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Returns

The fund seeks to achieve the highest possible long-term return with an acceptable risk.

Returns in international currency

The fund is invested in international securities. Returns are generally measured in international currency – a weighted combination of the currencies in the fund’s benchmark index for equities and bonds. The fund’s currency basket consisted of 34 currencies at the end of first quarter 2018. Unless otherwise stated, results are measured in this currency basket.

The Norwegian government first transferred capital to the fund in May 1996. By the end of first quarter 2018, the fund had received a total of 3,328 billion kroner and amassed a cumulative return of 3,980 billion kroner.

The fund generated an annual return of 5.9 percent between 1 January 1998 and the end of the first quarter of 2018. After management costs and inflation, the annual return was 4.0 percent.

In decomposing the fund's relative return and risk-adjusted return we distinguish between the terms equity investments and equity management. Equity investments is the total holding of listed stocks measured against the strategic equity benchmark from the Ministry of Finance. Equity management is our holding of listed stock excluding listed real estate that is managed together with unlisted real estate in the overall real estate management, measured against a benchmark adjusted for funding of listed and unlisted real estate investments. The same goes for fixed income. 

All figures in charts and tables below are as at 31 March 2018.

Annual return and accumulated annualised return

In percent

Annual return

By asset class. Percent

Return figures

Measured in the fund's currency basket. Percent

  Year-to date 31.03.2018 2017 2016 2015 2014 2013
1 Excluding Norway and Norwegian kroner. Indices forming the basis for subindices from the Ministry of Finance.
FTSE Global All Cap index1 -2.23 17.80 11.02 3.14 11.84 25.08
Equity part of the fund's benchmark index -2.26 18.68 8.58 3.00 8.73 24.99
The fund's equity investments -2.22 19.44 8.72 3.83 7.90 26.28
             
Bloomberg Barclays Global Aggregate index1 -0.04 1.79 4.12 1.76 7.81 -1.62
Fixed-income part of the fund's benchmark index -0.44 2.88 4.16 0.57 7.59 -0.15
The fund's fixed-income investments -0.37 3.31 4.32 0.33 6.88 0.10
             
The fund's unlisted real estate investments 2.50 7.52 0.78 9.99 10.42 11.79
             
Total return on fund -1.53 13.66 6.92 2.74 7.58 15.95
Relative return on fund (percentage points) 0.13 0.70 0.15 0.45 -0.77 0.99
             
Management costs 0.02 0.06 0.05 0.06 0.06 0.07
Return on fund after management costs -1.55 13.60 6.87 2.68 7.52 15.88
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Key figures

In billions of kroner

  YEAR-TO-DATE 31.03.2018 2017 2016 2015 2014 2013
1 Includes listed real estate investments from 1 November 2014 to the end of 2016.
2 The fund’s market value shown in this table does not take into account the management fee. Owner’s capital in the financial statements equals the fund’s market value less accrued, not paid, management fees.
3 Paid management fees are specified separately, and not included in Inflow/withdrawal of capital. The accrued management fee for 2017 of 4.7 billion kroner was withdrawn from the krone account in the first quarter of 2018, but was unsettled per 31 March 2018 and will be cash-settled in the second quarter.
4 Total inflow of capital shown in this table is adjusted for accrued, not paid, management fees.
5 Management costs in subsidiaries, see Table 10.2 in the financial reporting section, are not included in the management fees. Management costs in subsidiaries have been deducted from the fund’s return before management fees.
Market value            
Equity investments 5,376 5,653 4,692 4,572 3,940 3,107
Unlisted real estate investments1 217 219 242 235 141 52
Fixed-income investments 2,532 2,616 2,577 2,668 2,350 1,879
Market value of fund2 8,124 8,488 7,510 7,475 6,431 5,038
Accrued, not paid, management fees2 -1 -5 -4 -4 -3 -3
Owner's capital2 8,123 8,484 7,507 7,471 6,428 5,035
             
Inflow/withdrawal of capital3 -6  -61 -101 46 150 241
Paid management fees3 -5  -4 -4 -3 -3 -2
Return on fund -171  1,028 447 334 544 692
Changes due to fluctuations in krone  -183 15 -306 668 702 291
Total change in market value -364 978 35 1,044 1,393 1,222
             
