EFTA01364469.pdf

Cost and Liquidity Advantages - Risk Premia investing has grown from a relatively niche investing style into a significant global investment industry with a broad range of participants. — The substantially greater liquidity and lower cost of these investments when compared to HFs is leading to rapid adoption among institutional clients. pka NBIM Norges Bank Investment Management Andra AP-fonden ShnNa Seer..NA lIerNexil has.on an ■ Norges Bank Investment Management, manager of the ■ PKA pension, a large Danish Norwegian state oil fund ■ AP2, one the Swedish state pension funds occupational pension fund manager ■ Began a study of portfolio returns in ■ Implementing a strategic overhaul of 2008, following equity market losses ■ Identified systematic risk premia as underlying the returns of many its entire equity investment strategy — identified systematic risk premia as a meaningful diversifier to its large hedge funds — managers were ■ Unwinding all traditional external equity beta portfolio generating alternative beta, rather equity mandates, in favour of a than true alpha highly diversified portfolio of Risk ■ In the process of implementing Risk ■ AP2 is now implementing Risk premia investments, capturing both Premia Approach across multiple traditional and alternative betas premia premia investments across asset classes as a transparent, liquid, low- within the equity space cost alternative to hedge funds and a diversifier to equities CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055009 CONFIDENTIAL SDNY_GM_00201193 EFTA01364469