• The Quality Factor 

      Ukjent forfatter (Discussion Note;3/2015, Others, 2015)
      Quality-based investment strategies aim to capture the documented excess returns of high-quality stocks over low-quality stocks. In this note, we review the empirical evidence on the quality premium and discuss some of the ...
    • The Structure of Inflation-Linked Bond Markets 

      Ukjent forfatter (Discussion note;9/2012, Others, 2012)
      We describe the market structure of global inflation-linked bonds to evaluate to what degree they constitute an investable and homogeneous asset class. In particular, we discuss the market’s growth, size and composition ...
    • 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 ...
    • 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, ...
    • Time-Varying Expected Returns and Investor 

      Ukjent forfatter (Discussion note;1/2012, Others, 2012)
      What is the optimal rebalancing policy for a portfolio’s equity and bond holdings? The classical answer, building on the seminal contributions by Mossin (1968), Merton (1969, 1971), Samuelson (1969) and others, is that ...
    • Well-Functioning Financial Markets 

      Ukjent forfatter (Discussion note;13/2012, Others, 2012)
      In this note we discuss the theoretical foundation for well-functioning financial markets and why well-functioning financial markets are essential to reach the objective for the management of the Fund. Against this background ...