Recent Submissions

  • Sovereign Risk 

    Unknown author (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 ...
  • Prospective Real Returns in Fixed Income 

    Unknown author (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 ...
  • On Risk Premium Variation 

    Unknown author (Discussion note;1/2011, Others, 2011)
    This section provides a brief introduction to modern financial economics and theories of discount factor variation.
  • The Term Premium 

    Unknown author (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 Credit Premium 

    Unknown author (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 ...
  • 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. ...
  • 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 ...
  • Time-Varying Expected Returns and Investor 

    Unknown author (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 ...
  • 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 ...
  • 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 ...
  • Return Predictability and Implications 

    Unknown author (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.
  • Risks and Rewards in Emerging Equity Markets 

    Unknown author (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 ...
  • 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, ...
  • The History of Rebalancing of the Fund 

    Unknown author (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 ...
  • 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 ...
  • The Value Effect 

    Unknown author (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, ...
  • 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.
  • Well-Functioning Financial Markets 

    Unknown author (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 ...
  • Risks and Rewards of Inflation-Linked Bonds 

    Unknown author (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 ...
  • The Structure of Inflation-Linked Bond Markets 

    Unknown author (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 ...

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