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Sovereign Wealth Funds Briefing - Categorized | Compliance/Regulation/Legal, Fund Management/Administration

Norway Global should overhaul benchmarks

Posted on 15 January 2010

From Pionline.com: The 2.59 trillion Norwegian kroner ($458 billion) Government Pension Fund-Global should develop benchmarks that incorporate factors such as momentum or value/growth that “mimic active strategies,” while continuing to search for alpha by employing skilled active managers, according to a report by three finance professors.

“Bringing these factors and their exposures into the benchmark (return) of the fund allows the benchmark to reflect risk premiums recognized by both theory and practice, creates more robust portfolios and, most importantly, allows the investor to determine the appropriate amount of each factor exposure,” said the report, written by Andrew Ang, William N. Goetzmann and Stephen M. Schaefer…………………………………Full Article: Source

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