Evaluering
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.
Publisert
Eier
Finansdepartementet
Utfører
MSCI Index Research
Forfattere
Juliana Bambaci, Jennifer Bender, Remy Briand, Abhishek Gupta, Brett Hammond og Madhu Subramanian
Språk
engelsk