The Danish National Research Foundation (DNRF) was established in 1991 with a start-up capital of 2 billion DKK. Since then, the foundation received a 3 billion DKK capital injection from the government in 2009 and an additional 3 billion DKK in 2015. In 2019, the foundation also received 177.4 million DKK, with the purpose of establishing a few special research centers, the so-called Pioneer Centers, in collaboration with private foundations.

Both the capital and the return will be used to finance excellent research at an international level. The current capital is expected to support activities until the end of 2036. The Center of Excellence funding instrument can run up to ten years (6 years + 4 years), which means that most of the capital will be disposed of in 2026, ten years before the foundation’s expected expiration in 2036.


The capital is invested across different asset classes and countries. When investing, the foundation strives to ensure safety, maintenance of the capital’s real value, as well as the best possible return. The current strategic asset allocation constitutes 62.5% to various bonds and 37.5% to global equities.

The foundation’s strategic asset allocation

The strategic portfolio consists of the following asset types:

  • 37.5% Global Equities
  • 32% Danish nominal bonds
  • 11% Global inflation-linked bonds
  • 10% Investment grade bonds
  • 9.5% High-yield bonds

The foundation is subject to several placement rules, including a requirement to use external portfolio managers, per Executive Order No. 325 of March 29, 2016, for the financial management of Danish National Research Foundation funds. The foundation uses EU tenders when searching for new external portfolio managers.

Historical return

The diagram shows the development in DNRF’s return from 1998 to 2022 compared to the development in the benchmark and inflation, where the index at the end of 1997 is set to 100. At the end of 2022, the DNRF's return is at index 306, the benchmark 296 and inflation 162.
A graphic illustration of the foundations return since 1998 compared to developments in the benchmark and inflation. @DNRF

Risk management

The foundation’s risk management is built on a combination of a calculation of the portfolio’s risk based on Monte Carlo simulations (Conditional Value at Risk – CVaR), as well as on the portfolio’s return under different historical scenarios that have played out in the real world. The portfolio’s risk is compared with the foundation’s capital.

Responsible investment policy

The Danish National Research Foundation’s responsible investment policy and the goal of acting as a responsible investor are an integral part of the foundation’s overall investment principles and strategy.

The DNRF acts as a responsible investor by investing in companies that live up to common internationally accepted principles and norms for treating environmental, social, and governance (ESG) issues and by not investing in companies involved in the production of controversial weapons.

Furthermore, it is the DNRF’s goal that the foundation’s investments shall support the Paris Agreement’s goal to limit global warming to well below 2 degrees Celsius, preferably to 1.5 degrees Celsius, compared to pre-industrial levels. This requires that global greenhouse gas emissions fall by nearly half by 2030 and the greenhouse gas emissions is net-zero by 2050.

The DNRF supports this transition and takes this into account by investing in accordance with the objectives of the Paris Agreement.

It is a requirement that the foundation’s portfolio managers as a minimum live up to the DNRF’s responsible investment policy and guidelines and that all portfolio managers are signatories to the UN’s PRI.

Guidelines for equities and credit bonds

The following is relevant for the foundation’s investments in equities and corporate bonds. The guidelines are based on well-recognized principles, guidelines, conventions, treaties and international ESG standards.

When investing, portfolio managers must:

  • strive to live up to the United Nations Global Compact principles and/or OECD Guidelines for Multinational Enterprises;
  • not invest in companies that violate broadly accepted international weapons-related conventions;
  • not invest in producers of nuclear weapons in violation of the treaty on Non-Proliferation of Nuclear Weapons;
  • exclude tobacco producers;
  • strive to live up to the ILO conventions on labor rights; and
  • not invest in companies involved in the extraction of thermal coal or oil and gas extraction from tar sand or power generation from thermal coal, however allowing a:
    • maximum 5% of revenue from extraction of thermal coal or tar sand.
    • maximum 30% of revenue from power generation from thermal coal.

If the company has a credible and serious plan for divesting the thermal coal and/or tar sand business or for applying the goals of the Paris Agreement, the company may be included in the portfolio, even if the company does not comply with the limits above.

The mutual funds may have other criteria than those stated above when investing.


