Historisk arkiv

Mandat for ekspertgruppe som skal evaluere Norges Banks resultater i den aktive forvaltningen

Historisk arkiv

Publisert under: Regjeringen Stoltenberg II

Utgiver: Finansdepartementet

Project mandate

i) Evaluation of NBIM’s historical track record:

  • Prepare a quantitatively based evaluation of the performance of NBIM’s active management. The analysis should distinguish between the two asset classes (fixed income and equities) and, within the limits of available data, include a breakdown of performance by main active strategies that were used by NBIM in the evaluation period. The analysis should also cover the internally versus externally managed funds dimension. Methodologies for evaluating return, risk and risk adjusted return  may be adapted to the particular area under scrutiny.
  • Prepare a qualitatively based evaluation of NBIM’s active management. This part of the report should include assessments of i.a.: the strategic plans for active management, the risk budgeting process, internal and external reporting of active management risks and return, and whether or to what extent the specific strategies that have been used in NBIM’s active management have been based on exploiting the characteristics of the Fund (cf. third bullet in iii)

ii) Empirical studies of active management/tests of the efficient market hypothesis (EMH):

  • Describe briefly the efficient market hypothesis from a theoretical perspective.
  • Present a survey of high-quality empirical studies of tests of the EMH in general with particular emphasis on tests of relevance to evaluations of active management performance, and discuss to what extent the relevance of the EMH varies across different markets and assets.
  • Evaluate the relevance of empirical evidence for the evaluation of active management of GPFG.

iii) Exploitation of the Fund's characteristics

  • Assess whether or to what extent a large long term investor like the GPFG has comparative advantages and capabilities which justify utilizing significant resources on active management.
  • Assess whether or to what extent such comparative advantages can be implemented successfully in all asset classes included in the Fund’s investments, and discuss to what extent such comparative advantages and capabilities will affect the Fund’s capability to enter into new asset classes.
  • Describe and evaluate strategies that utilize possibly comparative advantages. How can the risk/return-profile of each strategy be described in terms of a probability distribution of outcomes, and what is the verification horizon of each strategy? Address challenges in designing a proper (short term) incentive system for the active manager. In the case of strategies with long verification horizons, would it be better to include such strategies in the strategic benchmark (possibly by using a dynamic asset allocation approach)?