Gå til hovedtekst


Harvesting Risk Premia for Large Scale Portfolios : Analysis of risk premia indices for the Ministry of Finance, Norway

An accumulating body of empirical research has found positive gross excess returns from exposure to risk factors (or risk premia) such as Value, Momentum, Low Size (Small firms), and Low Volatility stocks. The studies show that these factors historically have improved return-to-risk ratios. Over time, increasing attention has been given to the important practical questions facing investors who wish to implement exposure to one or more of these factors in actual portfolios. However, factor investing for very large-scale portfolios has not been well studied. On this basis, MSCI was engaged by the Norwegian Ministry of Finance to analyze simple rules-based factor strategies, with emphasis on risk, performance, and investability. Simple rules-based strategies provide a good starting point for evaluating exposure to various risk factors.

Last ned dokumenter

  1. Evalueringsrapporten (pdf, 3.9MB)

Gi tilbakemelding

Ser du en feil i de registrerte dataene? Hjelp oss forbedre metadatakvaliteten gjennom å sende oss en epost med informasjon om hva som er galt

DATE2017-04-08 22:07:34.958133
MODIFIED 2018-01-26 10:00:39.915725+00:00
CREATED 2017-04-08 22:07:34.958133
Direktoratet for økonomistyring, Pb 7154 St. Olavs plass, 0130 Oslo | E-post: evaluering@dfo.no | Personvernerklæring (Privacy policy)