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The importance of market movements, asset allocation policy and active management for government pension funds – evidence from GPFG, CPP and GPIF

Repstad, Pål Jacob; Syltøy, Kenneth
Master thesis
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2287245.pdf (2.927Mb)
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http://hdl.handle.net/11250/2626240
Utgivelsesdato
2019
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Samlinger
  • Master of Science [1117]
Sammendrag
The motivation behind this paper is to identify how important market

movements, asset allocation policy and active management is for the Norwegian,

Canadian and Japanese government pension funds’ returns. We use data from

the funds’ financial reports to examine this importance in terms of variance, and

further estimate how each fund’s active management contributes value to

returns. Our results are in line with previous literature, namely that market

movements explain the bulk of the variance in returns. Further, asset allocation

policy and active management explain about the same amount. We also find

evidence suggesting that two of three funds add value through their active

management.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019
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Handelshøyskolen BI

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