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Benchmark index

The fund’s investments are measured against a benchmark index set by the Ministry of Finance on the basis of indices from FTSE Group and Bloomberg Barclays Indices.

The benchmark index is made up of global equity and bond indicies. The equity portion of the benchmark index is based on the FTSE Global All Cap index and comprised 45 countries and 9,191 listed companies at the end of 2023. The fixed-income portion of the benchmark index is based on indicies from Bloomberg Barclays indicies and comprised 17,565 bonds from 2,398 issuers. The fixed-income investments are allocated 70 percent to bonds issued by government and related institutions and 30 percent to securities issued by the corporate sector. 

Benchmark index

As at 31.12.2023

 Asset class   Strategic benchmark indices   Actual benchmark indices 
 Asset class  Equity  Strategic benchmark indices                                              70.00 Actual benchmark indices                             71.83
 Asset class  Fixed income Strategic benchmark indices                                                  30.00 Actual benchmark indices                              28.17
 Asset class  Total  Strategic benchmark indices                                                 100.00 Actual benchmark indices                                            100.00


As at 31 December 2023

Region Percent
RegionNorth AmericaPercent50.85
RegionUnited StatesPercent48.81
RegionUnited KingdomPercent6.15
RegionCzech RepublicPercent0.01
RegionTaiwan Province of ChinaPercent2.16
RegionHong Kong SARPercent0.61
RegionNew ZealandPercent0.10
RegionLatin AmericaPercent1.08
RegionMiddle EastPercent0.59
RegionUnited Arab EmiratesPercent0.18
RegionSouth AfricaPercent0.38

Fixed income

As at 31 December 2023

Currency Percent
CurrencyUS dollarPercent50.37
CurrencyJapanese yenPercent6.52
CurrencyBritish poundPercent5.65
CurrencyCanadian dollarPercent3.78
CurrencyAustralian dollarPercent2.24
CurrencySwiss francPercent0.98
CurrencySwedish kronaPercent0.71
CurrencySingapore dollarPercent0.47
CurrencyDanish kronePercent0.47
CurrencyNew Zealand dollarPercent0.36
CurrencyHong Kong dollarPercent0.03

Benchmark description

The Government Pension Fund Global composite was assigned a benchmark on 1 January 2017, after the Ministry of Finance changed its management mandate to specify that all the fund’s investments, including the real estate and unlisted renewable infrastructure investments, are to be measured against the fund’s benchmark index consisting of global equity and bond indices. For periods prior to 2017 no benchmark returns are presented, as no appropriate benchmark had previously been assigned to the real estate portion of the fund. Any benchmark for the total portfolio would have excluded this asset class; therefore, none had been deemed appropriate. The current strategic benchmark index weights, adopted on 1 May 2019, are 70 percent for equity and 30 percent for fixed income.

In the period from 1 January 2017 to 1 May 2019 the strategic weights for the benchmark assigned by the Ministry of Finance were 62.5 percent equity and 37.5 percent fixed income. On 30 June 2017, the Ministry of Finance set a target for moving the strategic benchmark weights to 70 percent for equity and 30 percent for fixed income. On 1 May 2019, the transition was complete and the strategic benchmark weights were amended to 70 percent for equity and 30 percent for fixed income.

The equity part of the strategic benchmark index is composed on the basis of the FTSE Global All Cap Index. The benchmark is market capitalisation weighted with an additional layer of country factors applied to it. The equities in the benchmark index are assigned the following factors based on their country of origin: European developed markets excluding Norway 2.5, USA and Canada 1, other developed markets 1.5 and emerging markets 1.5. The allocation to countries and regions and the distinction between developed and emerging markets are based on the FTSE Global All Cap Index. New markets added to the FTSE Global All Cap Index from 1 January 2019 onwards are assigned a weight of 0. The benchmark is adjusted for the Norges Bank’s tax position on dividends. Securities issued by companies excluded by Norges Bank pursuant to the guidelines for observation and exclusion from the Government Pension Fund Global are not included in the benchmark index for the equity portfolio. At year-end the equity benchmark consisted of 45 countries and around 9,200 securities.

The fixed-income part of the strategic benchmark index consists of 70 percent developed market government debt (nominal and inflation-linked government bonds, and including bonds issued by supranational organisations) and 30 percent developed market corporate debt (corporate bonds, including covered bonds). The index consists of the Bloomberg Barclays Global Treasury, GDP weighted by country, the Bloomberg Barclays Global Inflation-Linked index (Series L), and the subgroup Supranational (within government related) in the Bloomberg Barclays Global Aggregate bond index for the government sector and all corporate bonds and the subgroup covered bonds within Bloomberg Barclays Global Aggregate limited to the currencies US dollars, Canadian dollars, euros, British pounds, Swedish kronor, Danish kroner and Swiss francs. The Bloomberg Barclays indices are not adjusted for withholding tax but are adjusted for excluded companies/issuers. At year-end the benchmark consisted of 12 currencies and around 17,600 securities.

In the operational management of the fund, to ensure an overall risk management of the fund, the listed, unlisted real estate and unlisted renewable infrastructure investments are assigned benchmarks with a combination of bonds and equities from the overall GPFG benchmarks tailor-made to the actual currency composition and characteristics of the real estate and unlisted renewable infrastructure investments. The remaining investments are assigned benchmarks where the actual composition of the unlisted renewable infrastructure, unlisted and listed real estate benchmark are adjusted from the actual benchmark.

Last saved: 27/02/2024

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