• Infrastructure Investments 

      Ukjent forfatter (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 

      Ukjent forfatter (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 

      Ukjent forfatter (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 

      Ukjent forfatter (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 

      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 ...
    • Momentum in Futures Market 

      Ukjent forfatter (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 ...
    • No-trade band rebalancing rules : Expected returns and transaction costs 

      Ukjent forfatter (Discussion Note;1/2018, Others, 2018)
    • 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.
    • Petroleum Wealth and Oil Price Exposure of Equity Sectors 

      Ukjent forfatter (Discussion Note;4/2017, Others, 2017)
      In this note, we analyse the short- and long-term co-movement of equity sectors with oil prices. We discuss how Norwegian petroleum wealth is exposed to a permanent oil price decline through sectors that co-move with oil prices.
    • Portfolio delegation and the effects of benchmarks 

      Ukjent forfatter (Discussion Note;1/2020, Others, 2020)
    • 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 ...
    • Renewable Energy Investments 

      Ukjent forfatter (Discussion note;4/2015, Others, 2015)
      The market for renewable energy investments has grown markedly over the last ten years, and is a market in constant change. In this note we look closer at infrastructure investments in renewable energy. Our objective is ...
    • 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.
    • Risk and Return of Different Asset Allocations 

      Ukjent forfatter (Discussion Note;2/2016, Others, 2016)
      In this note, we evaluate the risk and return characteristics of equities and government bonds, and discuss how the risk and return profile of a portfolio of these asset classes varies with the size of the equity allocation ...
    • 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 ...
    • 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 ...
    • 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 ...
    • Syndicated Loans 

      Ukjent forfatter (Discussion note;4/2014, Others, 2014)
      Investments in private debt may provide attractive investment opportunities for a large investor able and willing to commit funds to illiquid instruments. In this note we look closer at one particular type of private debt ...
    • 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 Diversification Potential of Real Estate 

      Ukjent forfatter (Discussion note;1/2015, Others, 2015)
      We review the return characteristics and return drivers of private real estate investments and assess these in the perspective of a multi-asset portfolio. Our conclusions are based on our interpretation and weighting of ...