Changes in value since first capital inflow in 1996
Total inflow of capital4 3,328  3,337 3,397 3,499 3,452 3,302
Return on equity investments 2,892  3,062 2,129 1,786 1,567 1,242
Return on unlisted real estate investments1 58  1,037 955 859 761 551
Return on fixed-income investments 1,031  53 38 31 14 5
Management fees5 -41  -39 -35 -31 -27 -24
Changes due to fluctuations in krone 857  1,040 1,025 1,331 663 -39
Market value of fund 8,124 8,488 7,510 7,475 6,431 5,038
             
Return on fund 3,980 4,151 3,123 2,676 2,343 1,799
Return after management costs 3,939 4,111 3,088 2,645 2,316 1,775
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Historical key figures

Annualised data

  Since 01.01.1998 Last 10 years Last 5 years Last 3 years Last 12 months2
1 Based on aggregated equity and fixed-income investments until end of 2016.
2 Key figures for risk and risk-adjusted return are based on monthly observations. When relatively few observations are used, as for «Last 12 months», the risk estimates have high uncertainty.    
3 Sharpe ratio is a measure for risk-adjusted return.    
4 The fund's information ratio (IR) is the ratio of the fund's average monthly relative return to the fund's tracking error. The IR indicates how much relative return has been achieved per unit of relative risk.
Fund return (percent) 5.93 6.61 7.78 5.31 7.85
Relative return on fund (percentage points)1 0.28 0.26 0.25 0.40 0.71
           
Annual price inflation (percent) 1.78 1.64 1.31 1.51 1.89
Annual management costs (percent) 0.08 0.08 0.06 0.06 0.06
Net real return on fund (percent) 3.99 4.81 6.33 3.68 5.79
           
Key figures for risk and risk-adjusted return2          
The fund's actual standard deviation (percent) 7.32 8.96 6.04 6.33 4.37
Standard deviation difference. Fund versus benchmark index (percentage points)1 0.39 0.55 0.09 0.06 -0.06
           
The fund's Sharpe ratio3 (percent) 0.57 0.73 1.23 0.78 1.52
Sharpe ratio3 difference. Fund versus benchmark index (percentage points)1 0.01 -0.01 0.02 0.05 0.17
           
The fund's tracking error (percentage points)1 0.69 0.86 0.37 0.33 0.27
The fund's information ratio (IR)1,4 0.43 0.34 0.65 1.16 2.44
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5 year periods

  1998-2002 2003-2007 2008-2012 2013-2017
1 Based on aggregated equity and fixed-income investments until end of 2016.
2 Key figures for risk and risk-adjusted return are based on monthly observations. When relatively few observations are used, as for «Last 12 months», the risk estimates have high uncertainty.    
3 Sharpe ratio is a measure for risk-adjusted return.    
4 The fund's information ratio (IR) is the ratio of the fund's average monthly relative return to the fund's tracking error. The IR indicates how much relative return has been achieved per unit of relative risk.
Fund return (percent) 3.19 8.92 3.14 9.26
Relative return on fund1 (percentage points) 0.41 0.40 0.01 0.29
         
Annual price inflation (percent) 1.46 2.30 2.01 1.30
Annual management costs (percent) 0.08 0.10 0.10 0.06
Net real return on fund (percent) 1.62 6.37 1.01 7.81
         
Key figures for risk and risk-adjusted return2
The fund's actual standard deviation (percent) 6.13 3.82 11.31 5.90
Standard deviation difference. Fund versus benchmark index (percentage points)1 0.12 0.17 0.86 0.11
         
The fund's Sharpe ratio (percent)3 -0.12 1.51 0.30 1.50
Sharpe ratio3 difference. Fund versus benchmark index (percentage points)1 0.07 0.03 -0.01 0.02
         
The fund's tracking error (percentage points)1 0.43 0.42 1.20 0.38
The fund's information ratio (IR)1,4 0.96 0.91 0.09 0.73
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Equity management - Annualised

