2016 288.473 8739.1 -0.03% 0.51% 615.84 0.16% 112.876 0.50%

14-04-2016 288.572 8694.66 3.06% 3.16% 614.85 2.29% 112.314 -1.00%

13-04-2016 279.997 8428.05 -0.56% 4.60% 601.08 -1.21% 113.448 0.02%

12-04-2016 281.574 8057.74 -2.69% -1.11% 608.46 0.65% 113.42 0.13%

11-04-2016 289.36 8148.23 -1.34% 1.72% 604.52 -1.84% 113.275 0.08%

08-04-2016 293.303 8010.12 0.85% 3.25% 615.84 0.64% 113.183 -0.16%

07-04-2016 290.839 7757.72 -0.07% -0.06% 611.9 -1.11% 113.362 0.57%

06-04-2016 291.036 7762.48 1.55% -0.49% 618.79 1.05% 112.716 0.11%

05-04-2016 286.601 7800.58 -1.59% -2.96% 612.39 -1.11% 112.592 -0.09%

04-04-2016 291.233 8038.7 1.20% -0.18% 619.28 1.53% 112.691 -0.03%

01-04-2016 287.783 8052.98 -0.82% -1.57% 609.94 -0.64% 112.723 -0.11%

31-03-2016 290.149 8181.56 -1.83% -2.99% 613.87 -0.80% 112.852 0.68%

30-03-2016 295.569 8433.96 1.59% 2.31% 618.79 2.61% 112.086 -0.08%

29-03-2016 290.937 8243.47 0.54% -1.93% 603.05 0.16% 112.18 0.06%

28-03-2016 289.36 8405.39 0.00% 0.00% 602.06 0.00% 112.114 0.27%

25-03-2016 289.36 8405.39 0.00% 0.00% 602.06 0.00% 111.814 0.33%

24-03-2016 289.36 8405.39 0.00% 0.00% 602.06 0.00% 111.449 0.73%

23-03-2016 289.36 8405.39 0.65% -1.94% 602.06 2.34% 110.642 -0.16%

22-03-2016 287.488 8572.07 0.34% 0.56% 588.29 0.76% 110.816 -0.27%

21-03-2016 286.502 8524.45 0.76% -1.54% 583.87 0.42% 111.12 0.12%

18-03-2016 284.334 8657.79 1.19% 2.54% 581.41 0.85% 110.982 -0.41%

17-03-2016 280.983 8443.49 -0.04% -1.50% 576.49 0.42% 111.436 0.18%

16-03-2016 281.082 8572.07 -0.35% 1.52% 574.06 -3.19% 111.234 -0.41%

15-03-2016 282.067 8443.49 -1.65% -1.61% 592.96 -0.16% 111.69 0.26%

14-03-2016 286.798 8581.59 0.76% 0.06% 593.93 1.74% 111.4 -0.10%

11-03-2016 284.63 8576.83 -0.99% 2.56% 583.75 1.77% 111.51 0.26%

10-03-2016 287.488 8362.53 -0.92% -3.52% 573.58 -0.42% 111.226 -0.29%

09-03-2016 290.149 8667.31 -0.10% -0.55% 576 0.08% 111.544 -0.57%

08-03-2016 290.444 8714.94 -0.77% -4.19% 575.52 -1.08% 112.183 -0.20%

07-03-2016 292.711 9095.92 -0.37% 0.10% 581.82 -0.58% 112.408 0.35%

04-03-2016 293.795 9086.39 0.91% 1.87% 585.21 0.92% 112.021 0.09%

03-03-2016 291.134 8919.71 -1.01% 1.35% 579.88 0.59% 111.92 -0.10%

02-03-2016 294.091 8800.66 -0.93% 2.95% 576.49 -0.83% 112.036 0.55%

01-03-2016 296.851 8548.26 2.10% -0.66% 581.33 1.10% 111.427 -0.21%

29-02-2016 290.74 8605.4 0.37% 3.14% 575.03 -0.50% 111.664 -0.11%

26-02-2016 289.656 8343.48 1.34% 5.10% 577.94 0.25% 111.786 0.51%

25-02-2016 285.812 7938.69 0.59% 2.58% 576.49 2.32% 111.222 0.20%

24-02-2016 284.137 7738.67 -2.73% -3.16% 563.41 -4.59% 110.999

23-02-2016 292.121 7991.07 -0.27% -1.64% 590.54 0.58%

22-02-2016 292.9 8124.42 2.31% 3.77% 587.14 0.08%

19-02-2016 286.279 7829.16 586.66

85

Bilag 2 - 5.6.1 Eksempel på MVP

Date Mærsk-B BAC Returns M Returns B Std.afv. MStd.afv. B Kovarians Korrelation W (M) W(B) Porteføljeafk. Porteføljerisiko MVP Sharpe

01-12-2016 11121.97 22.03284 21.05% 4.64% 8.31% 11.56% -0.00061 -0.0630492 1 0 2.55% 8.31% 0.3069

01-11-2016 9187.71 21.05582 -10.48% 28.47% Varians Varians 0.9 0.1 2.60% 7.49% 0.3472

03-10-2016 10263.4 16.38905 7.00% 5.43% 0.006903 0.013354 0.8 0.2 2.65% 6.90% 0.3848

01-09-2016 9592.33 15.54477 -2.56% -3.04% 0.7 0.3 2.71% 6.58% 0.4112

01-08-2016 9843.98 16.03147 10.47% 11.91% 0.6 0.4 2.76% 6.58% 0.4191

01-07-2016 8911.39 14.32589 3.73% 9.19% 0.5 0.5 2.81% 6.90% 0.4072

01-06-2016 8590.66 13.11971 1.10% -9.97% 0.4 0.6 2.86% 7.50% 0.3817

02-05-2016 8496.91 14.57306 -5.80% 1.58% 0.3 0.7 2.91% 8.31% 0.3505

01-04-2016 9019.95 14.34644 10.31% 7.69% 0.2 0.8 2.97% 9.29% 0.3193

01-03-2016 8176.56 13.32169 -4.93% 8.40% 0.1 0.9 3.02% 10.38% 0.2907

01-02-2016 8600.14 12.2896 2.44% -11.46% 0 1 3.07% 11.56% 0.2657

01-01-2016 8395.49 13.87978 -1.73% -15.98% W(M) 0.6503

31-12-2015 8543.03 16.52028 W(B) 0.3497

Mean 2.55% 3.07% Porteføljeafk. 2.7319% 0.41774

Porteføljerisiko 6.5397%

Solver for optimal afkast/risiko (Sharpe):

W(M) 0.6123

W(B) 0.3877

Porteføljeafk. 2.7516%

Porteføljerisiko 6.5633%

Sharpe 0.4192

86

Bilag 3 - 5.7.1 Eksempel med Value at Risk

Genmab Pandora Genmab Pandora Genmab Pandora Genmab Pandora Port. Port.

Date Open High Low Close Volume Adj Close Adj Close Returns Returns Std.afv. Std.afv. Varians Varians Kov. Korr.

26-12-2016 1141 1178 1141 1173 120400 1173 913.99 2.80% 3.07% 5.76% 5.50% 0.0033183 0.00302626 0.000715 0.2256291

19-12-2016 1141 1175 1126 1141 186900 1141 886.78 0.18% 4.24% Weekly Weekly 0.2256291

