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.

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.

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