• Government Pension Fund Global : Annual Report 2008 

      Ukjent forfatter (Report, 2009)
    • Statens pensjonsfond utland : Årsrapport 2008 

      Ukjent forfatter (Årsrapport;2008, Report, 2009)
    • Statens pensjonsfond utland : Årsrapport 2009 

      Ukjent forfatter (Årsrapport;2009, Report, 2010)
    • Government Pension Fund Global : Annual Report 2009 

      Ukjent forfatter (Annual report;2009, Report, 2010)
    • Sovereign Risk 

      Ukjent forfatter (Discussion note;5/2011, Others, 2011)
      Government debt has increased sharply in most developed countries in the wake of the financial crisis. The increased debt burden comes on top of an expected surge in debt due to demographics. Sharpened by the European ...
    • Prospective Real Returns in Fixed Income 

      Ukjent forfatter (Discussion note;2/2011, Others, 2011)
      In this paper, we discuss the potential long-term real return implications of current yield levels in developed economies’ government bond markets. Treasury yields in the major economies are at or very close to their ...
    • The Credit Premium 

      Ukjent forfatter (Discussion note;3/2011, Others, 2011)
      In this section, we review the theory and empirical evidence of the credit premium. The credit premium is the excess return that an investor obtains for holding bonds issued by entities other than governments. A natural ...
    • The Term Premium 

      Ukjent forfatter (Discussion note;4/2011, Others, 2011)
      In this section, we review the theory and empirical evidence of the term premium. The term premium is the excess return that an investor obtains in equilibrium from committing to hold a long-term bond instead of a series ...
    • Statens pensjonsfond utland : Årsrapport 2010 

      Ukjent forfatter (Årsrapport;2010, Report, 2011)
    • Government Pension Fund Global : Annual Report 2010 

      Ukjent forfatter (Annual report;2010, Report, 2011)
    • On Risk Premium Variation 

      Ukjent forfatter (Discussion note;1/2011, Others, 2011)
      This section provides a brief introduction to modern financial economics and theories of discount factor variation.
    • Empirical Analysis of Rebalancing Strategies 

      Ukjent forfatter (Discussion note;3/2012, Others, 2012)
      We review the theoretical foundation for rebalancing regimes and look at the impact of rebalancing on the portfolio’s risk and return based on historical return data from 1970 to 2011. We compare both different calendar ...
    • Alternatives to a Market-Value-Weighted Index 

      Ukjent forfatter (Discussion note;7/2012, Others, 2012)
      We study alternative portfolio construction methods in an attempt to improve the return-to-risk characteristics of market value weights. To understand the investability of these approaches we introduce a novel way to measure ...
    • Capturing Systematic Risk Premia 

      Ukjent forfatter (Discussion note;8/2012, Others, 2012)
      This note illustrates the empirical risk/return characteristics of the different risk premia, and how one can design scalable investment strategies to capture systematic risk premia.
    • Risks and Rewards of Inflation-Linked Bonds 

      Ukjent forfatter (Discussion note;10/2012, Others, 2012)
      Inflation-linked bonds are fixed-income securities whose principal and coupons are linked to price indices. They are designed to eliminate the risk of unexpected inflation to the holders of the bonds. In this discussion ...
    • A Survey of the Small-Firm Effect 

      Ukjent forfatter (Discussion note;12/2012, Others, 2012)
      The small-firm effect (SFE) refers to the long-term average excess returns that a portfolio of small-capitalisation stocks earns over a portfolio of large-capitalisation stocks. In this note, we review the extensive empirical ...
    • Modelling the Implied Tail Risk of Foreign Exchange 

      Ukjent forfatter (Discussion note;15/2012, Others, 2012)
      From a risk management perspective, tail risks and return distribution asymmetries of investments are important to analyse. In this note, we describe a modelling approach that addresses some of the weaknesses of standard ...
    • Return Predictability and Implications 

      Ukjent forfatter (Discussion note;2/2012, Others, 2012)
      We review the academic literature on the empirical phenomenon of return predictability and discuss its implications for the rebalancing policy of long-term investors.
    • The Value Effect 

      Ukjent forfatter (Discussion note;16/2012, Others, 2012)
      In this note, we review the theory and empirical evidence of the value effect. The value effect is the excess return that a portfolio of value stocks (stocks with a low market value relative to fundamentals) has, on average, ...
    • Risks and Rewards in Emerging Equity Markets 

      Ukjent forfatter (Discussion note;6/2012, Others, 2012)
      We survey the literature on the risks and rewards in emerging equity markets. Drawing on theoretical and empirical arguments, we assess whether a long-term investor should have a strategic allocation to these markets that ...