12-12-2016 1193 1198 1133 1139 238400 1139 850.68 -5.08% 1.84% 41.54% 39.67%

05-12-2016 1180 1208 1141 1200 318700 1200 835.35 1.69% 2.24%

28-11-2016 1253 1254 1164 1180 286800 1180 817.05 -5.75% 0.43%

21-11-2016 1243 1338 1209 1252 348900 1252 813.59 0.48% -0.90%

14-11-2016 1201 1254 1200 1246 262900 1246 821.01 3.83% 2.98%

07-11-2016 1170 1260 1141 1200 466400 1200 797.27 3.63% 0.12%

31-10-2016 1123 1197 1041 1158 477700 1158 796.28 2.48% -8.52%

24-10-2016 1148 1157 1093 1130 207800 1130 870.46 -0.44% -4.14%

17-10-2016 1113 1162 1109 1135 212200 1135 908.05 1.07% 12.22%

10-10-2016 1145 1158 1091 1123 211000 1123 809.14 -1.14% 4.20%

03-10-2016 1134 1144 1102 1136 171100 1136 776.49 0.53% -2.00%

26-09-2016 1133 1152 1093 1130 213700 1130 792.32 -1.14% 0.13%

19-09-2016 1103 1184 1092 1143 284700 1143 791.33 3.63% 0.06%

12-09-2016 981 1104 970 1103 409600 1103 790.84 10.30% 1.20%

05-09-2016 1055 1064 998 1000 253900 1000 781.44 -4.67% -5.16%

29-08-2016 1089 1099 1049 1049 274900 1049 823.97 -4.11% -1.94%

22-08-2016 1120 1175 1085 1094 332600 1094 840.29 -1.35% -2.53%

15-08-2016 1131 1152 1067 1109 338600 1109 862.06 -2.03% -1.52%

08-08-2016 1229 1261 1132 1132 459700 1132 875.41 -7.44% 0.97%

01-08-2016 1213 1239 1198 1223 245000 1223 867 1.41% 1.21%

25-07-2016 1145 1226 1145 1206 304100 1206 856.62 5.05% -3.35%

18-07-2016 1142 1174 1125 1148 263100 1148 886.29 0.53% 5.10%

11-07-2016 1219 1230 1141 1142 328300 1142 843.26 -4.99% 0.00%

04-07-2016 1242 1251 1166 1202 344000 1202 843.26 -2.83% -5.65%

27-06-2016 1120 1249 1078 1237 524800 1237 893.71 9.76% 2.15%

20-06-2016 1150 1178 970 1127 703200 1127 874.91 2.73% -4.07%

13-06-2016 1140 1141 1044 1097 727300 1097 912.01 -5.51% -2.28%

06-06-2016 1260 1294 1152 1161 593500 1161 933.28 -6.45% -2.68%

30-05-2016 1177 1246 1171 1241 386000 1241 958.99 5.44% -2.47%

23-05-2016 1133 1246 1133 1177 670800 1177 983.23 4.16% 0.71%

16-05-2016 1009 1130 1006 1130 346400 1130 976.3 11.99% 1.60%

09-05-2016 963 1017 959.5 1009 413000 1009 960.97 6.15% 15.59%

02-05-2016 963 974 947.5 950.5 137800 950.5 831.39 -1.30% -0.41%

25-04-2016 961 976 949 963 252600 963 834.85 -0.77% 3.18%

18-04-2016 924.5 980 923 970.5 336700 970.5 809.14 4.35% -4.33%

11-04-2016 946 947.5 912.5 930 360000 930 845.73 -1.54% -1.56%

04-04-2016 925.5 947 887 944.5 510400 944.5 859.09 2.27% -0.57%

28-03-2016 856 925 838.5 923.5 304600 923.5 864.03 7.89% 2.83%

21-03-2016 819 863.5 811 856 184800 856 840.29 4.52% 2.84%

14-03-2016 816 837 803.5 819 292700 819 817.05 1.30% 0.18%

07-03-2016 829 831.5 792 808.5 390000 808.5 815.56 -1.40% -4.01%

29-02-2016 850 879 808.5 820 1091000 820 849.66 -2.96% 0.11%

22-02-2016 779 849.5 771 845 553000 845 848.69 10.67% 3.94%

15-02-2016 678.5 771.5 664.5 763.5 724400 763.5 816.53 17.64% 8.69%

08-02-2016 748 749.5 605.5 649 793300 649 751.25 -13.47% -11.63%

01-02-2016 861.5 867 720 750 453300 750 850.15 -12.69% -4.85%

25-01-2016 851.5 882.5 830 859 298400 859 893.51 2.08% 4.09%

18-01-2016 801 848 792 841.5 356800 841.5 858.43 2.75% 6.27%

11-01-2016 855 897 815.5 819 409000 819 807.76 -6.77% -5.80%

04-01-2016 907 931 872.5 878.5 335300 878.5 857.46 -4.25% 0.92%

28-12-2015 921 937 911 917.5 138200 917.5 849.66 -0.22% 3.38%

21-12-2015 915.5 922 897.5 919.5 132300 919.5 821.89 0.44% 2.18%

14-12-2015 914.5 937 897 915.5 375100 915.5 804.35 0.49% 2.80%

07-12-2015 993 993 911 911 441500 911 782.43 -1.62% -5.75%

30-11-2015 898.5 940 884.5 926 448800 926 830.17 3.75% 3.33%

23-11-2015 846 895 820 892.5 319700 892.5 803.38 6.19% -0.48%

16-11-2015 730 850 722 840.5 573500 840.5 807.28 14.43% -0.54%

09-11-2015 712 746 700 734.5 314800 734.5 811.66 4.18% 5.71%

02-11-2015 661 711.5 661 705 346600 705 767.81 5.38% 0.70%

26-10-2015 649.5 674.5 647 669 266000 669 762.45 3.56% 0.45%

19-10-2015 629 648 622 646 197900 646 759.04 2.87% 2.63%

12-10-2015 622 628 591 628 215300 628 739.56 0.96% -4.29%

05-10-2015 635 644.5 619.5 622 245700 622 772.69 -0.16% 2.32%

28-09-2015 646.5 648.5 591.5 623 370300 623 755.15 -4.74% -3.37%

21-09-2015 655 664 634 654 328300 654 781.45 1.16% 1.39%

14-09-2015 648.5 660 627 646.5 407400 646.5 770.74 -0.39% 2.20%

07-09-2015 630 654 624.5 649 324500 649 754.17 5.96% 1.18%

31-08-2015 593 636.5 572.5 612.5 384200 612.5 745.4 3.55% 1.73%

24-08-2015 546 620 501 591.5 610900 591.5 732.74 2.87% 0.94%

17-08-2015 639.5 639.5 560 575 344300 575 725.92 -10.02% -7.11%

10-08-2015 627 646.5 587 639 310200 639 781.45 2.08% 2.36%

87

03-08-2015 638 657.5 618 626 244800 626 763.43 -2.11% 2.55%

27-07-2015 668 668 623 639.5 295800 639.5 744.43 -4.91% -1.99%

20-07-2015 688.5 693.5 660 672.5 221200 672.5 759.53 -1.61% 0.32%

13-07-2015 610 687 610 683.5 322000 683.5 757.1 12.14% 2.91%

06-07-2015 568 614 565 609.5 269400 609.5 735.66 5.18% 0.60%

29-06-2015 560.5 600.5 557 579.5 249700 579.5 731.27 -2.61% 3.30%

22-06-2015 590 608 580 595 271500 595 707.89 3.03% 4.23%

15-06-2015 600.5 604.5 562.5 577.5 358600 577.5 679.14 -5.17% 0.07%

08-06-2015 605 632 587.5 609 353300 609 678.66 2.70% 3.96%

01-06-2015 602 613.5 580 593 310500 593 652.84 -0.59% -1.90%

25-05-2015 577.5 602 567 596.5 261500 596.5 665.5 3.29% -1.59%

18-05-2015 561 597.5 550.5 577.5 337700 577.5 676.22 3.22% 1.91%

11-05-2015 541 566.5 523 559.5 191300 559.5 663.55 4.19% -1.80%

04-05-2015 525 554 503.5 537 310700 537 675.73 4.47% 0.58%

27-04-2015 550 577.5 471 514 363500 514 671.84 -5.77% -4.76%

20-04-2015 510 545.5 510 545.5 257200 545.5 705.45 6.03% 9.28%

13-04-2015 538.5 542 506.5 514.5 320900 514.5 645.53 -4.37% -1.12%

06-04-2015 518 540.5 515.5 538 181500 538 652.84 3.86% 5.18%

30-03-2015 519.5 543 507 518 242600 518 620.68 0.39% 5.20%

23-03-2015 532.5 535.5 453.1 516 607700 516 589.99 -3.55% -2.26%

16-03-2015 548 558 525 535 299800 535 603.63 -2.19% 0.59%

09-03-2015 547.5 555.5 530.5 547 288600 547 600.07 0.46% 1.38%

02-03-2015 495 552.5 482.1 544.5 365800 544.5 591.91 10.45% 1.31%

23-02-2015 475.8 502 475.8 493 217900 493 584.23 3.79% 5.64%

16-02-2015 486 486 465 475 278000 475 553.02 -2.26% 25.82%

09-02-2015 464 489.8 460.6 486 212900 486 439.54 5.06% 6.96%

02-02-2015 442.8 486.9 400 462.6 589600 462.6 410.93 4.47% -9.45%

26-01-2015 413.6 448.5 410.4 442.8 257100 442.8 453.84 7.11% 0.87%

19-01-2015 395.5 416.5 394 413.4 259300 413.4 449.91 5.27% 4.06%

12-01-2015 377 396 374.8 392.7 188800 392.7 432.34 4.72% -6.79%

05-01-2015 372.1 377 352 375 198300 375 463.83 0.94% -5.18%

29-12-2014 354 374 354 371.5 88500 371.5 489.18 4.85% 1.96%

22-12-2014 353.9 362.6 352 354.3 83700 354.3 479.77 0.45% -0.06%

15-12-2014 340 365 327.9 352.7 248300 352.7 480.06 3.43% -2.82%

08-12-2014 308 343.4 308 341 344700 341 493.98 12.95% -2.92%

01-12-2014 297 308.6 293.6 301.9 188300 301.9 508.86 2.10% -0.19%

24-11-2014 281.5 299.5 280 295.7 195600 295.7 509.82 5.42% 7.12%

17-11-2014 271.2 282.8 263.7 280.5 156600 280.5 475.93 2.48% 1.27%

10-11-2014 269 279.8 266.1 273.7 154200 273.7 469.97 1.75% -0.85%

03-11-2014 263 275 260 269 323700 269 474.01 3.90% -1.26%

27-10-2014 250.1 260.7 242.6 258.9 181200 258.9 480.06 4.19% 5.84%

20-10-2014 234.2 255 230.8 248.5 255400 248.5 453.56 6.93% 6.81%

13-10-2014 231.7 237.5 212.4 232.4 254800 232.4 424.66 -1.73% 1.91%

06-10-2014 257.2 258.2 233.2 236.5 224700 236.5 416.69 -7.80% -6.46%

29-09-2014 250.7 258.1 248.1 256.5 204100 256.5 445.49 1.87% 1.49%

22-09-2014 235.5 251.8 233.5 251.8 192900 251.8 438.96 5.89% -0.50%

15-09-2014 233.5 237.8 230.3 237.8 103000 237.8 441.17 1.32% 4.67%

08-09-2014 222.7 238 222.6 234.7 136500 234.7 421.49 5.25% 2.33%

01-09-2014 227 228.6 221.5 223 76200 223 411.89 -1.46% 1.23%

25-08-2014 226.9 234 225.2 226.3 136900 226.3 406.9 0.67% -1.05%

18-08-2014 229.2 232.5 221.5 224.8 159900 224.8 411.22 -1.23% 1.01%

11-08-2014 225 237.7 225 227.6 196400 227.6 407.09 1.97% 16.42%

04-08-2014 223.4 229.5 217.3 223.2 232400 223.2 349.67 0.77% -3.37%

28-07-2014 220.5 232.4 215.2 221.5 193800 221.5 361.87 0.91% -6.64%

21-07-2014 213.8 221.3 205.1 219.5 124100 219.5 387.6 5.28% -2.56%

14-07-2014 213.9 216.2 204.8 208.5 95100 208.5 397.77 -1.33% -0.24%

07-07-2014 227.3 227.6 207.2 211.3 135600 211.3 398.73 -7.20% -2.37%

30-06-2014 227.5 234.5 226 227.7 203900 227.7 408.43 -3.84% 2.04%

23-06-2014 233 237 228 236.8 155000 236.8 400.27 1.46% 2.58%

16-06-2014 221.4 236.7 217.4 233.4 183300 233.4 390.19 5.47% 1.04%

09-06-2014 227.2 233.9 217.5 221.3 137500 221.3 386.16 -2.60% -2.73%

02-06-2014 221 236.2 215.2 227.2 285200 227.2 397.01 3.04% 2.30%

26-05-2014 205.8 221 205.5 220.5 160700 220.5 388.08 7.14% 2.07%

19-05-2014 210 214 180.1 205.8 323900 205.8 380.2 -2.70% 1.07%

12-05-2014 216.2 220.3 209 211.5 175000 211.5 376.17 -1.26% 11.43%

05-05-2014 214.2 217.2 207.4 214.2 265400 214.2 337.58 0.09% -3.32%

28-04-2014 198.8 216.3 197.7 214 205300 214 349.19 7.81% 4.60%

21-04-2014 192 214 192 198.5 270100 198.5 333.83 3.39% 2.11%

14-04-2014 199.8 200 180.6 192 387900 192 326.92 -4.00% -2.38%

07-04-2014 216.4 219.3 197.8 200 407200 200 334.89 -9.30% -5.29%

31-03-2014 225.3 227.7 216.5 220.5 237700 220.5 353.61 -2.00% 3.02%

24-03-2014 232.6 233.3 216.7 225 285400 225 343.24 -3.56% 3.35%

17-03-2014 236.9 245.8 233.3 233.3 165600 233.3 332.1 -1.77% 1.01%

10-03-2014 242 251.9 234.1 237.5 244300 237.5 328.77 -2.06% -3.75%

03-03-2014 238.9 260 232.5 242.5 449400 242.5 341.59 -0.70% -1.09%

88

24-02-2014 244 247.9 240 244.2 181100 244.2 345.36 -0.08% 5.41%

17-02-2014 235.7 247.8 233.6 244.4 341900 244.4 327.64 4.80% 7.58%

10-02-2014 213.2 234.2 208.8 233.2 277100 233.2 304.55 10.52% -0.58%

03-02-2014 219.1 220 199.7 211 222800 211 306.34 -3.92% 2.62%

27-01-2014 217.5 219.6 203.8 219.6 253300 219.6 298.52 -0.18% 2.79%

20-01-2014 234 235.8 219.2 220 235300 220 290.41 -6.58% -2.96%

13-01-2014 240.4 241.1 231.5 235.5 212000 235.5 299.27 -2.89% 0.86%

06-01-2014 231 242.8 221.1 242.5 426300 242.5 296.72 5.85% 2.01%

30-12-2013 215.1 231.8 210.5 229.1 162800 229.1 290.88 6.61% 2.46%

23-12-2013 218.1 223.8 213.2 214.9 82900 214.9 283.91 -3.42% 0.30%

16-12-2013 215.5 224 212.5 222.5 152100 222.5 283.06 2.91% 4.82%

09-12-2013 229.6 243.1 215.5 216.2 257100 216.2 270.05 -4.29% 3.06%

02-12-2013 228.1 230.9 208.6 225.9 212700 225.9 262.04 -0.70% -2.39%

25-11-2013 215 232.6 214 227.5 201400 227.5 268.45 6.71% 6.47%

18-11-2013 211.3 217.9 207.2 213.2 139200 213.2 252.14 1.14% -0.67%

11-11-2013 213.4 221.6 202.1 210.8 262000 210.8 253.84 -1.50% 3.86%

04-11-2013 234.6 254.9 208 214 355400 214 244.41 -10.08% -3.82%

28-10-2013 250.2 251.8 234.7 238 127200 238 254.12 -5.18% 7.92%

21-10-2013 244 253.9 243.2 251 126100 251 235.46 3.68% -2.65%

14-10-2013 236 243.5 232.1 242.1 101200 242.1 241.87 2.20% 3.59%

07-10-2013 232.2 242 225.3 236.9 186100 236.9 233.48 0.85% 5.99%

30-09-2013 234.1 238.9 226 234.9 190700 234.9 220.28 1.42% 1.92%

23-09-2013 218 235.9 212 231.6 259300 231.6 216.13 6.24% 0.92%

16-09-2013 200 219 185 218 262900 218 214.15 18.29% 1.97%

09-09-2013 171.5 190 169 184.3 269900 184.3 210.01 8.35% 8.90%

02-09-2013 168.9 172.4 166 170.1 112700 170.1 192.85 1.92% 0.69%

26-08-2013 171.5 179.5 163.4 166.9 155600 166.9 191.53 -2.11% -5.18%

19-08-2013 171.1 173.4 164.1 170.5 132900 170.5 202 -0.76% 3.68%

12-08-2013 173.2 183.6 165.7 171.8 196400 171.8 194.83 1.66% -5.36%

05-08-2013 158.4 176.9 157.4 169 159400 169 205.86 6.42% -6.18%

29-07-2013 163 170 156.2 158.8 135100 158.8 219.43 -4.34% 8.78%

22-07-2013 184 184 157 166 152700 166 201.71 -8.99% -0.70%

15-07-2013 176.3 186.9 176.2 182.4 123500 182.4 203.13 2.07% -4.22%

08-07-2013 177.8 181 175.4 178.7 92600 178.7 212.08 1.59% 5.39%

01-07-2013 174 181 166.2 175.9 143000 175.9 201.24 1.09% 9.94%

24-06-2013 170.3 188.5 153 174 350400 174 183.05 -1.69% 11.42%

17-06-2013 186 190.5 174.1 177 194500 177 164.29 -4.07% -6.29%

10-06-2013 216.7 219.5 183.7 184.5 553800 184.5 175.32 -14.03% -1.07%

03-06-2013 205 218.7 200 214.6 194300 214.6 177.21 4.17% -6.00%

27-05-2013 194.1 219 186.2 206 269900 206 188.52 7.57% -0.05%

20-05-2013 197.6 204.5 183.5 191.5 205100 191.5 188.61 -3.09% -6.93%

13-05-2013 162 200 160 197.6 343800 197.6 202.66 22.81% 14.36%

06-05-2013 156.3 162 152.6 160.9 171200 160.9 177.21 3.34% 4.91%

29-04-2013 149 162.9 143.9 155.7 234100 155.7 168.91 5.06% 3.28%

22-04-2013 147.1 149.9 146 148.2 83900 148.2 163.54 0.54% -0.17%

15-04-2013 153 157.5 130 147.4 206300 147.4 163.82 -3.60% -0.12%

08-04-2013 140.1 155 139.4 152.9 206600 152.9 164.01 10.48% 8.41%

01-04-2013 134.5 147 132 138.4 182500 138.4 151.28 2.90% 0.31%

25-03-2013 131.9 135.8 131.9 134.5 103100 134.5 150.81 4.26% 4.78%

18-03-2013 122.9 129.5 118.6 129 195100 129 143.93 4.79% 2.93%

11-03-2013 120 126.6 116.6 123.1 224900 123.1 139.83 5.12% -0.77%

04-03-2013 104.3 117.5 100.1 117.1 216100 117.1 140.92 11.74% 0.45%

25-02-2013 104.8 106 99.95 104.8 100100 104.8 140.29 1.06% 4.90%

18-02-2013 102.5 108.8 100 103.7 153500 103.7 133.74 1.67% 6.91%

11-02-2013 93.2 102 92.5 102 131300 102 125.1 7.71% -1.01%

04-02-2013 96.8 98.95 92.45 94.7 94000 94.7 126.38 -2.17% 0.00%

28-01-2013 103 103.4 96.15 96.8 139900 96.8 126.38 -6.56% 3.12%

21-01-2013 90 104.5 90 103.6 227600 103.6 122.56 15.18% -0.37%

14-01-2013 84.1 92 83.8 89.95 97000 89.95 123.01 8.11% -2.52%

07-01-2013 80.1 84.3 80.1 83.2 78500 83.2 126.19 5.99% 7.68%

31-12-2012 77.8 80 77.6 78.5 30500 78.5 117.19 0.90% 3.53%

24-12-2012 80.6 80.8 75.15 77.8 14600 77.8 113.19 -3.47% -0.40%

17-12-2012 84.45 85 79 80.6 57200 80.6 113.65 -3.93% -1.65%

10-12-2012 80 85.7 78.85 83.9 97400 83.9 115.56 4.61% -2.83%

03-12-2012 76.95 81.6 74.25 80.2 80700 80.2 118.92 5.18% 6.08%

26-11-2012 72.25 76.85 67.25 76.25 78700 76.25 112.1 5.54% 2.58%

19-11-2012 71 72.8 68.5 72.25 42500 72.25 109.28 3.96% 6.84%

12-11-2012 80.4 80.4 69.3 69.5 79000 69.5 102.28 -12.41% -0.45%

05-11-2012 84 84 79.1 79.35 41100 79.35 102.74 -4.40% 20.09%

29-10-2012 82.7 85 77.65 83 35800 83 85.55 0.06% 2.00%

22-10-2012 86.8 86.8 81.9 82.95 48400 82.95 83.87 -4.66% 6.22%

15-10-2012 82 89.95 81.05 87 110300 87 78.96 6.03% 2.96%

08-10-2012 78.6 82.45 76.9 82.05 71200 82.05 76.69 3.99% -1.34%

01-10-2012 72.95 79.45 72.9 78.9 106800 78.9 77.73 8.16% 8.21%

24-09-2012 73.2 74.95 72.25 72.95 62600 72.95 71.83 -0.14% -6.17%

89

17-09-2012 73.7 77.05 72.2 73.05 103000 73.05 76.55 -1.02% -5.92%

10-09-2012 80.3 80.3 71 73.8 92800 73.8 81.37 -7.75% 6.05%

03-09-2012 79 85 79 80 229500 80 76.73 1.91% 5.43%

27-08-2012 69.5 85 66 78.5 214300 78.5 72.78 12.95% 0.37%

20-08-2012 65 70.6 63.6 69.5 93200 69.5 72.51 6.76% -4.25%

13-08-2012 62.4 65.9 62 65.1 52500 65.1 75.73 4.33% 7.97%

06-08-2012 62 64 62 62.4 25900 62.4 70.14 -1.73% 26.47%

30-07-2012 62.75 63.75 62 63.5 33900 63.5 55.46 -0.31% 5.62%

23-07-2012 62.6 64.7 60.4 63.7 40800 63.7 52.51 1.11% -3.10%

16-07-2012 64.75 64.75 62 63 46800 63 54.19 -1.95% 12.90%

09-07-2012 56.2 65.95 56.2 64.25 84100 64.25 48 13.12% -1.23%

02-07-2012 58 58.3 54.55 56.8 36300 56.8 48.6 -2.82% -2.62%

25-06-2012 52.5 59.75 51 58.45 115600 58.45 49.91 9.66% -6.55%

18-06-2012 44 53.3 44 53.3 69100 53.3 53.41 20.72% -5.55%

11-06-2012 43 44.68 42.5 44.15 35700 44.15 56.55 2.72% 0.00%

04-06-2012 41.2 44 41.2 42.98 30400 42.98 56.55 3.57% 6.32%

28-05-2012 42.63 43 40.97 41.5 25500 41.5 53.19 -2.65% -2.65%

21-05-2012 42 43.29 41.8 42.63 15000 42.63 54.64 -0.56% -7.55%

14-05-2012 42.95 42.95 40 42.87 12600 42.87 59.1 0.09% -3.76%

07-05-2012 44.93 44.93 42 42.83 19900 42.83 61.41 -4.82% 6.21%

30-04-2012 45.05 46.5 44.5 45 17000 45 57.82 0.00% 4.94%

23-04-2012 45.84 46 45 45 17900 45 55.1 -0.99% -7.89%

16-04-2012 43.35 46.99 43.35 45.45 23100 45.45 59.82 3.41% -0.32%

09-04-2012 45.6 46.69 42.75 43.95 20800 43.95 60.01 -3.62% 0.77%

02-04-2012 46.5 48.74 40 45.6 25700 45.6 59.55 -1.30% 1.47%

26-03-2012 41.99 47.49 41.75 46.2 57500 46.2 58.69 11.81% -4.37%

19-03-2012 39.99 42.91 39.5 41.32 38200 41.32 61.37 5.41% -4.38%

12-03-2012 39.77 40 37.99 39.2 37400 39.2 64.18 0.51% -2.19%

05-03-2012 42 42 36.81 39 48100 39 65.62 -6.68% 4.64%

27-02-2012 42.41 43.44 41.19 41.79 24400 41.79 62.71 -1.67% -1.71%

20-02-2012 44.59 44.59 41.67 42.5 29300 42.5 63.8 -3.50% -7.91%

13-02-2012 42.11 44.33 41.78 44.04 36000 44.04 69.28 2.47% 2.11%

06-02-2012 46.12 46.4 38 42.98 54700 42.98 67.85 -4.49% 0.76%

30-01-2012 45.52 46.97 42.95 45 31900 45 67.34 -1.25% -0.19%

23-01-2012 49.7 50 45 45.57 79800 45.57 67.47 -7.72% -19.80%

16-01-2012 38.85 51.5 36.67 49.38 129900 49.38 84.13 26.62% 15.39%

09-01-2012 36 42.5 33.67 39 125900 39 72.91 7.50% 23.05%

02-01-2012 37 39.2 36.28 36.28 48200 36.28 59.25

90

Bilag 4 - 6.3.1 Tilgængelighed for hedgefonde

91

Bilag 5 - 6.4 Forventet afkast ud fra risikoappetit

92

Bilag 6 – Benchmarks Vestjysk Bank

93

94

Bilag 7 – Benchmarks Nykredit Invest

95

Bilag 8 - Benchmarks for PensionDanmark

96

97

Bilag 9 – Artikel fra Børsen, Stonehenge og BLS Invest

98

Bilag 10 - Stonehenges AUM

Stonehenge Globale Valueaktier AUM, mio. kr.