  Since 01.01.1999 Last 10 years Last 5 years Last 3 years Last 12 months1
1 Key figures for risk and risk-adjusted return are based on monthly observations. When relatively few observations are used, as for «Last 12 months», the risk estimates have high uncertainty.
2 Sharpe ratio is a measure for risk-adjusted return.  
3 The information ratio (IR) is the ratio of average monthly relative return to the tracking error. The IR indicates how much relative return has been achieved per unit of relative risk.
Return on equity management (percent) 5.95 7.17 10.68 7.06 10.69
Return on equity management benchmark index (percent) 5.45 6.93 10.32 6.59 9.92
Relative return on equity management (percentage points) 0.50 0.24 0.36 0.47 0.76
           
Key figures for risk and risk-adjusted return1 
Standard deviation for equity management (percent) 14.22 14.76 9.43 10.06 6.73
Standard deviation for equity management benchmark index (percent) 13.89 14.38 9.25 9.90 6.72
Standard deviation difference. Equity management versus benchmark (percentage points) 0.33 0.38 0.18 0.16 0.01
           
Sharpe ratio2 for equity management (percent) 0.36 0.53 1.10 0.68 1.40
Sharpe ratio2 for equity management benchmark index (percent) 0.33 0.52 1.08 0.65 1.29
Sharpe ratio2 difference. Equity management versus benchmark (percentage points) 0.03 0.01 0.02 0.03 0.10
           
Tracking error for equity management (percentage points) 0.77 0.66 0.45 0.40 0.22
Information ratio (IR)3 for equity management 0.68 0.43 0.78 1.15 3.13
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Equity management - 5 year periods

  1999-2002 2003-2007 2008-2012 2013-2017
1 Key figures for risk and risk-adjusted return are based on monthly observations.
2 Sharpe ratio is a measure for risk-adjusted return.  
3 The information ratio (IR) is the ratio of average monthly relative return to the tracking error. The IR indicates how much relative return has been achieved per unit of relative risk.
Return on equity management (percent) -4.85 16.28 -0.59 12.95
Return on equity management benchmark index (percent) -5.63 15.37 -0.59 12.52
Relative return on equity management (percentage points) 0.78 0.90 0.01 0.42
         
Key figures for risk and risk-adjusted return1    
Standard deviation for equity management (percent) 16.88 9.24 19.11 9.26
Standard deviation for equity management benchmark index (percent) 16.55 9.00 18.60 9.06
Standard deviation difference. Equity management versus benchmark (percentage points) 0.33 0.24 0.51 0.20
         
Sharpe ratio2 for equity management (percent) -0.44 1.38 0.05 1.35
Sharpe ratio2 for equity management benchmark index (percent) -0.50 1.32 0.04 1.33
Sharpe ratio2 difference. Equity management versus benchmark (percentage points) 0.06 0.05 0.00 0.01
         
Tracking error for equity management (percentage points) 1.00 0.76 0.84 0.45
Information ratio (IR)3 for equity management 0.87 1.07 0.13 0.88
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Fixed-income management - annualised

  Since 01.01.1998 Last 10 years Last 5 years Last 3 years Last 12 months1
1 Key figures for risk and risk-adjusted return are based on monthly observations. When relatively few observations are used, as for «Last 12 months», the risk estimates have high uncertainty.
2 Sharpe ratio is a measure for risk-adjusted return.  
3 The information ratio (IR) is the ratio of average monthly relative return to the tracking error. The IR indicates how much relative return has been achieved per unit of relative risk.
Return on fixed-income management (percent) 4.68 4.27 2.66 1.96 2.14
Return on fixed-income management benchmark index (percent) 4.53 3.92 2.71 1.78 1.98
Relative return on fixed-income management (percentage points) 0.15 0.35 -0.05 0.18 0.16
           
Key figures for risk and risk-adjusted return1 
Standard deviation for fixed-income management (percent) 3.31 3.55 2.73 2.71 2.04
Standard deviation for fixed-income management benchmark index (percent) 3.18 3.30 2.96 2.91 2.12
Standard deviation difference. Fixed-income management versus benchmark (percentage points) 0.13 0.25 -0.24 -0.20 -0.08
           