The regulatory framework states that the DNRF shall use external portfolio managers for all of its investments. The external portfolio managers are also responsible for implementing the responsible investment policy. Implementing the responsible investment policy may therefore differ between the portfolios/mandates.

The foundation can invest in mutual funds. However, it is not likely that a minority investor (such as the DNRF) in a mutual fund can determine the mutual fund’s policy for responsible investments. The consequence is that these portfolios/mandates may not have exactly the same policy for responsible investments as stated above.

When the foundation chooses a mutual fund, the portfolio manager’s/mutual fund’s policy for responsible investments is an important selection criterion in the overall assessment of the manager of the mutual fund. Mutual funds must at least comply with the most important parts of the DNRF’s policy for responsible investments (principles, conventions, treaties, and the Paris Agreement) at the time they are selected.

The DNRF’s managers of equities and credit bond portfolios screen the portfolios on a regular basis to identify companies that continuously violate the above-mentioned principles and conventions.

On this basis and on the basis of engagement with the companies, the portfolio manager decides which companies should be excluded based on the agreed responsible investment policy. Therefore, the exclusion lists may vary from portfolio to portfolio.


Engagement is a part of being a responsible investor. Therefore, the foundation’s external portfolio managers

  • should have a dialog with/engage with companies that do not live up to the ESG policy; and
  • should exercise their voting rights on important issues.

The foundation’s portfolio managers engage with companies in which they have invested on an ongoing basis, for example, by having a dialog with companies about the relevant issues. The engagement is based on the responsible investment policy applied to the mandate.

The DNRF’s goal is to have as high a share of exercising voting rights as possible. The portfolio managers monitor the items in the general meetings on an ongoing basis and use their voting rights on most of the items.


To follow the development toward the goal of zero emissions by 2050, the DNRF will report on the portfolio’s climate footprint and CO2 emission on the asset classes where good quality data are available. The first reporting will be on the 2022 figures and will be posted on the foundation’s website.

Government bonds

When investing in government bonds, the foundation only invests in government bonds issued by countries that act in accordance with internationally recognized principles of good governance and human rights and where the country or the key individuals in the country are not subject to UN or EU financial sanctions.

Investment committee  

In 2018 the board decided to establish an investment committee. The committee’s job is to give the board recommendations about the investment strategy, risk management, portfolio managers, responsible investment policy, and long-term forecast for the foundation’s expected disbursements.

The members of the investment committee are:

  • CIO Per Skovsted (Chair)
  • Professor Peter Løchte Jørgensen
  • Senior Director Tine Choi Danielsen

Per Skovsted (born in 1958) has a Master of Science (M.Sc.) in Business Administration from the Copenhagen Business School. Skovsted is a member of the board of Investeringsforeningen Nordea Invest, Stryhns Familieselskab A/S, True Content Entertainment A/S, VKR Holding A/S, Wide Invest ApS and Spinnewco ApS.

Skovsted joined the investment comittee on July 1, 2020 and is the chair of the investment comittee.

Peter Løchte Jørgensen (born in 1967) has a master of science (M.Sc.) in Mathematics-Economics and a Ph.D. in Finance. He is a professor of finance at the Institute of Economics at Aarhus University. Jørgensen is also chair of the board of AUFF Invest P/S, Auriga Industries A/S and Parkkollegierne A/S as well as a member of the board of AUFF Holding P/S, AUFF Komplementar ApS. P+, Pensionskassen for Akademikere, Asset Advisor Fondsmæglerselskab A/S, Asset Advisor FAIF A/S, Investeringsforeningen Selected Investments, Konsul Tømmerhandler af Horsens, Harald Blegvad Jørgensens familielegat. He is also the chair of the Carlsberg Foundation’s investment committee.

Jørgensen has been a member of the Danish National Research Foundation’s investment committee since the committee was established in April 2018 and was reappointed in 2020 for the period ending December 2022.

Tine Choi Danielsen (born 1973) holds an master of science (M.Sc.) in Economics from Aarhus University. She is Senior Director & Head of Multi Asset at PFA Pension, where she has been employed since 2019. Before Tine joined PFA, she worked for several major Nordic banks, most recently as Chief Strategist at Danske Bank Wealth Management.