31-01-2010 35.4 28-02-2010 36.0 31-03-2010 39.0 30-04-2010 42.9 31-05-2010 43.8 30-06-2010 44.3 31-07-2010 44.3 31-08-2010 44.6 30-09-2010 44.9 31-10-2010 46.8 30-11-2010 53.7 31-12-2010 59.1 31-01-2011 62.0 28-02-2011 63.3 31-03-2011 68.2 30-04-2011 71.7 31-05-2011 75.9 30-06-2011 74.0 31-07-2011 73.9 31-08-2011 72.0 30-09-2011 71.9 31-10-2011 74.8 30-11-2011 78.6 31-12-2011 97.5 31-01-2012 106.3 29-02-2012 123.4 31-03-2012 129.0 30-04-2012 145.7 31-05-2012 148.8 30-06-2012 151.7 31-07-2012 159.6 31-08-2012 165.5 30-09-2012 171.2 31-10-2012 180.1 30-11-2012 184.2 31-12-2012 184.0 31-01-2013 192.0 28-02-2013 201.7 31-03-2013 249.7 30-04-2013 256.2 31-05-2013 261.2 30-06-2013 248.0 31-07-2013 257.5

99 31-08-2013 259.5

30-09-2013 266.9 31-10-2013 278.2 30-11-2013 289.7 31-12-2013 296.5 31-01-2014 304.1 28-02-2014 320.0 31-03-2014 318.5 30-04-2014 317.2 31-05-2014 322.0 30-06-2014 323.2 31-07-2014 320.6 31-08-2014 328.6 30-09-2014 330.2 31-10-2014 323.8 30-11-2014 348.2 31-12-2014 360.2 31-01-2015 404.0 28-02-2015 409.1 31-03-2015 442.5 30-04-2015 436.5 31-05-2015 442.6 30-06-2015 445.3 31-07-2015 471.5 31-08-2015 441.0 30-09-2015 716.2 31-10-2015 779.8 30-11-2015 808.3 31-12-2015 787.9 31-01-2016 765.1 29-02-2016 759.7 31-03-2016 771.0 30-04-2016 740.6 31-05-2016 827.5 30-06-2016 846.8 31-07-2016 866.0 31-08-2016 876.8 30-09-2016 870.6 31-10-2016 853.2 30-11-2016 844.1 31-12-2016 895.3 31-01-2017 886.6 28-02-2017 908.0

100

Bilag 11 – S&P Global Infrastructure Index Fact Sheet

101

102

103

104

105

106

Bilag 12 - S&P Global REIT Index Fact Sheet

107

108

109

110

111

Bilag 13 – Bloomberg Commodity Index Fact Sheet

112

113

Bilag 14 - S&P Global Developed Sov. Bond Index Fact Sheet

114

115

116

Bilag 15 – Artikel fra MSCI

117

118

119

120

121

Bilag 16 - Performanceanalyse

Kategori Hedge Hedge Hedge Hedge Hedge Hedge Private Equ. Commodit. Real estate Infrastr. Hedge Equities Fixed Inc. (Gov.)

Index ELS ED FIA GM MA MS PRIVEXPD BCOMTR SREITGUP SPGTIND Barclay Hedge MSCI Wld SPGDSBI

Std.dev. monthly 1.50% 1.80% 1.72% 1.40% 0.93% 1.45% 7.63% 5.10% 6.87% 5.39% 1.95% 4.58% 0.76%

Std.dev. p.a. 5.18% 6.23% 5.94% 4.83% 3.24% 5.04% 26.44% 17.67% 23.80% 18.68% 6.75% 15.86% 2.64%

Varians 0.02% 0.03% 0.03% 0.02% 0.01% 0.02% 0.58% 0.26% 0.47% 0.29% 0.04% 0.21% 0.01%

Beta to Fixed Inc. -0.51 -0.60 -0.56 -0.32 -0.30 -0.50 -3.55 -0.71 -2.33 -1.74

Beta to MSCI W. 0.28 0.32 0.21 0.17 0.12 0.23 1.52 0.63 1.21 1.05

Beta to Hedge 0.73 0.87 0.60 0.48 0.33 0.67 3.23 1.68 2.24 2.18

Korrelation(Fixed) -0.26 -0.25 -0.24 -0.18 -0.25 -0.25 -0.34 -0.10 -0.26 -0.25 -0.29 -0.31 n/a

Korrelation(MSCI) 0.86 0.82 0.56 0.56 0.59 0.73 0.91 0.57 0.77 0.85 0.91 n/a -0.31

Korrelation(Hedge) 0.95 0.94 0.68 0.67 0.70 0.90 0.83 0.64 0.62 0.77 n/a 0.91 -0.29

Yield monthly 0.35% 0.48% 0.32% 0.33% 0.50% 0.46% 0.17% -0.28% 0.53% 0.33% 0.40% 0.53% 0.28%

Yield p.a. 4.20% 5.76% 3.84% 3.96% 6.00% 5.52% 2.04% -3.36% 6.36% 3.96% 4.80% 6.36% 3.36%

Median monthly 0.61% 0.66% 0.57% 0.29% 0.60% 0.63% 1.05% 0.26% 1.05% 0.93% 0.62% 1.10% 0.30%

Median p.a. 7.26% 7.86% 6.78% 3.42% 7.20% 7.56% 12.54% 3.06% 12.63% 11.17% 7.38% 13.23% 3.57%

Risk free rate 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50%

Sharpe ratio 0.52 0.68 0.39 0.51 1.39 0.80 0.02 -0.28 0.20 0.13 0.49 0.31 0.71

Treynor ratio(Fixed) -0.05 -0.07 -0.04 -0.08 -0.15 -0.08 0.00 0.07 -0.02 -0.01

Treynor ratio(MSCI) 0.10 0.13 0.11 0.14 0.37 0.17 0.00 -0.08 0.04 0.02

Treynor ratio(Hedge) 0.04 0.05 0.04 0.05 0.13 0.06 0.00 -0.03 0.02 0.01

Jensen's alpha(Fixed) 3.65% 5.38% 3.39% 3.05% 5.05% 4.95% 7.15% -3.53% 9.19% 5.69%

Jensen's alpha(MSCI) 1.34% 2.69% 1.33% 1.63% 3.91% 2.89% -6.85% -7.94% -1.04% -2.65%

Jensen's alpha(Hedge) 0.30% 1.39% 0.37% 0.89% 3.40% 1.80% -10.12% -10.40% -2.54% -4.73%

Year Month Returns Returns Returns Returns Returns Returns Returns Returns Returns Returns Returns Returns Returns

2006 Januar 3.23% 3.48% 0.70% 3.97% 3.00% 2.46% 4.49% 1.85% n/a n/a 3.50% 4.47% n/a

Februar 0.12% 0.81% 0.24% -0.64% 0.85% 1.09% -0.33% -6.26% n/a n/a 0.61% -0.15% n/a

Marts 2.41% 2.34% 0.88% 0.99% 1.77% 1.75% 2.15% 2.22% n/a n/a 1.97% 2.20% n/a

April 1.20% 1.72% 0.96% 3.08% 1.30% 1.20% 1.10% 6.78% n/a n/a 1.73% 3.04% n/a

Maj -2.36% -0.64% 0.67% -2.31% -0.05% 0.24% -4.06% 0.96% n/a n/a -1.84% -3.42% n/a

Juni -0.54% 0.21% 0.15% -0.25% 0.38% 0.23% -1.12% -1.55% n/a n/a -0.39% -0.03% n/a

Juli -0.31% -0.39% 0.65% -0.59% 0.60% 0.26% 0.83% 3.21% n/a n/a 0.02% 0.62% n/a

August 0.79% 1.12% 0.03% -0.73% 0.63% 0.58% 4.54% -3.60% n/a n/a 0.96% 2.60% n/a

September -0.26% 0.12% -0.14% -1.17% 0.74% 0.18% 1.09% -6.02% n/a n/a 0.11% 1.19% n/a

Oktober 1.42% 2.25% 0.84% 1.52% 1.55% 1.35% 6.00% 4.74% n/a n/a 1.80% 3.67% n/a

November 0.94% 1.58% 0.34% 2.81% 1.08% 1.79% 4.44% 5.47% n/a n/a 1.76% 2.45% n/a

December 1.23% 2.06% 0.58% 1.09% 1.40% 1.96% 3.15% -4.59% n/a n/a 1.61% 2.03% n/a

2007 Januar 1.03% 1.75% 1.17% 0.42% 2.66% 1.37% 2.42% 0.21% n/a n/a 1.13% 1.18% n/a

Februar 0.70% 1.67% 1.52% 0.20% 2.30% 1.30% 2.17% 3.37% n/a n/a 0.79% -0.52% n/a

Marts 0.80% 1.14% 0.48% -0.33% 0.34% 1.13% 1.29% 0.97% 0.97% 0.73% 0.91% 1.83% 0.15%

April 1.24% 1.87% 0.60% 1.69% 1.48% 1.58% 3.15% 1.16% -1.04% 3.24% 1.59% 4.41% -0.76%

Maj 1.93% 1.96% 0.29% 1.82% 2.42% 1.49% 2.57% 0.13% 1.51% 3.73% 2.00% 2.80% -0.09%

Juni 0.93% 0.06% -3.27% 1.05% 0.60% 0.44% -3.52% -1.40% -6.41% 0.65% 0.72% -0.77% 1.01%

Juli 0.15% -0.03% -0.59% 0.79% 1.11% 0.49% -3.96% 2.08% -8.19% -2.49% 0.37% -2.21% 0.85%

August -1.16% -1.39% -1.30% -2.03% 0.04% -1.42% -1.74% -3.63% 3.94% 1.56% -1.45% -0.08% 0.26%

September 1.63% 1.25% 1.84% 3.87% 1.31% 1.53% 0.17% 8.00% 7.11% 8.86% 2.51% 4.76% 0.67%

Oktober 1.99% 2.52% 1.18% 3.13% 2.31% 2.61% 3.80% 3.33% -3.18% 4.62% 2.87% 3.07% 1.28%

November -1.86% -2.46% -2.23% -0.99% -1.53% -1.48% -5.78% -3.14% -6.37% -2.03% -2.07% -4.09% -0.16%

December 0.35% -0.15% -0.17% 1.37% 0.18% 0.21% -9.53% 4.63% -4.58% -0.01% 0.52% -1.29% 1.53%

2008 Januar -2.79% -2.57% -0.12% 0.29% -0.88% -0.95% -7.95% 4.22% -0.01% -6.44% -3.26% -7.64% 0.58%

Februar 0.84% 1.32% -0.20% 3.62% 1.15% 1.23% 3.90% 12.28% -2.01% 1.69% 1.23% -0.58% -0.29%

Marts -1.87% -1.83% -5.64% -2.39% -0.96% -2.29% -1.54% -6.34% 5.96% -3.33% -2.38% -0.96% -0.61%

April 1.74% 0.88% 1.52% 0.88% 1.17% 0.62% 2.10% 3.56% 1.65% 3.85% 1.93% 5.26% -0.83%

Maj 1.84% 1.82% 1.90% 1.00% 1.75% 1.73% 0.72% 2.73% -3.84% 1.90% 1.82% 1.52% 0.04%

Juni -0.92% -1.75% 0.43% 0.32% -0.86% -0.40% -16.25% 9.10% -11.15% -7.67% -1.73% -7.98% 1.00%

Juli -1.71% -1.90% -1.11% -1.96% -0.21% -2.24% 2.11% -11.85% 2.24% -4.57% -2.10% -2.44% 0.93%

August -0.62% -0.86% -0.22% -0.91% 0.64% -0.38% -5.70% -7.28% -0.46% -4.47% -1.21% -1.40% 0.49%

September -4.92% -5.72% -4.18% -3.27% -3.60% -7.62% -16.52% -11.53% -5.02% -11.41% -6.99% -11.89% 0.53%

Oktober -3.76% -4.50% -13.55% -0.19% -2.66% -7.11% -31.32% -21.28% -27.62% -17.45% -8.41% -18.96% 2.59%

November -1.03% -2.87% -3.27% 0.55% -0.64% -2.07% -17.78% -6.96% -22.91% -7.94% -2.80% -6.47% 1.51%

December 0.89% -0.79% -3.18% 1.60% 1.83% 0.35% -6.87% -4.48% 18.96% 15.93% 0.37% 3.21% -1.00%

2009 Januar 0.22% 1.49% 0.17% -0.59% 0.75% 2.99% -18.98% -5.38% -13.99% -10.45% -0.14% -8.76% 0.32%

Februar -1.41% -0.92% 0.16% -1.47% -0.07% 0.75% -22.11% -4.43% -24.27% -20.47% -1.46% -10.24% 0.69%

Marts 1.29% 1.53% -1.06% 0.53% 1.29% 1.05% 16.76% 3.60% 11.78% 5.89% 2.04% 7.54% -0.44%

April 2.87% 4.40% 0.83% 1.04% 1.26% 2.65% 27.67% 0.73% 17.80% 8.19% 4.27% 11.22% -1.03%

Maj 3.80% 5.23% 2.46% 3.78% 1.31% 3.88% 18.96% 13.00% 9.95% 16.83% 5.57% 9.06% 0.91%

Juni -0.09% 1.29% 1.94% -1.33% 1.12% 1.27% 2.77% -1.90% -2.55% 1.15% 0.37% -0.45% 0.25%

Juli 1.72% 3.26% 2.18% 1.35% 1.08% 2.80% 8.66% 3.23% 14.42% 8.44% 2.97% 8.47% 1.06%

August 1.88% 2.51% 1.88% 0.20% 1.16% 1.85% 10.62% -0.58% 9.11% 1.86% 1.78% 4.13% 0.57%

September 2.23% 3.54% 4.23% 2.54% 1.16% 2.69% -2.32% 1.57% 7.39% 3.24% 3.19% 3.99% -0.30%

Oktober -1.02% 0.05% 2.55% -0.07% 0.61% 0.79% -2.42% 3.28% -0.26% -2.32% -0.06% -1.78% 0.91%

November 0.68% 1.59% 1.22% 1.90% 0.61% 1.13% 0.88% 3.52% 5.49% 5.44% 1.33% 4.09% -1.06%

December 1.52% 2.02% 1.77% -0.51% 0.86% 1.39% 1.03% 1.98% 1.90% 2.51% 1.84% 1.80% 0.63%

