Where Active Management Adds Value for a Large Asset Owner
利用挪威主权财富基金1998至2025年的数据，研究大型资产所有者如何将有限的风险预算分配给实施、证券选择和配置活动，发现实施导向活动（如增强指数化、市场敞口管理和证券借贷）带来的收益最稳定，而自由裁量配置平均降低了相对基准的回报。
Large benchmarked asset owners face a practical portfolio problem: how to allocate scarce active-risk budget across implementation, security selection, and allocation. We study this problem using evidence from Norway’s sovereign wealth fund, combining fund-level data from 1998 through 2025 with strategy-level evidence from 2013 through 2025. The most consistent gains came from implementation-oriented activities that scaled across a very large portfolio, including enhanced indexing, market-exposure management, and securities lending. Equity security selection also added value, though less uniformly. Discretionary allocation reduced benchmark-relative returns on average. The evidence suggests that asset owners with similar scale, benchmark governance, and internal implementation capacity should fund repeatable implementation advantages first, use security selection selectively, and apply a higher hurdle to broad discretionary allocation. The Norwegian case is distinctive, but the allocation principle is more general.