Geldanlage: Droht dem Aktienmarkt ein Crash? Norwegens Staatsfonds spielt Risikoszenarien durch

In the world of investing, two major concerns dominate the minds of investors across the globe: geopolitical risks, seen in the Ukraine and Iran wars and trade disputes, as well as concentration risks from dependence on a few major companies. In response, Norway's Ministry of Finance has asked the country's largest sovereign wealth fund to develop relevant scenarios for how these risks could affect its investments.

The fund manages revenues from Norway's oil and gas industry, aiming to secure the nation's prosperity for future generations. Its global leader, Nicolai Tangen, has recently spread its equity investments worldwide, making its risk assessment relevant for ETF investors. The fund follows the FTSE Global All Cap index, which includes large, medium, and small companies from developed and emerging markets.

This diversified approach offers the benefit of shielding against local risks. However, there are limits to how diversified the fund can be: "Stress tests by Norway's central bank show that diversification cannot protect the fund from geopolitical events and shocks that simultaneously affect a large number of markets, asset classes, and sectors."

Under such circumstances, the fund's value could drop by 30 to 40 percent, according to the analysis. This loss would also be difficult to prevent, as "even comprehensive systems for monitoring risk may not necessarily reduce exposure to affected markets before a crisis erupts." The second risk lies in increasing market concentration, which reduces portfolio diversification and makes it more vulnerable to developments in specific markets, sectors, and companies.

Norway's sovereign wealth fund underweights US stocks, as US companies have historically achieved higher real growth than companies in other regions. Consequently, US stocks have risen and gained weight in global indices. While Norway's fund weights US stocks below the FTSE Global All Cap index, the US still holds a 50 percent weight.

Concentration risks also exist within sectors, with technology accounting for 32 percent of the fund's investments. This is reflected in the high proportion of the ten largest individual positions, eight of which are technology companies, totaling a 21 percent weight. The remaining over 7,000 companies share the remaining 79 percent.

Investors are banking on technology companies, particularly those involved in artificial intelligence (AI), to significantly increase their profits and boost productivity. However, if either expectation fails, Norway's sovereign wealth fund anticipates losses of 18 to 35 percent. Though the fund aims to maintain its equity share near the strategic target of 70 percent, it does not recommend setting upper limits for individual markets or sectors.

The fund acknowledges that the concentration level in the current benchmark index represents a characteristic of market-capitalization-weighted indices and cannot be avoided, as it would prevent investors from participating in the returns of companies with the best prospects.