2010 Januar -0.40% 0.69% 1.91% -1.23% 0.67% 1.12% 1.83% -7.28% -3.76% -3.87% -0.41% -4.13% 0.40%

Februar 0.61% 0.85% 0.26% 0.41% 0.61% 0.65% -1.30% 3.71% 2.72% -1.91% 0.76% 1.41% 0.07%

Marts 2.02% 2.78% 1.52% 1.82% 0.70% 1.59% 10.48% -1.24% 5.91% 4.35% 2.82% 6.19% 0.17%

April 0.95% 1.30% 1.98% 0.28% 0.16% 0.91% 2.21% 1.94% 6.06% -0.37% 1.27% 0.01% 1.07%

Maj -3.01% -2.53% -1.21% -1.81% -0.85% -1.78% -14.78% -6.92% -8.72% -11.30% -3.23% -9.58% 0.70%

Juni -1.67% -1.06% 0.82% 0.18% 0.46% -0.58% -5.69% 0.32% -1.98% -0.77% -1.05% -3.43% 0.46%

Juli 1.39% 1.19% 1.50% 0.37% 1.15% 1.54% 9.96% 6.77% 13.77% 12.24% 1.93% 8.11% 1.14%

August -0.79% -0.54% 1.19% 0.90% 1.06% 0.56% -4.80% -2.55% -0.52% 1.39% -0.40% -3.73% 0.12%

122

September 2.72% 2.55% 1.32% 2.94% 1.10% 1.94% 11.63% 7.26% 4.28% 7.47% 3.47% 9.32% -0.22%

Oktober 1.72% 1.66% 0.79% 1.25% 0.28% 1.99% 7.26% 4.98% 5.33% 4.58% 1.98% 3.73% -1.40%

November 0.62% 0.40% 0.49% -0.52% -0.24% 0.38% -2.60% -0.35% -3.58% -4.03% 0.51% -2.16% -0.08%

December 3.05% 2.40% 0.55% 2.06% 0.82% 2.03% 10.13% 10.69% 4.55% 4.53% 2.93% 7.35% -0.48%

2011 Januar 0.65% 0.87% 1.74% -0.63% 0.63% 1.22% 1.35% 1.00% 2.68% 5.36% 0.44% 2.26% 0.06%

Februar 1.19% 1.54% 1.30% 0.79% 0.55% 1.27% 5.17% 1.32% 3.44% 1.74% 1.16% 3.50% -0.11%

Marts -0.33% 0.11% 0.43% -0.46% 0.33% -0.09% -3.17% 2.06% 2.00% -0.29% 0.23% -0.99% 0.55%

April 0.80% 0.93% 1.11% 1.80% 0.74% 0.56% 3.00% 3.46% 6.18% 5.63% 1.14% 4.25% 1.00%

Maj -0.49% -0.52% 0.49% -1.47% 0.14% -0.62% -3.07% -5.06% -1.35% -2.16% -0.85% -2.07% -0.25%

Juni -0.80% -1.51% -0.32% -1.58% 0.18% -0.85% -4.03% -5.04% 0.67% -0.52% -1.05% -1.58% 0.89%

Juli -0.25% -0.03% 0.26% 0.79% -0.43% -0.09% -1.52% 2.96% -0.70% -2.68% -0.09% -1.81% 1.43%

August -3.43% -3.73% -1.39% -1.46% -0.81% -1.93% -13.42% 1.00% -2.71% -4.77% -3.69% -7.05% 0.91%

September -3.35% -3.63% -0.51% -1.67% 0.11% -1.99% -14.25% -14.73% -14.00% -7.84% -4.29% -8.64% -0.43%

Oktober 2.74% 3.52% 1.15% 0.93% 1.37% 1.50% 12.60% 6.62% 7.97% 2.06% 3.45% 10.34% -0.49%

November -0.89% -0.48% -0.25% -0.63% 0.36% -0.78% -7.09% -2.22% -1.29% -2.17% -1.37% -2.44% 1.10%

December -0.37% -0.64% 0.44% -0.05% 0.58% -0.44% -2.42% -3.75% 2.82% 1.01% -0.45% -0.06% 0.62%

2012 Januar 2.36% 2.86% 1.41% 1.94% 0.69% 1.71% 9.98% 2.47% 7.62% 4.34% 3.10% 5.02% 0.17%

Februar 2.34% 1.99% 1.10% 1.41% 1.16% 1.04% 6.98% 2.70% 1.26% 5.17% 2.31% 4.88% -0.42%

Marts 0.18% 0.51% 0.40% -0.59% 0.17% 0.00% 1.31% -4.14% 3.59% 0.69% 0.03% 1.29% 0.60%

April -0.67% -0.28% 0.53% -0.92% 0.01% -0.32% -4.66% -0.42% 3.54% 0.99% -0.58% -1.14% 1.41%

Maj -2.78% -2.73% 0.27% -1.22% -0.27% -1.01% -11.22% -9.13% -7.55% -9.27% -3.04% -8.63% -0.38%

Juni 0.36% -0.04% 0.50% -0.51% 0.57% 0.28% 7.98% 5.49% 7.26% 5.93% 0.59% 5.10% 0.62%

Juli 0.42% 0.55% 0.77% 1.49% 0.19% 0.78% 2.61% 6.47% 1.98% 1.40% 0.74% 1.29% 0.20%

August 0.68% 1.85% 1.00% 0.56% 0.50% 0.81% 1.73% 1.30% 0.87% 0.44% 0.98% 2.54% 0.25%

September 1.23% 0.95% 0.91% 0.39% -0.23% 0.43% 5.51% 1.71% -0.20% 2.94% 1.61% 2.75% 0.04%

Oktober 0.31% 0.19% 0.54% -0.83% -1.86% 0.53% 1.21% -3.87% 1.13% 1.07% 0.12% -0.68% 0.59%

November 0.52% 0.23% 0.72% -0.07% 1.13% 0.34% 1.59% 0.05% 0.27% -1.56% 0.53% 1.28% -0.06%

December 1.34% 2.20% 0.79% 0.95% 1.74% 1.09% 6.72% -2.61% 2.97% 2.52% 1.70% 1.88% -0.37%

2013 Januar 2.62% 2.04% 1.08% 1.86% -0.87% 1.58% 5.36% 2.40% 2.36% 3.66% 2.48% 5.09% 0.69%

Februar 0.25% 0.02% 0.52% 0.03% 0.67% 0.16% 3.61% -4.09% 1.03% -1.28% 0.28% 0.17% 0.49%

Marts 1.37% 0.88% 1.24% 1.10% 0.52% 0.63% 2.26% 0.67% 2.87% 3.11% 1.37% 2.34% 0.87%

April 0.51% 0.32% 0.59% 1.13% 0.57% 0.32% 9.29% -2.79% 5.93% 3.81% 0.54% 3.15% -1.17%

Maj 1.36% 1.73% 1.00% -0.31% 0.82% 0.77% -6.18% -2.24% -6.45% -4.68% 0.87% 0.04% -0.94%

Juni -0.38% -1.56% -0.98% -1.77% -0.44% -0.22% -3.28% -4.71% -4.18% -3.36% -1.52% -2.46% 0.13%

Juli 1.79% 1.54% 1.25% -0.01% 0.98% 1.11% 7.43% 1.36% -0.31% 5.27% 1.62% 5.26% -0.15%

August -0.83% -0.13% 0.37% -1.71% 0.21% 0.39% -3.24% 3.40% -5.28% -2.45% -0.61% -2.13% 0.73%

September 1.81% 1.91% 0.87% 0.92% 0.75% 1.19% 8.21% -2.55% 6.30% 6.91% 2.03% 5.00% 0.55%

Oktober 1.76% 1.64% 1.18% 1.36% -0.06% 1.25% 3.32% -1.48% 3.03% 2.65% 1.71% 3.91% -0.06%

November 1.33% 0.82% 0.68% 1.35% 0.13% 0.97% 3.28% -0.80% -5.08% -2.47% 0.76% 1.78% -0.40%

December 1.52% 1.16% 0.60% 0.84% 0.58% 1.03% 1.58% 1.24% 0.67% 0.16% 1.14% 2.12% 1.36%

2014 Januar 0.18% 0.45% 0.85% -0.98% 0.74% 0.48% -5.11% 0.30% 1.08% -1.46% -0.41% -3.70% 0.38%

Februar 2.01% 2.64% 1.03% 0.24% 0.91% 1.37% 3.97% 6.24% 5.39% 4.09% 1.87% 5.01% -0.03%

Marts -0.63% -0.14% 0.50% -0.62% -0.32% -0.25% -0.87% 0.41% 0.44% 3.91% -0.07% 0.14% 0.52%

April -0.89% 0.47% 0.74% -0.46% -0.26% -0.26% 0.19% 2.44% 3.63% 2.02% -0.20% 1.02% 0.48%

Maj 0.62% 0.59% 0.81% 0.98% 0.41% 0.85% 3.29% -2.87% 2.66% 2.65% 1.11% 1.97% 0.37%

Juni 1.09% 1.60% 0.86% 0.80% 0.59% 1.10% 0.16% 0.60% 2.13% 4.35% 1.38% 1.79% 0.53%

Juli -0.82% -1.07% -0.27% -0.29% -0.89% -0.17% -4.23% -4.98% -0.50% -3.22% -0.58% -1.60% 0.98%

August 0.84% 0.43% 0.35% 1.22% 0.20% 0.66% -0.40% -1.05% 2.46% 1.06% 1.16% 2.20% 0.14%

September -0.36% -2.55% 0.06% 0.69% -0.77% -0.26% -5.95% -6.23% -6.25% -4.35% -1.26% -2.71% 0.28%

Oktober -0.57% -1.76% 0.25% -0.11% -1.28% -0.23% -0.33% -0.80% 7.85% 1.36% -0.29% 0.65% 1.03%

November 0.90% 0.62% 0.26% 2.29% 0.87% 0.88% 3.03% -4.07% 2.66% 0.88% 0.60% 2.00% 0.84%

December 0.58% -0.62% -0.21% 0.14% 0.57% 1.07% -2.72% -7.63% 0.40% -0.20% -0.42% -1.61% 1.59%

2015 Januar -0.03% -1.03% 0.70% 1.79% 0.38% 1.06% -2.58% -3.34% 5.71% 0.19% -0.10% -1.81% -0.76%

Februar 2.03% 3.19% 1.14% 0.96% 1.38% 1.12% 9.73% 2.58% -2.57% -1.80% 2.20% 5.86% 1.01%

Marts 0.79% 0.05% 0.35% 1.07% 1.36% 0.39% -1.77% -5.14% -0.65% -0.51% 0.42% -1.57% -0.90%

April -0.12% 0.90% 0.84% -1.34% 0.60% 0.14% 4.42% 5.73% -2.56% 4.42% 1.08% 2.35% -0.63%

Maj 1.26% 0.61% 0.35% 0.84% 1.38% 0.05% 1.05% -2.70% -0.52% -2.83% 0.81% 0.34% -1.05%

Juni -0.63% -1.21% -0.68% -2.10% -0.39% -0.56% -3.99% 1.73% -3.29% -3.97% -1.09% -2.33% 1.45%

Juli 0.18% -1.22% 0.09% 2.64% 0.17% 0.08% 2.85% -10.62% 3.14% 0.06% -0.55% 1.80% -0.28%

August -1.53% -1.62% 0.01% -1.65% -0.19% -1.54% -5.36% -0.92% -7.70% -6.72% -2.50% -6.62% 0.91%

September -1.06% -2.90% -0.32% -0.58% -0.23% -0.57% -5.41% -3.42% 4.45% -2.47% -1.69% -3.69% -0.12%

Oktober 1.31% 1.62% -0.10% 1.13% 1.63% 0.95% 7.58% -0.45% 6.45% 4.54% 2.22% 7.92% 0.38%

November 0.43% -0.60% 0.34% 1.19% 0.34% 0.52% 0.82% -7.25% -0.10% -3.46% 0.22% -0.50% -0.14%

December -0.12% -0.90% -0.03% -1.55% 1.35% -0.49% -2.58% -3.09% 1.34% -4.33% -0.86% -1.76% 1.48%

2016 Januar -2.31% -2.53% -0.34% -0.60% 0.45% -1.13% -7.36% -1.68% -2.61% -0.98% -2.99% -5.98% 0.96%

Februar -0.73% -0.05% -0.51% 0.13% 0.74% -0.01% -1.71% -1.63% 3.10% 3.21% -0.35% -0.74% 0.75%

Marts 0.80% 2.87% 0.23% 0.02% 0.96% 0.85% 8.68% 3.82% 5.73% 6.34% 2.45% 6.79% -0.25%

April -0.01% 2.21% 0.87% -0.07% -0.72% 0.63% 2.70% 8.51% 0.76% 2.79% 1.03% 1.58% 0.44%

Maj 1.00% 1.08% 0.62% -0.50% 1.11% 0.77% -1.23% -0.19% -0.77% -0.76% 0.62% 0.56% 2.15%

Juni -0.73% 0.55% -0.35% 0.26% 0.02% 0.14% -6.09% 4.13% 5.08% 3.16% -0.04% -1.12% -0.21%

Juli 1.63% 1.94% 0.87% 0.66% 0.26% 1.18% 7.04% -5.11% 4.70% 3.88% 2.04% 4.22% -0.29%

August 0.49% 1.61% 0.59% -0.73% 0.53% 0.46% 1.04% -1.76% -2.20% -0.97% 0.73% 0.08% -0.08%

September 0.60% 0.74% 0.69% -0.56% 0.89% 0.70% 3.70% 3.13% -2.44% 1.07% 0.89% 0.53% -1.21%

Oktober -0.49% -0.33% 0.49% 0.10% -0.42% -0.21% 0.33% -0.49% -7.48% -3.58% -0.31% -1.94% -1.73%

November 0.72% 0.99% 0.83% 1.12% 1.33% 0.27% -0.93% 1.33% -2.60% -5.12% 0.82% 1.44% 0.27%

December 0.88% 2.05% 1.51% 1.86% 1.06% 0.84% 2.32% 1.80% 5.62% 3.03% 1.14% 2.39% -0.70%

46.37% 63.52% 42.46% 44.06% 66.43% 60.30% 22.88% -37.58% 62.28% 39.22% 52.95% 70.10% 32.69%

