We have reviewed Norges Bank's active management of the Government Pension Fund Global, referred to simply as the “Fund.”The absolute performance of the Fund is almost entirely determined by the benchmark choice set by the Ministry of Finance (the asset owner) and is dominated by equity...

We recover a forward-looking distribution of expected abnormal returns (alphas)for active equity mutual funds from analyst ratings. Professional analysts believe thatalphas are dispersed, that the average fund will underperform, and that the largestfunds will outperform. We estimate a rational...

Past trends in fundamentals linked to economic activity and inflation predict currency returns. We find that a trading strategy that goes long currencies with strong economic momentum and short currencies with weak economic momentum exhibits an annualized Sharpe ratio of 0.70 and yields a...

We study a dynamic equilibrium model of mutual fund investing under career concerns that features investment opportunities at different horizons. Equilibrium returns are endogenously determined by competition. Short-term investment strategies can benefit fund managers by accelerating skill...

The largest asset managers in the world report their expectations publicly in so-called capital market assumptions. We collect these expectations and revisit the relationship between equity premium expectations and equity valuation ratios. Asset managers' equity premium expectations are high...