• A Survey of the Small-Firm Effect 

      Unknown author (Discussion note;12/2012, Others, 2012)
      The small-firm effect (SFE) refers to the long-term average excess returns that a portfolio of small-capitalisation stocks earns over a portfolio of large-capitalisation stocks. In this note, we review the extensive empirical ...
    • Alternatives to a Market-Value-Weighted Index 

      Unknown author (Discussion note;7/2012, Others, 2012)
      We study alternative portfolio construction methods in an attempt to improve the return-to-risk characteristics of market value weights. To understand the investability of these approaches we introduce a novel way to measure ...
    • Asset Allocation with Government Revenues and Spending Commitments 

      Unknown author (Discussion Note;4/2016, Others, 2016)
      In this note, we explore the implications of expanding the discussion about the equity share in the Norwegian Government Pension Fund Global to include revenues and spending commitments, using a stylised simulation framework.
    • The asset pricing effects of ESG investing 

      Unknown author (Discussion Note;1/2021, Others, 2021)
    • Benchmark Design for an Active Investment Process 

      Unknown author (Discussion note;6/2014, Others, 2014)
      Most equity funds are benchmarked to market capitalisation weighted indices. A large investor may wish to design nonmarket capitalisation weighted benchmarks to maximise the benefit to the investor of the stock picking ...
    • Board Appointment Practices - an International Overview 

      Unknown author (Discussion note;11/2012, Others, 2012)
      Shareholders receive return on their invested equity only after the company has ensured the fulfilment of obligations to all other parties. Shareholders are therefore rightly given prerogatives to influence the company, ...
    • Capturing Systematic Risk Premia 

      Unknown author (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 

      Unknown author (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 

      Unknown author (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 

      Unknown author (Discussion note;01/2019, Others, 2019)
    • Currency Carry Trade 

      Unknown author (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 

      Unknown author (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 

      Unknown author (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 ...
    • Free Float Adjustments in Global Equity Portfolios 

      Unknown author (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 

      Unknown author (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 

      Unknown author (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 

      Unknown author (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 

      Unknown author (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 

      Unknown author (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 

      Unknown author (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.