123

Bilag 17 – Performanceanalyse indekseret

KategoriHedgeHedgeHedgeHedgeHedgeHedgePrivate Equ.Commodit.Real estateInfrastr.HedgeEquitiesFixed Inc. (Gov.) IndexReturnsIndexedReturnsIndexedReturnsIndexedReturnsIndexedReturnsIndexedReturnsIndexedReturnsIndexedReturnsIndexedReturnsIndexedReturnsIndexedReturnsIndexedReturnsIndexedReturnsIndexed YearMonthELSELSEDEDFIAFIAGMGMMAMAMSMSPRIVEXPDPRIVEXPDBCOMTRBCOMTRSREITGUPSREITGUPSPGTINDSPGTINDBarclay HedgeBarclay HedgeMSCI WldMSCI WldSPGDSBISPGDSBI 2006jan-063.23%103.233.48%103.480.70%100.73.97%103.973.00%1032.46%102.464.49%104.491.85%101.85n/a100n/a1003.50%103.54.47%104.4653n/a100 feb-060.12%103.35390.81%104.31820.24%100.9417-0.64%103.30460.85%103.87551.09%103.5768-0.33%104.1452-6.26%95.47419n/a100n/a1000.61%104.1314-0.15%104.3098n/a100 mar-062.41%105.84472.34%106.75920.88%101.830.99%104.32731.77%105.71411.75%105.38942.15%106.38432.22%97.59372n/a100n/a1001.97%106.18272.20%106.6035n/a100 apr-061.20%107.11481.72%108.59550.96%102.80753.08%107.54061.30%107.08841.20%106.65411.10%107.55456.78%104.2106n/a100n/a1001.73%108.01973.04%109.84n/a100 maj-06-2.36%104.5869-0.64%107.90050.67%103.4963-2.31%105.0564-0.05%107.03480.24%106.9101-4.06%103.18780.96%105.211n/a100n/a100-1.84%106.0321-3.42%106.088n/a100 jun-06-0.54%104.02220.21%108.12710.15%103.6516-0.25%104.79380.38%107.44160.23%107.1559-1.12%102.0321-1.55%103.5802n/a100n/a100-0.39%105.6186-0.03%106.0569n/a100 jul-06-0.31%103.6997-0.39%107.70540.65%104.3253-0.59%104.17550.60%108.08620.26%107.43450.83%102.8793.21%106.9051n/a100n/a1000.02%105.63970.62%106.7188n/a100 aug-060.79%104.51891.12%108.91170.03%104.3566-0.73%103.4150.63%108.76720.58%108.05774.54%107.5497-3.60%103.0566n/a100n/a1000.96%106.65392.60%109.4889n/a100 sep-06-0.26%104.24720.12%109.0424-0.14%104.2105-1.17%102.2050.74%109.5720.18%108.25221.09%108.722-6.02%96.85256n/a100n/a1000.11%106.77121.19%110.7944n/a100 okt-061.42%105.72752.25%111.49580.84%105.08591.52%103.75861.55%111.27041.35%109.71366.00%115.24534.74%101.4434n/a100n/a1001.80%108.69313.67%114.8609n/a100 nov-060.94%106.72131.58%113.25750.34%105.44322.81%106.67421.08%112.47211.79%111.67754.44%120.36225.47%106.9923n/a100n/a1001.76%110.60612.45%117.6736n/a100 dec-061.23%108.0342.06%115.59060.58%106.05481.09%107.83691.40%114.04671.96%113.86633.15%124.1536-4.59%102.0814n/a100n/a1001.61%112.38682.03%120.066n/a100 2007jan-071.03%109.14671.75%117.61341.17%107.29560.42%108.28982.66%117.08041.37%115.42632.42%127.15810.21%102.2957n/a100n/a1001.13%113.65681.18%121.4834n/a100 feb-070.70%109.91081.67%119.57751.52%108.92650.20%108.50642.30%119.77321.30%116.92682.17%129.91743.37%105.7431n/a100n/a1000.79%114.5547-0.52%120.8513n/a100 mar-070.80%110.79011.14%120.94070.48%109.4493-0.33%108.14830.34%120.18051.13%118.24811.29%131.59340.97%106.76880.97%100.96930.73%100.73060.91%115.59711.83%123.06350.15%100.1517 apr-071.24%112.16391.87%123.20230.60%110.1061.69%109.97611.48%121.95911.58%120.11643.15%135.73861.16%108.0073-1.04%99.920083.24%103.99431.59%117.43514.41%128.4908-0.76%99.38581 maj-071.93%114.32861.96%125.61710.29%110.42531.82%111.97762.42%124.91051.49%121.90622.57%139.22710.13%108.14771.51%101.42823.73%107.87422.00%119.78382.80%132.0911-0.09%99.29481 jun-070.93%115.39190.06%125.6925-3.27%106.81441.05%113.15340.60%125.660.44%122.4426-3.52%134.3263-1.40%106.6337-6.41%94.926530.65%108.57960.72%120.6463-0.77%131.07221.01%100.2957 jul-070.15%115.565-0.03%125.6547-0.59%106.18420.79%114.04731.11%127.05480.49%123.0425-3.96%129.00692.08%108.8517-8.19%87.15648-2.49%105.87690.37%121.0927-2.21%128.16940.85%101.1526 aug-07-1.16%114.2244-1.39%123.9081-1.30%104.8038-2.03%111.73210.04%127.1056-1.42%121.2953-1.74%126.7622-3.63%104.90033.94%90.588791.56%107.5263-1.45%119.3368-0.08%128.07220.26%101.418 sep-071.63%116.08631.25%125.4571.84%106.73223.87%116.05621.31%128.77071.53%123.15110.17%126.97778.00%113.29247.11%97.031188.86%117.05022.51%122.33224.76%134.16270.67%102.0928 okt-071.99%118.39642.52%128.61851.18%107.99173.13%119.68872.31%131.74532.61%126.36543.80%131.80293.33%117.065-3.18%93.940774.62%122.45962.87%125.84313.07%138.27771.28%103.397 nov-07-1.86%116.1942-2.46%125.4545-2.23%105.5834-0.99%118.5038-1.53%129.7296-1.48%124.4952-5.78%124.1847-3.14%113.3892-6.37%87.96082-2.03%119.9712-2.07%123.2382-4.09%132.6255-0.16%103.2302 dec-070.35%116.6009-0.15%125.2663-0.17%105.4041.37%120.12730.18%129.96310.21%124.7566-9.53%112.34994.63%118.6391-4.58%83.92968-0.01%119.96070.52%123.879-1.29%130.91451.53%104.8074 2008jan-08-2.79%113.3477-2.57%122.047-0.12%105.27750.29%120.4757-0.88%128.8195-0.95%123.5714-7.95%103.41814.22%123.6457-0.01%83.92451-6.44%112.2317-3.26%119.8405-7.64%120.91010.58%105.414 feb-080.84%114.29981.32%123.658-0.20%105.06693.62%124.83691.15%130.30091.23%125.09143.90%107.451412.28%138.8293-2.01%82.234151.69%114.12671.23%121.3146-0.58%120.2103-0.29%105.1031 mar-08-1.87%112.1624-1.83%121.395-5.64%99.14114-2.39%121.8533-0.96%129.05-2.29%122.2268-1.54%105.7966-6.34%130.02765.96%87.13675-3.33%110.3285-2.38%118.4273-0.96%119.058-0.61%104.4662 apr-081.74%114.11410.88%122.46331.52%100.64810.88%122.92561.17%130.55990.62%122.98462.10%108.01833.56%134.65651.65%88.571853.85%114.57581.93%120.71295.26%125.3155-0.83%103.5942 maj-081.84%116.21381.82%124.69221.90%102.56041.00%124.15491.75%132.84471.73%125.11220.72%108.79612.73%138.3327-3.84%85.170421.90%116.7491.82%122.90991.52%127.22630.04%103.6321 jun-08-0.92%115.1446-1.75%122.510.43%103.00140.32%124.5522-0.86%131.7022-0.40%124.6118-16.25%91.11679.10%150.9209-11.15%75.67456-7.67%107.7935-1.73%120.7836-7.98%117.07911.00%104.6709 jul-08-1.71%113.1756-1.90%120.1824-1.11%101.8581-1.96%122.1109-0.21%131.4256-2.24%121.82052.11%93.03927-11.85%133.03682.24%77.36979-4.57%102.8626-2.10%118.2471-2.44%114.21840.93%105.6415 aug-08-0.62%112.4739-0.86%119.1488-0.22%101.634-0.91%120.99970.64%132.2668-0.38%121.3575-5.70%87.73603-7.28%123.3517-0.46%77.01042-4.47%98.26273-1.21%116.8163-1.40%112.6140.49%106.1571 sep-08-4.92%106.9402-5.72%112.3335-4.18%97.3857-3.27%117.043-3.60%127.5052-7.62%112.1101-16.52%73.24204-11.53%109.1293-5.02%73.14193-11.41%87.05432-6.99%108.6509-11.89%99.219910.53%106.7182 okt-08-3.76%102.9193-4.50%107.2785-13.55%84.18994-0.19%116.8207-2.66%124.1135-7.11%104.1391-31.32%50.30263-21.28%85.90656-27.62%52.94238-17.45%71.86384-8.41%99.51333-18.96%80.407712.59%109.4859 nov-08-1.03%101.8592-2.87%104.1996-3.27%81.436930.55%117.4632-0.64%123.3192-2.07%101.9834-17.78%41.35882-6.96%79.92747-22.91%40.81537-7.94%66.15921-2.80%96.72696-6.47%75.203031.51%111.1389 dec-080.89%102.7657-0.79%103.3764-3.18%78.847241.60%119.34261.83%125.57590.35%102.3403-6.87%38.51747-4.48%76.3467218.96%48.5530315.93%76.699780.37%97.084853.21%77.6158-1.00%110.0318 2009jan-090.22%102.99181.49%104.91670.17%78.98128-0.59%118.63850.75%126.51782.99%105.4003-18.98%31.20686-5.38%72.23926-13.99%41.75952-10.45%68.68134-0.14%96.94893-8.76%70.816210.32%110.3806 feb-09-1.41%101.5396-0.92%103.95150.16%79.10765-1.47%116.8945-0.07%126.42920.75%106.1908-22.11%24.30702-4.43%69.03906-24.27%31.62456-20.47%54.62533-1.46%95.53348-10.24%63.567530.69%111.1389 mar-091.29%102.84951.53%105.5419-1.06%78.269110.53%117.5141.29%128.06011.05%107.305816.76%28.380883.60%71.5244711.78%35.34965.89%57.84122.04%97.482367.54%68.36108-0.44%110.646 apr-092.87%105.80134.40%110.18580.83%78.918741.04%118.73621.26%129.67372.65%110.149427.67%36.233860.73%72.046617.80%41.640728.19%62.576284.27%101.644911.22%76.02978-1.03%109.5086 maj-093.80%109.82175.23%115.94852.46%80.860143.78%123.22441.31%131.37243.88%114.423218.96%43.1038113.00%81.412669.95%45.7844816.83%73.110275.57%107.30659.06%82.918530.91%110.5096 jun-09-0.09%109.72291.29%117.44421.94%82.42883-1.33%121.58551.12%132.84381.27%115.87642.77%44.29778-1.90%79.86582-2.55%44.617441.15%73.948080.37%107.7035-0.45%82.544450.25%110.7901 jul-091.72%111.61013.26%121.27292.18%84.225781.35%123.22691.08%134.27852.80%119.12098.66%48.133973.23%82.4454814.42%51.053138.44%80.188632.97%110.90238.47%89.535711.06%111.9654 aug-091.88%113.70842.51%124.31691.88%85.809220.20%123.47341.16%135.83611.85%121.324710.62%53.2458-0.58%81.96739.11%55.704151.86%81.681621.78%112.87644.13%93.22950.57%112.6024 sep-092.23%116.24413.54%128.71774.23%89.438952.54%126.60961.16%137.41182.69%124.5883-2.32%52.010491.57%83.254187.39%59.822783.24%84.329113.19%116.47713.99%96.94547-0.30%112.2687 okt-09-1.02%115.05840.05%128.7822.55%91.71964-0.07%126.5210.61%138.250.79%125.5725-2.42%50.751843.28%85.98492-0.26%59.66603-2.32%82.37567-0.06%116.4072-1.78%95.220710.91%113.2848 nov-090.68%115.84081.59%130.82971.22%92.838621.90%128.92480.61%139.09341.13%126.99150.88%51.198463.52%89.011595.49%62.94325.44%86.858951.33%117.95554.09%99.11169-1.06%112.0792 dec-091.52%117.60162.02%133.47241.77%94.48187-0.51%128.26730.86%140.28961.39%128.75671.03%51.72581.98%90.774021.90%64.139092.51%89.039441.84%120.12581.80%100.89140.63%112.7843 2010jan-10-0.40%117.13120.69%134.39341.91%96.28647-1.23%126.68960.67%141.22951.12%130.19881.83%52.67238-7.28%84.16567-3.76%61.72662-3.87%85.59766-0.41%119.6333-4.13%96.72150.40%113.2393 feb-100.61%117.84570.85%135.53570.26%96.536810.41%127.20910.61%142.0910.65%131.0451-1.30%51.987643.71%87.288222.72%63.4041-1.91%83.962390.76%120.54251.41%98.084960.07%113.3151 mar-102.02%120.22622.78%139.30361.52%98.004171.82%129.52430.70%143.08571.59%133.128710.48%57.43595-1.24%86.205845.91%67.151264.35%87.616632.82%123.94186.19%104.15940.17%113.5123 apr-100.95%121.36831.30%141.11461.98%99.944660.28%129.88690.16%143.31460.91%134.34012.21%58.705281.94%87.878246.06%71.21733-0.37%87.29631.27%125.51590.01%104.1741.07%114.7255 maj-10-3.01%117.7151-2.53%137.5444-1.21%98.73533-1.81%127.536-0.85%142.0964-1.78%131.9489-14.78%50.02864-6.92%81.79706-8.72%65.00592-11.30%77.43214-3.23%121.4617-9.58%94.195390.70%115.5293 jun-10-1.67%115.7493-1.06%136.08640.82%99.544960.18%127.76560.46%142.7501-0.58%131.1836-5.69%47.182010.32%82.05881-1.98%63.71977-0.77%76.83828-1.05%120.1864-3.43%90.965780.46%116.0601 jul-101.39%117.35821.19%137.70581.50%101.03810.37%128.23831.15%144.39171.54%133.20389.96%51.881346.77%87.614213.77%72.4953612.24%86.239751.93%122.5068.11%98.340651.14%117.3794 aug-10-0.79%116.4311-0.54%136.96221.19%102.24050.90%129.39241.06%145.92220.56%133.9498-4.80%49.39103-2.55%85.38003-0.52%72.116281.39%87.43839-0.40%122.016-3.73%94.669090.12%117.5235 sep-102.72%119.5982.55%140.45481.32%103.59012.94%133.19661.10%147.52741.94%136.548411.63%55.135217.26%91.578624.28%75.200327.47%93.972773.47%126.24999.32%103.4966-0.22%117.2657 okt-101.72%121.65511.66%142.78630.79%104.40841.25%134.86150.28%147.94051.99%139.26577.26%59.138034.98%96.139245.33%79.21094.58%98.272681.98%128.74973.73%107.3545-1.40%115.6278 nov-100.62%122.40930.40%143.35750.49%104.92-0.52%134.1602-0.24%147.58540.38%139.7949-2.60%57.60044-0.35%95.80275-3.58%76.37814-4.03%94.317030.51%129.4063-2.16%105.0368-0.08%115.5369 dec-103.05%126.14282.40%146.7980.55%105.49712.06%136.92390.82%148.79562.03%142.632710.13%63.4353610.69%106.04414.55%79.855114.53%98.592652.93%133.19797.35%112.7596-0.48%114.9833

