australiaen

Norwegian Government Pension Fund

Interest in factor investing has increased substantially as a result of research in 2009 into the investment results realized by the Norwegian government oil fund.

The fund invests the revenue from oil and gas extraction for future generations. In 2009, it commissioned a study* into the investment performance of active management. The disappointing investment results realized in 2008 formed the underlying rationale for this.

* A. Ang, W.N. Goetzmann, S.M. Schaefer: 'Evaluation of Active Management of the Norwegian Government Pension Fund', 2009.

The conclusion from this study by Ang, Goetzmann and Schaefer was that the results of active management could be explained by exposure to factors.

Their recommendation was to allocate specifically to factors. Interest in factor investing increased further as a result of this study.

Quantitative investing: invisible layers surface to deliver attractive returns
Quantitative investing: invisible layers surface to deliver attractive returns
Read more
Are credit factor premiums robust to inflation?
Are credit factor premiums robust to inflation?
With inflation worries having gained momentum, we investigate how inflation has affected credit factor premiums in the past.
24-09-2021 | Insight
Seizing opportunities in emerging markets credits
Seizing opportunities in emerging markets credits
Global credit investors can no longer easily ignore emerging markets (EM) hard-currency corporate bonds.
08-09-2021 | Research
Momentum is a self-fulfilling prophecy and therein lies its strength
Momentum is a self-fulfilling prophecy and therein lies its strength
The Momentum premium arises from mistakes in human reasoning.
06-09-2021 | Insight