Dynamic factor portfolios in the Norwegian stock market
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- Master's theses (HH) 
We test how dynamic factor portfolios utilizing acknowledged market anomalies perform on Oslo Stock Exchange in the period 1998 to 2015. The individual factor portfolios have varying performance over the market through time, but carry a significantly lower level of risk and higher risk-adjusted return. Together with low correlation and cross-exposure in factors, they clearly give a diversification effect. Our equally weighed factor portfolio produces a higher risk-adjusted return over the market (M2). Even though the use of leverage is controversial, an investor could achieve the same performance as the market with half the risk of an index fund by adding leverage. This study is especially interesting for long term institutional investors.