124

2011jan-110.65%126.96270.87%148.07521.74%107.3327-0.63%136.06130.63%149.7331.22%144.37291.35%64.291741.00%107.10452.68%81.996695.36%103.87720.44%133.7842.26%115.30710.06%115.0516 feb-111.19%128.47361.54%150.35551.30%108.72810.79%137.13620.55%150.55651.27%146.20645.17%67.615621.32%108.51833.44%84.815721.74%105.68371.16%135.33583.50%119.3443-0.11%114.9227 mar-11-0.33%128.04960.11%150.52090.43%109.1956-0.46%136.50540.33%151.0534-0.09%146.0748-3.17%65.472212.06%110.75382.00%86.51398-0.29%105.37510.23%135.6471-0.99%118.16730.55%115.5596 apr-110.80%129.0740.93%151.92081.11%110.40771.80%138.96250.74%152.17120.56%146.89283.00%67.436383.46%114.58586.18%91.861445.63%111.30941.14%137.19354.25%123.18741.00%116.7122 maj-11-0.49%128.4416-0.52%151.13080.49%110.9487-1.47%136.91970.14%152.3842-0.62%145.9821-3.07%65.36608-5.06%108.7878-1.35%90.62378-2.16%108.9012-0.85%136.0273-2.07%120.6318-0.25%116.4164 jun-11-0.80%127.414-1.51%148.8487-0.32%110.5936-1.58%134.75640.18%152.6585-0.85%144.7412-4.03%62.73183-5.04%103.30490.67%91.22873-0.52%108.3354-1.05%134.5991-1.58%118.72350.89%117.4477 jul-11-0.25%127.0955-0.03%148.80410.26%110.88120.79%135.821-0.43%152.0021-0.09%144.611-1.52%61.77832.96%106.3627-0.70%90.59138-2.68%105.4325-0.09%134.4779-1.81%116.57071.43%119.1234 aug-11-3.43%122.7361-3.73%143.2537-1.39%109.3399-1.46%133.838-0.81%150.7709-1.93%141.82-13.42%53.487651.00%107.4263-2.71%88.14032-4.77%100.4067-3.69%129.5157-7.05%108.35750.91%120.2078 sep-11-3.35%118.6245-3.63%138.0536-0.51%108.7823-1.67%131.60290.11%150.9367-1.99%138.9978-14.25%45.86566-14.73%91.60245-14.00%75.79884-7.84%92.5348-4.29%123.9595-8.64%98.9986-0.43%119.6921 okt-112.74%121.87483.52%142.9131.15%110.03330.93%132.82681.37%153.00451.50%141.082712.60%51.644746.62%97.666537.97%81.840732.06%94.438063.45%128.236110.34%109.2387-0.49%119.1007 nov-11-0.89%120.7901-0.48%142.2271-0.25%109.7582-0.63%131.990.36%153.5554-0.78%139.9823-7.09%47.98312-2.22%95.49833-1.29%80.7872-2.17%92.38998-1.37%126.4792-2.44%106.57161.10%120.4125 dec-11-0.37%120.3432-0.64%141.31680.44%110.2411-0.05%131.9240.58%154.446-0.44%139.3664-2.42%46.82193-3.75%91.917142.82%83.068471.01%93.32715-0.45%125.9101-0.06%106.51240.62%121.1556 2012jan-122.36%123.18332.86%145.35851.41%111.79551.94%134.48330.69%155.51171.71%141.74959.98%51.494762.47%94.18757.62%89.397944.34%97.373593.10%129.81335.02%111.85750.17%121.3603 feb-122.34%126.06581.99%148.25111.10%113.02531.41%136.37951.16%157.31561.04%143.22376.98%55.08912.70%96.730561.26%90.527235.17%102.40342.31%132.8124.88%117.3216-0.42%120.8447 mar-120.18%126.29270.51%149.00720.40%113.4774-0.59%135.57490.17%157.5830.00%143.22371.31%55.81076-4.14%92.725913.59%93.778110.69%103.11250.03%132.85181.29%118.82990.60%121.5726 apr-12-0.67%125.4465-0.28%148.590.53%114.0788-0.92%134.32760.01%157.5988-0.32%142.7654-4.66%53.20998-0.42%92.336463.54%97.097590.99%104.1292-0.58%132.0813-1.14%117.48051.41%123.2863 maj-12-2.78%121.9591-2.73%144.53340.27%114.3868-1.22%132.6888-0.27%157.1733-1.01%141.3235-11.22%47.23982-9.13%83.90615-7.55%89.76326-9.27%94.48155-3.04%128.066-8.63%107.3391-0.38%122.8238 jun-120.36%122.3982-0.04%144.47560.50%114.9588-0.51%132.01210.57%158.06920.28%141.71927.98%51.009565.49%88.512597.26%96.284515.93%100.08620.59%128.82165.10%112.80860.62%123.5896 jul-120.42%122.91220.55%145.27030.77%115.84391.49%133.97910.19%158.36950.78%142.82462.61%52.340916.47%94.239361.98%98.189191.40%101.48950.74%129.77491.29%114.25880.20%123.8399 aug-120.68%123.7481.85%147.95781.00%117.00240.56%134.72940.50%159.16130.81%143.98151.73%53.246411.30%95.464470.87%99.0470.44%101.93710.98%131.04672.54%117.15550.25%124.1507 sep-121.23%125.27010.95%149.36340.91%118.06710.39%135.2548-0.23%158.79530.43%144.60065.51%56.180281.71%97.09691-0.20%98.844142.94%104.93831.61%133.15652.75%120.37420.04%124.1962 okt-120.31%125.65850.19%149.64710.54%118.7047-0.83%134.1322-1.86%155.84170.53%145.3671.21%56.86007-3.87%93.339261.13%99.96411.07%106.06620.12%133.3163-0.68%119.56070.59%124.9242 nov-120.52%126.31190.23%149.99130.72%119.5593-0.07%134.03831.13%157.60270.34%145.86121.59%57.764140.05%93.385930.27%100.2296-1.56%104.41390.53%134.02291.28%121.0917-0.06%124.8483 dec-121.34%128.00452.20%153.29110.79%120.50390.95%135.31171.74%160.3451.09%147.45116.72%61.64589-2.61%90.948562.97%103.2042.52%107.04191.70%136.30131.88%123.369-0.37%124.3858 2013jan-132.62%131.35822.04%156.41831.08%121.80531.86%137.8285-0.87%158.951.58%149.78085.36%64.950112.40%93.131322.36%105.64053.66%110.96322.48%139.68155.09%129.65330.69%125.2502 feb-130.25%131.68660.02%156.44960.52%122.43870.03%137.86980.67%160.01490.16%150.02053.61%67.29481-4.09%89.322251.03%106.7257-1.28%109.54210.28%140.07270.17%129.86740.49%125.8644 mar-131.37%133.49070.88%157.82631.24%123.95691.10%139.38640.52%160.8470.63%150.96562.26%68.815670.67%89.920712.87%109.78593.11%112.94611.37%141.99172.34%132.90930.87%126.9639 apr-130.51%134.17150.32%158.33140.59%124.68831.13%140.96140.57%161.76380.32%151.44879.29%75.20865-2.79%87.411925.93%116.29943.81%117.2460.54%142.75843.15%137.0948-1.17%125.4777 maj-131.36%135.99621.73%161.07051.00%125.9352-0.31%140.52450.82%163.09030.77%152.6149-6.18%70.56075-2.24%85.4539-6.45%108.7978-4.68%111.75430.87%144.00040.04%137.1465-0.94%124.2948 jun-13-0.38%135.4794-1.56%158.5578-0.98%124.701-1.77%138.0372-0.44%162.3727-0.22%152.2791-3.28%68.24636-4.71%81.42902-4.18%104.2479-3.36%107.9956-1.52%141.8116-2.46%133.76720.13%124.4616 jul-131.79%137.90451.54%160.99961.25%126.2598-0.01%138.02340.98%163.9641.11%153.96947.43%73.317071.36%82.53645-0.31%103.92335.27%113.6851.62%144.10895.26%140.8095-0.15%124.2721 aug-13-0.83%136.7599-0.13%160.79030.37%126.7269-1.71%135.66320.21%164.30830.39%154.5699-3.24%70.941593.40%85.34269-5.28%98.44036-2.45%110.905-0.61%143.2299-2.13%137.81240.73%125.1744 sep-131.81%139.23531.91%163.86140.87%127.82940.92%136.91130.75%165.54061.19%156.40938.21%76.7659-2.55%83.166456.30%104.6436.91%118.56432.03%146.13745.00%144.70470.55%125.8568 okt-131.76%141.68581.64%166.54871.18%129.33781.36%138.7733-0.06%165.44131.25%158.36443.32%79.31453-1.48%81.935593.03%107.81782.65%121.70261.71%148.63643.91%150.369-0.06%125.781 nov-131.33%143.57020.82%167.91440.68%130.21731.35%140.64670.13%165.65630.97%159.90053.28%81.91604-0.80%81.28011-5.08%102.3433-2.47%118.70230.76%149.7661.78%153.0412-0.40%125.273 dec-131.52%145.75251.16%169.86220.60%130.99860.84%141.82810.58%166.61721.03%161.54751.58%83.210321.24%82.287980.67%103.02830.16%118.88811.14%151.47342.12%156.27951.36%126.9791 2014jan-140.18%146.01490.45%170.62660.85%132.1121-0.98%140.43820.74%167.85010.48%162.3229-5.11%78.958270.30%82.534841.08%104.139-1.46%117.1516-0.41%150.8523-3.70%150.49120.38%127.4568 feb-142.01%148.94982.64%175.13111.03%133.47290.24%140.77530.91%169.37761.37%164.54673.97%82.092916.24%87.685025.39%109.74844.09%121.93951.87%153.67335.01%158.025-0.03%127.4189 mar-14-0.63%148.0114-0.14%174.8860.50%134.1402-0.62%139.9025-0.32%168.8355-0.25%164.1354-0.87%81.37870.41%88.044530.44%110.22873.91%126.7102-0.07%153.56570.14%158.25370.52%128.0786 apr-14-0.89%146.69410.47%175.70790.74%135.1329-0.46%139.2589-0.26%168.3966-0.26%163.70860.19%81.533322.44%90.192813.63%114.22662.02%129.2752-0.20%153.25861.02%159.87530.48%128.6928 maj-140.62%147.60360.59%176.74460.81%136.22740.98%140.62370.41%169.0870.85%165.10023.29%84.21577-2.87%87.604282.66%117.26122.65%132.70721.11%154.95971.97%163.02080.37%129.1629 jun-141.09%149.21251.60%179.57250.86%137.3990.80%141.74870.59%170.08461.10%166.91630.16%84.350510.60%88.12992.13%119.75314.35%138.47511.38%157.09821.79%165.93710.53%129.8529 jul-14-0.82%147.9889-1.07%177.6511-0.27%137.028-0.29%141.3376-0.89%168.5709-0.17%166.6325-4.23%80.78249-4.98%83.74103-0.50%119.15-3.22%134.0125-0.58%156.187-1.60%163.28890.98%131.1192 aug-140.84%149.2320.43%178.4150.35%137.50761.22%143.06190.20%168.9080.66%167.7323-0.40%80.45936-1.05%82.861752.46%122.08141.06%135.42711.16%157.99882.20%166.88690.14%131.3088 sep-14-0.36%148.6948-2.55%173.86540.06%137.59010.69%144.049-0.77%167.6074-0.26%167.2962-5.95%75.67203-6.23%77.69947-6.25%114.4459-4.35%129.5357-1.26%156.008-2.71%162.35750.28%131.6727 okt-14-0.57%147.8472-1.76%170.80540.25%137.9341-0.11%143.8906-1.28%165.462-0.23%166.9114-0.33%75.42231-0.80%77.077877.85%123.43531.36%131.3021-0.29%155.55560.65%163.40781.03%133.03 nov-140.90%149.17780.62%171.86440.26%138.29272.29%147.18570.87%166.90160.88%168.38023.03%77.7076-4.07%73.94082.66%126.72460.88%132.45260.60%156.48892.00%166.68260.84%134.1523 dec-140.58%150.0431-0.62%170.7988-0.21%138.00230.14%147.39170.57%167.85291.07%170.1819-2.72%75.59396-7.63%68.299120.40%127.2262-0.20%132.189-0.42%155.8316-1.61%163.99481.59%136.2906 2015jan-15-0.03%149.9981-1.03%169.03960.70%138.96831.79%150.030.38%168.49071.06%171.9858-2.58%73.64363-3.34%66.017935.71%134.49110.19%132.44-0.10%155.6758-1.81%161.0233-0.76%135.2593 feb-152.03%153.0433.19%174.43191.14%140.55260.96%151.47031.38%170.81591.12%173.9129.73%80.809162.58%67.72119-2.57%131.0312-1.80%130.04962.20%159.10075.86%170.45741.01%136.6242 mar-150.79%154.25210.05%174.51920.35%141.04451.07%153.09111.36%173.1390.39%174.5903-1.77%79.37884-5.14%64.24032-0.65%130.1856-0.51%129.39140.42%159.7689-1.57%167.7891-0.90%135.3882 apr-15-0.12%154.0670.90%176.08980.84%142.2293-1.34%151.03960.60%174.17780.14%174.83474.42%82.887385.73%67.92129-2.56%126.85414.42%135.10691.08%161.49442.35%171.7242-0.63%134.539 maj-151.26%156.00820.61%177.1640.35%142.72710.84%152.30841.38%176.58150.05%174.92211.05%83.7577-2.70%66.08742-0.52%126.1944-2.83%131.28920.81%162.80250.34%172.3158-1.05%133.121 jun-15-0.63%155.0254-1.21%175.0203-0.68%141.7565-2.10%149.1099-0.39%175.8928-0.56%173.9426-3.99%80.415771.73%67.23073-3.29%122.0435-3.97%126.0791-1.09%161.028-2.33%168.3091.45%135.0546 jul-150.18%155.3044-1.22%172.8850.09%141.88412.64%153.04640.17%176.19180.08%174.08172.85%82.70762-10.62%60.090833.14%125.87220.06%126.158-0.55%160.14231.80%171.3302-0.28%134.683 aug-15-1.53%152.9282-1.62%170.08430.01%141.8983-1.65%150.5211-0.19%175.8571-1.54%171.4009-5.36%78.27449-0.92%59.53799-7.70%116.1846-6.72%117.674-2.50%156.1388-6.62%159.99250.91%135.9039 sep-15-1.06%151.3072-2.90%165.1519-0.32%141.4442-0.58%149.6481-0.23%175.4526-0.57%170.4239-5.41%74.03984-3.42%57.501794.45%121.3582-2.47%114.7729-1.69%153.5-3.69%154.0912-0.12%135.737 okt-151.31%153.28931.62%167.8273-0.10%141.30281.13%151.33911.63%178.31250.95%172.04297.58%79.65206-0.45%57.243036.45%129.18854.54%119.98052.22%156.90777.92%166.30210.38%136.2527 nov-150.43%153.9485-0.60%166.82040.34%141.78321.19%153.14010.34%178.91870.52%172.93750.82%80.3052-7.25%53.09291-0.10%129.0605-3.46%115.82720.22%157.2529-0.50%165.4746-0.14%136.0631 dec-15-0.12%153.7637-0.90%165.319-0.03%141.7407-1.55%150.76641.35%181.3342-0.49%172.0901-2.58%78.23333-3.09%51.452341.34%130.7926-4.33%110.8153-0.86%155.9005-1.76%162.5661.48%138.0725 2016jan-16-2.31%150.2118-2.53%161.1364-0.34%141.2588-0.60%149.86180.45%182.1502-1.13%170.1455-7.36%72.47536-1.68%50.58794-2.61%127.3783-0.98%109.7323-2.99%151.2391-5.98%152.84060.96%139.3919 feb-16-0.73%149.1152-0.05%161.0558-0.51%140.53830.13%150.05660.74%183.4981-0.01%170.1285-1.71%71.23603-1.63%49.763363.10%131.33113.21%113.2506-0.35%150.7098-0.74%151.70310.75%140.4383 mar-160.80%150.30822.87%165.67810.23%140.86160.02%150.08660.96%185.25960.85%171.57468.68%77.419323.82%51.664325.73%138.86016.34%120.43152.45%154.40226.79%161.9975-0.25%140.0895 apr-16-0.01%150.29312.21%169.33960.87%142.0871-0.07%149.9816-0.72%183.92580.63%172.65552.70%79.509648.51%56.060950.76%139.91662.79%123.78561.03%155.99251.58%164.56090.44%140.7037 maj-161.00%151.79611.08%171.16850.62%142.968-0.50%149.23171.11%185.96740.77%173.985-1.23%78.53167-0.19%55.95444-0.77%138.8381-0.76%122.84330.62%156.95970.56%165.48522.15%143.7291 jun-16-0.73%150.6880.55%172.1099-0.35%142.46760.26%149.61970.02%186.00450.14%174.2286-6.09%73.749094.13%58.265365.08%145.8883.16%126.7289-0.04%156.8969-1.12%163.6309-0.21%143.4258 jul-161.63%153.14421.94%175.44880.87%143.70710.66%150.60720.26%186.48821.18%176.28457.04%78.94103-5.11%55.2884.70%152.74583.88%131.64912.04%160.09764.22%170.544-0.29%143.0164 aug-160.49%153.89461.61%178.27360.59%144.555-0.73%149.50770.53%187.47650.46%177.09541.04%79.76201-1.76%54.31493-2.20%149.3873-0.97%130.37210.73%161.26630.08%170.6857-0.08%142.8951 sep-160.60%154.81790.74%179.59280.69%145.5524-0.56%148.67050.89%189.14510.70%178.3353.70%82.713213.13%56.01498-2.44%145.73941.07%131.76990.89%162.70160.53%171.5924-1.21%141.1662 okt-16-0.49%154.0593-0.33%179.00010.49%146.26560.10%148.8191-0.42%188.3507-0.21%177.96050.33%82.98616-0.49%55.74051-7.48%134.8409-3.58%127.049-0.31%162.1972-1.94%168.2716-1.73%138.7246 nov-160.72%155.16860.99%180.77220.83%147.47961.12%150.48591.33%190.85570.27%178.441-0.93%82.214391.33%56.48186-2.60%131.3391-5.12%120.54030.82%163.52721.44%170.69120.27%139.1037 dec-160.88%156.5342.05%184.47811.51%149.70661.86%153.2851.06%192.87880.84%179.93992.32%84.121761.80%57.498535.62%138.7223.03%124.1971.14%165.39142.39%174.7755-0.70%138.1332

125

Bilag 18 – Nordea Invest Basis 3 Fact Sheet

126

127

Bilag 19 - Porteføljeanalyse

Kategori Hedge Hedge Hedge Hedge Hedge Hedge Private Equ. Commodit. Real estate Infrastr. Hedge Bal. (50% a. / 50% o.)

