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The Quality Factor
(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
(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
(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
(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
(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
(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 ...