foreign exchange reserves
Size and return
Key figures as of 30 September 2011. Annualised data. Measured in international currency basket
|
Past year |
Past 3 years |
Past 5 years |
Past 10 years |
Since 01.01.98 |
| Portfolio return (percent) |
1.14 |
6.55 |
2.76 |
4.72 |
4.67 |
| Benchmark return (percent) |
1.07 |
5.45 |
2.73 |
4.56 |
4.53 |
| Excess return (percentage points) |
0.07 |
1.10 |
0.03 |
0.16 |
0.13 |
| Standard deviation (percent)1) |
4.29 |
9.02 |
8.15 |
6.15 |
5.41 |
| Tracking error (percentage points) |
0.54 |
1.72 |
1.48 |
1.05 |
0.90 |
| Information ratio 2) |
0.13 |
0.64 |
0.02 |
0.15 |
0.15 |
|
|
|
|
|
|
| Gross annual return (percent) |
1.14 |
6.55 |
2.76 |
4.72 |
4.67 |
| Annual price inflation (percent) |
2.9 |
1.4 |
2.1 |
2.0 |
1.9 |
| Annual management costs (percent) |
0.05 |
0.06 |
0.07 |
0.06 |
0.07 |
| Annual net real return (percent) |
-1.80 |
5.06 |
0.62 |
2.56 |
2.64 |
| Annual gross excess return (percentage points) |
0.07 |
1.10 |
0.03 |
0.16 |
0.13 |
1) The standard deviation is a measure of variations in the return/excess return during a period. Each monthly return/excess return
is compared with the mean for the period. The higher the standard deviation, the greater the variations relative to the mean and
the higher the risk.
2) The information ratio (IR) is a measure of risk-adjusted return. It is calculated as the ratio of excess return to the actual relative
market risk (as measured by tracking error) to which the portfolio has been exposed. The IR indicates how much excess return
has been achieved per unit of risk.
Key figures. Quarterly data
|
3Q 2011 |
2Q 2011 |
1Q 2011 |
4Q 2010 |
Q3 2010 |
| Market value (billions of NOK) |
|
|
|
|
|
| Fixed income portfolio |
129.2 |
127.0 |
126.8 |
130.9 |
135.7 |
| Equity portfolio |
83.0 |
92.0 |
94.3 |
93.8 |
86.3 |
| Overall portfolio |
213.3 |
219.0 |
221.1 |
224.7 |
222.0 |
|
|
|
|
|
|
| Inflows of new capital |
-12.9 |
0.0 |
0.0 |
0.0 |
-4.7 |
| Return |
-7.6 |
2.0 |
3.5 |
4.4 |
13.6 |
| Change due to movements in krone |
13.7 |
4.1 |
-7.1 |
-1.7 |
-14.0 |
|
|
|
|
|
|
| Return in international currency (percent) |
|
|
|
|
|
| Equity portfolio |
-15.39 |
-0.51 |
3.18 |
9.48 |
9.63 |
| Fixed income portfolio |
5.67 |
2.13 |
0.39 |
-2.71 |
3.48 |
| Overall portfolio |
-3.36 |
1.01 |
1.55 |
2.03 |
5.75 |
| Benchmark portfolio |
-2.88 |
0.99 |
1.13 |
1.90 |
5.16 |
| Excess return (percentage points) |
-0.48 |
0.02 |
0.42 |
0.13 |
0.60 |
|
|
|
|
|
|
| Return in kroner (percent) |
|
|
|
|
|
| Equity portfolio |
-9.74 |
-2.43 |
-0.03 |
8.63 |
3.46 |
| Fixed income portfolio |
12.72 |
0.16 |
-2.73 |
-3.47 |
-2.35 |
| Overall portfolio |
3.08 |
-0.95 |
-1.60 |
1.24 |
-0.20 |
| Benchmark portfolio |
3.59 |
-0.96 |
-2.02 |
1.11 |
-0.76 |
