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Capturing Systematic Risk Premia
(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. -
Corporate Bonds in a Multi-Asset Portfolio
(Discussion note;2/2017, Others, 2017)In this note, we evaluate the risk and return characteristics of corporate bonds, and discuss the role of this asset class in a multi-asset portfolio consisting of equities and nominal Treasury bonds in addition to corporates. ... -
Corporate Governance
(Discussion note;14/2012, Others, 2012)In this discussion note, NBIM’s expectations on corporate governance are presented. Expectations directed at boards are discussed, as is the rationale for focusing on board accountability and equal treatment of shareholders. ... -
Country and industry effects in global equity returns
(Discussion note;01/2019, Others, 2019) -
Currency Carry Trade
(Discussion note;3/2014, Others, 2014)The carry trade in currency markets means that an investor buys a high-yielding currency and finances this by borrowing money in a currency with a low interest rate. The empirical literature on the carry trade indicates ... -
Economic Growth and Equity Returns
(Discussion note;5/2012, Others, 2012)We study the links between economic growth and equity market returns to evaluate whether structural changes to global growth composition have implications for longer-term strategic allocations. In particular, we assess ... -
Empirical Analysis of Rebalancing Strategies
(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 ... -
Expected returns on a multi-asset portfolio
(Discussion Note;1/2022, Others, 2022) -
Free Float Adjustments in Global Equity Portfolios
(Discussion note;5/2014, Others, 2014)Free float represents the portion of a company’s shares that is publicly traded as opposed to locked-in shares held by strategic investors. In this note, we compare the rationale and various implications of using full ... -
Fundamental drivers of asset returns
(Discussion Note;2/2021, Others, 2021)Asset returns are driven by changes to their expected future cash flows and the corresponding discount rates. In this note, we use this idea to identify the fundamental drivers of equity and bond returns based on expected ... -
Global Equity Indices – a Comparative Study Between FTSE and MSCI
(Discussion note;2/2014, Others, 2014)In this note we present a review of construction practices and performance of global equity benchmarks from the perspective of a large long-term global asset owner. Our objective is to gain a better understanding of the ... -
Global Growth and Equity Returns
(Discussion note;3/2016, Others, 2016)Global economic growth and long-term growth forecasts are trending lower. Slower labour force growth, public debt overhang and declining productivity growth have been put forward as possible explanations. In this note, we ... -
Global Trends and Their Impact on Real Estate
(Discussion note;2/2015, Others, 2015)We review the global trends that are likely to have a significant impact on real estate markets over the coming decades. These are: globalisation, technological progress, sustainability, demographic changes and urbanisation. ... -
High Frequency Trading – an Asset Manager's Perspective
(Discussion note;1/2013, Others, 2013)In this note we review the rapidly expanding literature in the area of market microstructure, high frequency and computer-based trading. On the back of this and based on our own investment and trading experiences, we ... -
Infrastructure Investments
(Discussion note;2/2013, Others, 2013)In this note we look closer at infrastructure investments. Our objective is to provide an overview of the opportunity set, key risks and return drivers. -
Infrastructure Investments in Less Mature Markets
(Discussion note;5/2015, Others, 2015)Rapid growth in emerging markets and developing economies (EMDEs) has fuelled demand for infrastruc-ture to support economic and social development. In this note we look closer at infrastructure investments in these less ... -
International Diversification for Long-Term Investors
(Discussion note;1/2017, Others, 2017)In this note, we explore the benefits of international diversification from the perspective of a long-term, multi-asset investor. -
Modelling equity market term structures
(Diskusjonsnotater;3/2021, Others, 2021)We outline a methodology for estimating term structures of expected dividend growth and risk premiums, which we apply to equity markets in the US, euro area, Japan, and the UK. These term structures are key inputs when ... -
Modelling the Implied Tail Risk of Foreign Exchange
(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 ... -
Momentum in Futures Market
(Discussion note;1/2014, Others, 2014)In this note, we survey the academic literature and provide empirical evidence related to time-series momentum strategies in the futures markets. We find that this phenomenon is remarkably consistent across 47 diverse ...