Index/fond ELS ED FIA GM MA MS PRIVEXPD BCOMTR SREITGUP SPGTIND Barclay Hedge Nordea Invest Basis 3

Std.dev. monthly 1.50% 1.80% 1.72% 1.40% 0.93% 1.45% 7.63% 5.10% 6.87% 5.39% 1.95% 2.74%

Std.dev. p.a. 5.18% 6.23% 5.94% 4.83% 3.24% 5.04% 26.44% 17.67% 23.80% 18.68% 6.75% 9.51%

Varians p.a. 0.27% 0.39% 0.35% 0.23% 0.10% 0.25% 6.99% 3.12% 5.66% 3.49% 0.46% 0.90%

Yield monthly 0.35% 0.48% 0.32% 0.33% 0.50% 0.46% 0.17% -0.28% 0.53% 0.33% 0.40% 0.64%

Yield p.a. 4.20% 5.76% 3.84% 3.96% 6.00% 5.52% 2.04% -3.36% 6.36% 3.96% 4.80% 7.68%

Median monthly 0.61% 0.66% 0.57% 0.29% 0.60% 0.63% 1.05% 0.26% 1.05% 0.93% 0.62% 0.82%

Median p.a. 7.26% 7.86% 6.78% 3.42% 7.20% 7.56% 12.54% 3.06% 12.63% 11.17% 0.07 9.86%

Sharpe ratio 0.52 0.68 0.39 0.51 1.39 0.80 0.02 -0.28 0.20 0.13 0.49 0.65

Kovarians 0.03% 0.03% 0.02% 0.02% 0.01% 0.03% 0.16% 0.05% 0.14% 0.11% 0.04%

Korrelation 0.73 0.68 0.50 0.49 0.52 0.63 0.76 0.34 0.71 0.75 0.77

0/100 Porteføljevol. u/ div. eff. (0/100) 9.51% 9.51% 9.51% 9.51% 9.51% 9.51% 9.51% 9.51% 9.51% 9.51% 9.51%

Porteføljevol. m/ div. eff. (0/100) 9.51% 9.51% 9.51% 9.51% 9.51% 9.51% 9.51% 9.51% 9.51% 9.51% 9.51%

Forventet afkast port. (0/100) 7.68% 7.68% 7.68% 7.68% 7.68% 7.68% 7.68% 7.68% 7.68% 7.68% 7.68%

10/90 Porteføljevol. u/ div. eff. (10/90) 9.07% 9.18% 9.15% 9.04% 8.88% 9.06% 11.20% 10.32% 10.94% 10.42% 9.23%

Porteføljevol. m/ div. eff. (10/90) 8.60% 8.61% 8.60% 8.59% 8.58% 8.60% 9.11% 8.79% 9.02% 8.87% 8.63%

Forventet afkast port. (10/90) 7.33% 7.49% 7.30% 7.31% 7.51% 7.46% 7.12% 6.58% 7.55% 7.31% 7.39%

20/80 Porteføljevol. u/ div. eff. (20/80) 8.64% 8.85% 8.79% 8.57% 8.25% 8.61% 12.89% 11.14% 12.37% 11.34% 8.96%

Porteføljevol. m/ div. eff. (20/80) 7.74% 7.78% 7.75% 7.71% 7.66% 7.72% 9.53% 8.48% 9.22% 8.69% 7.81%

Forventet afkast port. (20/80) 6.98% 7.30% 6.91% 6.94% 7.34% 7.25% 6.55% 5.47% 7.42% 6.94% 7.10%

30/70 Porteføljevol. u/ div. eff. (30/70) 8.21% 8.53% 8.44% 8.10% 7.63% 8.17% 14.59% 11.96% 13.79% 12.26% 8.68%

Porteføljevol. m/ div. eff. (30/70) 6.93% 7.01% 6.96% 6.87% 6.77% 6.90% 10.67% 8.62% 10.05% 8.97% 7.08%

Forventet afkast port. (30/70) 6.64% 7.10% 6.53% 6.56% 7.18% 7.03% 5.99% 4.37% 7.28% 6.56% 6.82%

40/60 Porteføljevol. u/ div. eff. (40/60) 7.78% 8.20% 8.08% 7.64% 7.00% 7.72% 16.28% 12.77% 15.22% 13.17% 8.41%

Porteføljevol. m/ div. eff. (40/60) 6.19% 6.35% 6.27% 6.10% 5.90% 6.15% 12.33% 9.21% 11.39% 9.69% 6.47%

Forventet afkast port. (40/60) 6.29% 6.91% 6.14% 6.19% 7.01% 6.82% 5.42% 3.26% 7.15% 6.19% 6.53%

50/50 Porteføljevol. u/ div. eff. (50/50) 7.35% 7.87% 7.73% 7.17% 6.37% 7.27% 17.98% 13.59% 16.65% 14.09% 8.13%

Porteføljevol. m/ div. eff. (50/50) 5.55% 5.83% 5.71% 5.42% 5.09% 5.50% 14.33% 10.15% 13.08% 10.75% 6.01%

Forventet afkast port. (50/50) 5.94% 6.72% 5.76% 5.82% 6.84% 6.60% 4.86% 2.16% 7.02% 5.82% 6.24%

60/40 Porteføljevol. u/ div. eff. (60/40) 6.91% 7.54% 7.37% 6.70% 5.75% 6.83% 19.67% 14.40% 18.08% 15.01% 7.86%

Porteføljevol. m/ div. eff. (60/40) 5.06% 5.48% 5.32% 4.87% 4.34% 4.98% 16.55% 11.36% 15.00% 12.06% 5.73%

Forventet afkast port. (60/40) 5.59% 6.53% 5.38% 5.45% 6.67% 6.38% 4.30% 1.06% 6.89% 5.45% 5.95%

70/30 Porteføljevol. u/ div. eff. (70/30) 6.48% 7.22% 7.01% 6.24% 5.12% 6.38% 21.36% 15.22% 19.51% 15.92% 7.58%

Porteføljevol. m/ div. eff. (70/30) 4.75% 5.35% 5.14% 4.51% 3.72% 4.65% 18.91% 12.77% 17.07% 13.56% 5.68%

Forventet afkast port. (70/30) 5.24% 6.34% 4.99% 5.08% 6.50% 6.17% 3.73% -0.05% 6.76% 5.08% 5.66%

80/20 Porteføljevol. u/ div. eff. (80/20) 6.05% 6.89% 6.66% 5.77% 4.49% 5.93% 23.06% 16.04% 20.94% 16.84% 7.30%

Porteføljevol. m/ div. eff. (80/20) 4.67% 5.44% 5.19% 4.38% 3.28% 4.55% 21.36% 14.32% 19.25% 15.18% 5.84%

Forventet afkast port. (80/20) 4.90% 6.14% 4.61% 4.70% 6.34% 5.95% 3.17% -1.15% 6.62% 4.70% 5.38%

90/10 Porteføljevol. u/ div. eff. (90/10) 5.62% 6.56% 6.30% 5.30% 3.87% 5.49% 24.75% 16.85% 22.37% 17.76% 7.03%

Porteføljevol. m/ div. eff. (90/10) 4.82% 5.74% 5.47% 4.49% 3.10% 4.68% 23.88% 15.96% 21.50% 16.90% 6.21%

Forventet afkast port. (90/10) 4.55% 5.95% 4.22% 4.33% 6.17% 5.74% 2.60% -2.26% 6.49% 4.33% 5.09%

100/0 Porteføljevol. u/ div. eff. (100/0) 5.18% 6.23% 5.94% 4.83% 3.24% 5.04% 26.44% 17.67% 23.80% 18.68% 6.75%

Porteføljevol. m/ div. eff. (100/0) 5.18% 6.23% 5.94% 4.83% 3.24% 5.04% 26.44% 17.67% 23.80% 18.68% 6.75%

Forventet afkast port. (100/0) 4.20% 5.76% 3.84% 3.96% 6.00% 5.52% 2.04% -3.36% 6.36% 3.96% 4.80%

MVP Minimumvariansportefølje W(a) 78.54% 71.04% 72.74% 80.46% 90.68% 79.34% 9.83% 21.79% 12.16% 18.96% 67.52%

Minimumvariansportefølje W(b) 21.46% 28.96% 27.26% 19.54% 9.32% 20.66% 90.17% 78.21% 87.84% 81.04% 32.48%

Porteføljevol. MVP 4.66% 5.35% 5.13% 4.38% 3.10% 4.55% 9.11% 8.47% 9.00% 8.68% 5.67%

Forventet afkast MVP 4.95% 6.32% 4.89% 4.69% 6.16% 5.97% 7.13% 5.27% 7.52% 6.97% 5.74%

MVP u/ div. eff. 6.11% 7.18% 6.92% 5.75% 3.82% 5.96% 11.17% 11.29% 11.25% 11.25% 7.65%

Diversifikationsgevinst MVP 1.45% 1.84% 1.78% 1.37% 0.72% 1.42% 2.06% 2.82% 2.24% 2.56% 1.98%

Sharpe ratio MVP 0.74 0.90 0.66 0.73 1.50 0.98 0.62 0.45 0.67 0.63 0.75

Delta Sharpe ratio 0.09 0.25 0.01 0.08 0.85 0.33 -0.03 -0.20 0.02 -0.02 0.10

Optimal Optimal porteføljevægt A 58.81% 61.73% 48.07% 60.14% 87.14% 71.32% 0.00% 0.00% 9.34% 6.65% 50.41%

Optimal porteføljevægt B 41.19% 38.27% 51.93% 39.86% 12.86% 28.68% 100.00% 100.00% 90.66% 93.35% 49.59%

Sharpe 0.81 0.92 0.75 0.81 1.51 1 0.65 0.65 0.67 0.66 0.79

Delta Sharpe ratio optimal 0.16 0.27 0.10 0.16 0.86 0.35 0.00 0.00 0.02 0.01 0.14

Forventet afkast optimal 5.63% 6.49% 5.83% 5.44% 6.22% 6.14% 7.68% 7.68% 7.56% 7.43% 6.23%

Porteføljevol. optimal 5.11% 5.44% 5.81% 4.87% 3.12% 4.62% 9.51% 9.51% 9.03% 9.04% 5.99%

Optimal portefølje u/ div. eff. 6.96% 7.49% 7.79% 6.70% 4.04% 6.32% 9.51% 9.51% 10.84% 10.12% 8.12%

Diversifikationsgevinst optimal 1.86% 2.04% 1.99% 1.83% 0.92% 1.70% 0.00% 0.00% 1.81% 1.08% 2.13%

128

Year Month Returns Returns Returns Returns Returns Returns Returns Returns Returns Returns Returns Returns

2006 Januar 3.23% 3.48% 0.70% 3.97% 3.00% 2.46% 4.49% 1.85% n/a n/a 3.50% 2.25%

Februar 0.12% 0.81% 0.24% -0.64% 0.85% 1.09% -0.33% -6.26% n/a n/a 0.61% 0.40%

Marts 2.41% 2.34% 0.88% 0.99% 1.77% 1.75% 2.15% 2.22% n/a n/a 1.97% 0.30%

April 1.20% 1.72% 0.96% 3.08% 1.30% 1.20% 1.10% 6.78% n/a n/a 1.73% -0.71%

Maj -2.36% -0.64% 0.67% -2.31% -0.05% 0.24% -4.06% 0.96% n/a n/a -1.84% -3.40%

Juni -0.54% 0.21% 0.15% -0.25% 0.38% 0.23% -1.12% -1.55% n/a n/a -0.39% 0.96%

Juli -0.31% -0.39% 0.65% -0.59% 0.60% 0.26% 0.83% 3.21% n/a n/a 0.02% 1.24%

August 0.79% 1.12% 0.03% -0.73% 0.63% 0.58% 4.54% -3.60% n/a n/a 0.96% 1.76%

September -0.26% 0.12% -0.14% -1.17% 0.74% 0.18% 1.09% -6.02% n/a n/a 0.11% 0.72%

Oktober 1.42% 2.25% 0.84% 1.52% 1.55% 1.35% 6.00% 4.74% n/a n/a 1.80% 2.12%

November 0.94% 1.58% 0.34% 2.81% 1.08% 1.79% 4.44% 5.47% n/a n/a 1.76% -0.81%

December 1.23% 2.06% 0.58% 1.09% 1.40% 1.96% 3.15% -4.59% n/a n/a 1.61% 3.10%

2007 Januar 1.03% 1.75% 1.17% 0.42% 2.66% 1.37% 2.42% 0.21% n/a n/a 1.13% 1.45%

Februar 0.70% 1.67% 1.52% 0.20% 2.30% 1.30% 2.17% 3.37% n/a n/a 0.79% -1.62%

Marts 0.80% 1.14% 0.48% -0.33% 0.34% 1.13% 1.29% 0.97% 0.97% 0.73% 0.91% 1.07%

April 1.24% 1.87% 0.60% 1.69% 1.48% 1.58% 3.15% 1.16% -1.04% 3.24% 1.59% 1.85%

Maj 1.93% 1.96% 0.29% 1.82% 2.42% 1.49% 2.57% 0.13% 1.51% 3.73% 2.00% 3.17%

Juni 0.93% 0.06% -3.27% 1.05% 0.60% 0.44% -3.52% -1.40% -6.41% 0.65% 0.72% -0.27%

Juli 0.15% -0.03% -0.59% 0.79% 1.11% 0.49% -3.96% 2.08% -8.19% -2.49% 0.37% -2.34%

August -1.16% -1.39% -1.30% -2.03% 0.04% -1.42% -1.74% -3.63% 3.94% 1.56% -1.45% 0.44%

September 1.63% 1.25% 1.84% 3.87% 1.31% 1.53% 0.17% 8.00% 7.11% 8.86% 2.51% 1.90%

Oktober 1.99% 2.52% 1.18% 3.13% 2.31% 2.61% 3.80% 3.33% -3.18% 4.62% 2.87% -0.91%

November -1.86% -2.46% -2.23% -0.99% -1.53% -1.48% -5.78% -3.14% -6.37% -2.03% -2.07% -2.41%

December 0.35% -0.15% -0.17% 1.37% 0.18% 0.21% -9.53% 4.63% -4.58% -0.01% 0.52% 1.85%

2008 Januar -2.79% -2.57% -0.12% 0.29% -0.88% -0.95% -7.95% 4.22% -0.01% -6.44% -3.26% -4.68%

Februar 0.84% 1.32% -0.20% 3.62% 1.15% 1.23% 3.90% 12.28% -2.01% 1.69% 1.23% -1.15%

Marts -1.87% -1.83% -5.64% -2.39% -0.96% -2.29% -1.54% -6.34% 5.96% -3.33% -2.38% -4.17%

April 1.74% 0.88% 1.52% 0.88% 1.17% 0.62% 2.10% 3.56% 1.65% 3.85% 1.93% 6.62%

Maj 1.84% 1.82% 1.90% 1.00% 1.75% 1.73% 0.72% 2.73% -3.84% 1.90% 1.82% 0.46%

Juni -0.92% -1.75% 0.43% 0.32% -0.86% -0.40% -16.25% 9.10% -11.15% -7.67% -1.73% -6.77%

