• 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 ...
    • The Equity Risk Premium 

      Ukjent forfatter (Discussion note;1/2016, Others, 2016)
      In this note, we review the extensive theoretical and empirical evidence on one of the most important variables in financial economics – the equity risk premium (ERP).
    • The History of Rebalancing of the Fund 

      Ukjent forfatter (Discussion note;4/2012, Others, 2012)
      In this note we dig deeper into the rebalancing question and examine how the Fund’s rebalancing rules have impacted overall risks and returns. We find that the rules for rebalancing have served the fund well and contributed ...
    • The Liquidity of a Diversified Portfolio 

      Ukjent forfatter (Discussion note;3/2017, Others, 2017)
      In this note, we assess the trading liquidity of a globally diversified equity and fixed-income portfolio.
    • 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 ...