Juli -1.71% -1.90% -1.11% -1.96% -0.21% -2.24% 2.11% -11.85% 2.24% -4.57% -2.10% 0.72%

August -0.62% -0.86% -0.22% -0.91% 0.64% -0.38% -5.70% -7.28% -0.46% -4.47% -1.21% 2.74%

September -4.92% -5.72% -4.18% -3.27% -3.60% -7.62% -16.52% -11.53% -5.02% -11.41% -6.99% -6.20%

Oktober -3.76% -4.50% -13.55% -0.19% -2.66% -7.11% -31.32% -21.28% -27.62% -17.45% -8.41% -7.99%

November -1.03% -2.87% -3.27% 0.55% -0.64% -2.07% -17.78% -6.96% -22.91% -7.94% -2.80% -3.53%

December 0.89% -0.79% -3.18% 1.60% 1.83% 0.35% -6.87% -4.48% 18.96% 15.93% 0.37% 2.26%

2009 Januar 0.22% 1.49% 0.17% -0.59% 0.75% 2.99% -18.98% -5.38% -13.99% -10.45% -0.14% -2.14%

Februar -1.41% -0.92% 0.16% -1.47% -0.07% 0.75% -22.11% -4.43% -24.27% -20.47% -1.46% -7.57%

Marts 1.29% 1.53% -1.06% 0.53% 1.29% 1.05% 16.76% 3.60% 11.78% 5.89% 2.04% 6.60%

April 2.87% 4.40% 0.83% 1.04% 1.26% 2.65% 27.67% 0.73% 17.80% 8.19% 4.27% 7.15%

Maj 3.80% 5.23% 2.46% 3.78% 1.31% 3.88% 18.96% 13.00% 9.95% 16.83% 5.57% 6.52%

Juni -0.09% 1.29% 1.94% -1.33% 1.12% 1.27% 2.77% -1.90% -2.55% 1.15% 0.37% 1.19%

Juli 1.72% 3.26% 2.18% 1.35% 1.08% 2.80% 8.66% 3.23% 14.42% 8.44% 2.97% 7.06%

August 1.88% 2.51% 1.88% 0.20% 1.16% 1.85% 10.62% -0.58% 9.11% 1.86% 1.78% 0.39%

September 2.23% 3.54% 4.23% 2.54% 1.16% 2.69% -2.32% 1.57% 7.39% 3.24% 3.19% 2.36%

Oktober -1.02% 0.05% 2.55% -0.07% 0.61% 0.79% -2.42% 3.28% -0.26% -2.32% -0.06% 0.11%

November 0.68% 1.59% 1.22% 1.90% 0.61% 1.13% 0.88% 3.52% 5.49% 5.44% 1.33% 2.95%

December 1.52% 2.02% 1.77% -0.51% 0.86% 1.39% 1.03% 1.98% 1.90% 2.51% 1.84% 5.54%

2010 Januar -0.40% 0.69% 1.91% -1.23% 0.67% 1.12% 1.83% -7.28% -3.76% -3.87% -0.41% -0.75%

Februar 0.61% 0.85% 0.26% 0.41% 0.61% 0.65% -1.30% 3.71% 2.72% -1.91% 0.76% 2.95%

Marts 2.02% 2.78% 1.52% 1.82% 0.70% 1.59% 10.48% -1.24% 5.91% 4.35% 2.82% 5.18%

April 0.95% 1.30% 1.98% 0.28% 0.16% 0.91% 2.21% 1.94% 6.06% -0.37% 1.27% 1.63%

Maj -3.01% -2.53% -1.21% -1.81% -0.85% -1.78% -14.78% -6.92% -8.72% -11.30% -3.23% -4.19%

Juni -1.67% -1.06% 0.82% 0.18% 0.46% -0.58% -5.69% 0.32% -1.98% -0.77% -1.05% -2.08%

Juli 1.39% 1.19% 1.50% 0.37% 1.15% 1.54% 9.96% 6.77% 13.77% 12.24% 1.93% 4.20%

August -0.79% -0.54% 1.19% 0.90% 1.06% 0.56% -4.80% -2.55% -0.52% 1.39% -0.40% -0.19%

September 2.72% 2.55% 1.32% 2.94% 1.10% 1.94% 11.63% 7.26% 4.28% 7.47% 3.47% 0.47%

Oktober 1.72% 1.66% 0.79% 1.25% 0.28% 1.99% 7.26% 4.98% 5.33% 4.58% 1.98% 1.76%

November 0.62% 0.40% 0.49% -0.52% -0.24% 0.38% -2.60% -0.35% -3.58% -4.03% 0.51% 2.23%

December 3.05% 2.40% 0.55% 2.06% 0.82% 2.03% 10.13% 10.69% 4.55% 4.53% 2.93% 3.78%

2011 Januar 0.65% 0.87% 1.74% -0.63% 0.63% 1.22% 1.35% 1.00% 2.68% 5.36% 0.44% 0.34%

Februar 1.19% 1.54% 1.30% 0.79% 0.55% 1.27% 5.17% 1.32% 3.44% 1.74% 1.16% 0.36%

Marts -0.33% 0.11% 0.43% -0.46% 0.33% -0.09% -3.17% 2.06% 2.00% -0.29% 0.23% -0.01%

April 0.80% 0.93% 1.11% 1.80% 0.74% 0.56% 3.00% 3.46% 6.18% 5.63% 1.14% 1.23%

Maj -0.49% -0.52% 0.49% -1.47% 0.14% -0.62% -3.07% -5.06% -1.35% -2.16% -0.85% -0.12%

Juni -0.80% -1.51% -0.32% -1.58% 0.18% -0.85% -4.03% -5.04% 0.67% -0.52% -1.05% -1.13%

Juli -0.25% -0.03% 0.26% 0.79% -0.43% -0.09% -1.52% 2.96% -0.70% -2.68% -0.09% 0.42%

August -3.43% -3.73% -1.39% -1.46% -0.81% -1.93% -13.42% 1.00% -2.71% -4.77% -3.69% -4.32%

September -3.35% -3.63% -0.51% -1.67% 0.11% -1.99% -14.25% -14.73% -14.00% -7.84% -4.29% -3.33%

Oktober 2.74% 3.52% 1.15% 0.93% 1.37% 1.50% 12.60% 6.62% 7.97% 2.06% 3.45% 3.54%

November -0.89% -0.48% -0.25% -0.63% 0.36% -0.78% -7.09% -2.22% -1.29% -2.17% -1.37% 1.07%

December -0.37% -0.64% 0.44% -0.05% 0.58% -0.44% -2.42% -3.75% 2.82% 1.01% -0.45% 2.06%

129

2012 Januar 2.36% 2.86% 1.41% 1.94% 0.69% 1.71% 9.98% 2.47% 7.62% 4.34% 3.10% 3.99%

Februar 2.34% 1.99% 1.10% 1.41% 1.16% 1.04% 6.98% 2.70% 1.26% 5.17% 2.31% 3.43%

Marts 0.18% 0.51% 0.40% -0.59% 0.17% 0.00% 1.31% -4.14% 3.59% 0.69% 0.03% -0.23%

April -0.67% -0.28% 0.53% -0.92% 0.01% -0.32% -4.66% -0.42% 3.54% 0.99% -0.58% -0.33%

Maj -2.78% -2.73% 0.27% -1.22% -0.27% -1.01% -11.22% -9.13% -7.55% -9.27% -3.04% -2.97%

Juni 0.36% -0.04% 0.50% -0.51% 0.57% 0.28% 7.98% 5.49% 7.26% 5.93% 0.59% 1.10%

Juli 0.42% 0.55% 0.77% 1.49% 0.19% 0.78% 2.61% 6.47% 1.98% 1.40% 0.74% 3.31%

August 0.68% 1.85% 1.00% 0.56% 0.50% 0.81% 1.73% 1.30% 0.87% 0.44% 0.98% 0.91%

September 1.23% 0.95% 0.91% 0.39% -0.23% 0.43% 5.51% 1.71% -0.20% 2.94% 1.61% 1.64%

Oktober 0.31% 0.19% 0.54% -0.83% -1.86% 0.53% 1.21% -3.87% 1.13% 1.07% 0.12% -0.30%

November 0.52% 0.23% 0.72% -0.07% 1.13% 0.34% 1.59% 0.05% 0.27% -1.56% 0.53% 0.38%

December 1.34% 2.20% 0.79% 0.95% 1.74% 1.09% 6.72% -2.61% 2.97% 2.52% 1.70% 2.15%

2013 Januar 2.62% 2.04% 1.08% 1.86% -0.87% 1.58% 5.36% 2.40% 2.36% 3.66% 2.48% 0.27%

Februar 0.25% 0.02% 0.52% 0.03% 0.67% 0.16% 3.61% -4.09% 1.03% -1.28% 0.28% 2.27%

Marts 1.37% 0.88% 1.24% 1.10% 0.52% 0.63% 2.26% 0.67% 2.87% 3.11% 1.37% 3.36%

April 0.51% 0.32% 0.59% 1.13% 0.57% 0.32% 9.29% -2.79% 5.93% 3.81% 0.54% 0.77%

Maj 1.36% 1.73% 1.00% -0.31% 0.82% 0.77% -6.18% -2.24% -6.45% -4.68% 0.87% 0.85%

Juni -0.38% -1.56% -0.98% -1.77% -0.44% -0.22% -3.28% -4.71% -4.18% -3.36% -1.52% -3.25%

Juli 1.79% 1.54% 1.25% -0.01% 0.98% 1.11% 7.43% 1.36% -0.31% 5.27% 1.62% 2.72%

August -0.83% -0.13% 0.37% -1.71% 0.21% 0.39% -3.24% 3.40% -5.28% -2.45% -0.61% -1.31%

September 1.81% 1.91% 0.87% 0.92% 0.75% 1.19% 8.21% -2.55% 6.30% 6.91% 2.03% 2.25%

Oktober 1.76% 1.64% 1.18% 1.36% -0.06% 1.25% 3.32% -1.48% 3.03% 2.65% 1.71% 2.92%

November 1.33% 0.82% 0.68% 1.35% 0.13% 0.97% 3.28% -0.80% -5.08% -2.47% 0.76% 1.43%

December 1.52% 1.16% 0.60% 0.84% 0.58% 1.03% 1.58% 1.24% 0.67% 0.16% 1.14% 0.34%

2014 Januar 0.18% 0.45% 0.85% -0.98% 0.74% 0.48% -5.11% 0.30% 1.08% -1.46% -0.41% -1.29%

Februar 2.01% 2.64% 1.03% 0.24% 0.91% 1.37% 3.97% 6.24% 5.39% 4.09% 1.87% 1.39%

Marts -0.63% -0.14% 0.50% -0.62% -0.32% -0.25% -0.87% 0.41% 0.44% 3.91% -0.07% 1.37%

April -0.89% 0.47% 0.74% -0.46% -0.26% -0.26% 0.19% 2.44% 3.63% 2.02% -0.20% 1.31%

Maj 0.62% 0.59% 0.81% 0.98% 0.41% 0.85% 3.29% -2.87% 2.66% 2.65% 1.11% 3.56%

Juni 1.09% 1.60% 0.86% 0.80% 0.59% 1.10% 0.16% 0.60% 2.13% 4.35% 1.38% 1.74%

Juli -0.82% -1.07% -0.27% -0.29% -0.89% -0.17% -4.23% -4.98% -0.50% -3.22% -0.58% -0.64%

August 0.84% 0.43% 0.35% 1.22% 0.20% 0.66% -0.40% -1.05% 2.46% 1.06% 1.16% 1.81%

September -0.36% -2.55% 0.06% 0.69% -0.77% -0.26% -5.95% -6.23% -6.25% -4.35% -1.26% -0.14%

Oktober -0.57% -1.76% 0.25% -0.11% -1.28% -0.23% -0.33% -0.80% 7.85% 1.36% -0.29% 1.19%

November 0.90% 0.62% 0.26% 2.29% 0.87% 0.88% 3.03% -4.07% 2.66% 0.88% 0.60% 1.85%

December 0.58% -0.62% -0.21% 0.14% 0.57% 1.07% -2.72% -7.63% 0.40% -0.20% -0.42% 0.71%

2015 Januar -0.03% -1.03% 0.70% 1.79% 0.38% 1.06% -2.58% -3.34% 5.71% 0.19% -0.10% 3.45%

Februar 2.03% 3.19% 1.14% 0.96% 1.38% 1.12% 9.73% 2.58% -2.57% -1.80% 2.20% 3.76%

Marts 0.79% 0.05% 0.35% 1.07% 1.36% 0.39% -1.77% -5.14% -0.65% -0.51% 0.42% 1.88%

April -0.12% 0.90% 0.84% -1.34% 0.60% 0.14% 4.42% 5.73% -2.56% 4.42% 1.08% 0.78%

Maj 1.26% 0.61% 0.35% 0.84% 1.38% 0.05% 1.05% -2.70% -0.52% -2.83% 0.81% -1.65%

Juni -0.63% -1.21% -0.68% -2.10% -0.39% -0.56% -3.99% 1.73% -3.29% -3.97% -1.09% -2.46%

Juli 0.18% -1.22% 0.09% 2.64% 0.17% 0.08% 2.85% -10.62% 3.14% 0.06% -0.55% 1.49%

August -1.53% -1.62% 0.01% -1.65% -0.19% -1.54% -5.36% -0.92% -7.70% -6.72% -2.50% -5.68%

September -1.06% -2.90% -0.32% -0.58% -0.23% -0.57% -5.41% -3.42% 4.45% -2.47% -1.69% 0.30%

Oktober 1.31% 1.62% -0.10% 1.13% 1.63% 0.95% 7.58% -0.45% 6.45% 4.54% 2.22% 3.92%

November 0.43% -0.60% 0.34% 1.19% 0.34% 0.52% 0.82% -7.25% -0.10% -3.46% 0.22% 2.60%

December -0.12% -0.90% -0.03% -1.55% 1.35% -0.49% -2.58% -3.09% 1.34% -4.33% -0.86% -2.69%

2016 Januar -2.31% -2.53% -0.34% -0.60% 0.45% -1.13% -7.36% -1.68% -2.61% -0.98% -2.99% -2.26%

Februar -0.73% -0.05% -0.51% 0.13% 0.74% -0.01% -1.71% -1.63% 3.10% 3.21% -0.35% 0.44%

Marts 0.80% 2.87% 0.23% 0.02% 0.96% 0.85% 8.68% 3.82% 5.73% 6.34% 2.45% 1.97%

April -0.01% 2.21% 0.87% -0.07% -0.72% 0.63% 2.70% 8.51% 0.76% 2.79% 1.03% -0.54%

Maj 1.00% 1.08% 0.62% -0.50% 1.11% 0.77% -1.23% -0.19% -0.77% -0.76% 0.62% 0.85%

Juni -0.73% 0.55% -0.35% 0.26% 0.02% 0.14% -6.09% 4.13% 5.08% 3.16% -0.04% 0.43%

Juli 1.63% 1.94% 0.87% 0.66% 0.26% 1.18% 7.04% -5.11% 4.70% 3.88% 2.04% 2.68%

August 0.49% 1.61% 0.59% -0.73% 0.53% 0.46% 1.04% -1.76% -2.20% -0.97% 0.73% 0.80%

September 0.60% 0.74% 0.69% -0.56% 0.89% 0.70% 3.70% 3.13% -2.44% 1.07% 0.89% 0.15%

Oktober -0.49% -0.33% 0.49% 0.10% -0.42% -0.21% 0.33% -0.49% -7.48% -3.58% -0.31% -1.04%

November 0.72% 0.99% 0.83% 1.12% 1.33% 0.27% -0.93% 1.33% -2.60% -5.12% 0.82% 1.39%

December 0.88% 2.05% 1.51% 1.86% 1.06% 0.84% 2.32% 1.80% 5.62% 3.03% 1.14% 0.00%

46.37% 63.52% 42.46% 44.06% 66.43% 60.30% 22.88% -37.58% 62.28% 39.22% 52.95% 84.82%