Sharpe ratio2 for fixed-income management (percent) 0.83 1.12 0.88 0.57 0.55
Sharpe ratio2 for fixed-income management benchmark index (percent) 0.82 1.10 0.83 0.47 0.46
Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points) 0.01 0.02 0.05 0.10 0.09
           
Tracking error for fixed-income management (percentage points) 1.02 1.38 0.46 0.39 0.20
Information ratio (IR)3 for fixed-income management 0.15 0.25 -0.12 0.44 0.78
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Fixed-income management - 5 year periods

  1998-2002 2003-2007 2008-2012 2013-2017
1 Key figures for risk and risk-adjusted return are based on monthly observations.
2 Sharpe ratio is a measure for risk-adjusted return.  
3 The information ratio (IR) is the ratio of average monthly relative return to the tracking error. The IR indicates how much relative return has been achieved per unit of relative risk.
Return on fixed-income management (percent) 6.26 4.00 5.87 2.96
Return on fixed-income management benchmark index (percent) 6.09 3.97 5.44 2.98
Relative return on fixed-income management (percentage points) 0.17 0.03 0.43 -0.02
         
Key figures for risk and risk-adjusted return1    
Standard deviation for fixed-income management (percent) 3.06 3.04 4.27 2.67
Standard deviation for fixed-income management benchmark index (percent) 3.05 3.10 3.62 2.92
Standard deviation difference. Fixed-income management versus benchmark (percentage points) 0.01 -0.05 0.64 -0.24
         
Sharpe ratio2 for fixed-income management (percent) 0.67 0.36 1.27 1.03
Sharpe ratio2 for fixed-income management benchmark index (percent) 0.62 0.34 1.38 0.95
Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points) 0.05 0.02 -0.11 0.08
         
Tracking error for fixed-income management (percentage points) 0.31 0.37 1.96 0.47
Information ratio (IR)3 for fixed-income management 0.52 0.08 0.22 -0.06
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Equity investments - annualised data*

  Since 01.01.1999 Last 10 years Last 5 years Last 3 years Last 12 months1
* The definition of asset classes and benchmark indices follows mandate given by the Ministry of Finance
1
Key figures for risk and risk-adjusted return are based on monthly observations. When relatively few observations are used, as for «Last 12 months», the risk estimates have high uncertainty.
2 Sharpe ratio is a measure for risk-adjusted return.  
3 The information ratio (IR) is the ratio of average monthly relative return to the tracking error. The IR indicates how much relative return has been achieved per unit of relative risk.
Return on equity investments (percent) 5.95 7.16 10.66 7.03 10.67
Return on equity benchmark index (percent) 5.45 6.93 10.31 6.58 9.90
Relative return on equity investments (percentage points) 0.50 0.24 0.35 0.45 0.77
           
Key figures for risk and risk-adjusted return1          
Standard deviation for equity investments (percent) 14.22 14.76 9.42 10.05 6.68
Standard deviation for equity benchmark index (percent) 13.89 14.38 9.25 9.90 6.73
Standard deviation difference. Equity investments versus benchmark (percentage points) 0.33 0.38 0.17 0.15 -0.05
           
Sharpe ratio2 for equity investments (percent) 0.36 0.53 1.10 0.68 1.40
Sharpe ratio2 for equity benchmark index (percent) 0.33 0.52 1.08 0.65 1.29
Sharpe ratio2 difference. Equity investments versus benchmark (percentage points) 0.03 0.01 0.02 0.03 0.11
           
Tracking error for equity investments (percentage points) 0.77 0.67 0.45 0.41 0.30
Information ratio (IR)3 for equity investments 0.68 0.42 0.74 1.07 2.34
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Equity investments - 5 year periods*

  1999-2002 2003-2007 2008-2012 2013-2017
* The definition of asset classes and benchmark indices follows mandate given by the Ministry of Finance.
1
Key figures for risk and risk-adjusted return are based on monthly observations.
2 Sharpe ratio is a measure for risk-adjusted return.  
3 The information ratio (IR) is the ratio of average monthly relative return to the tracking error. The IR indicates how much relative return has been achieved per unit of relative risk.
Return on equity investments (percent) -4.85 16.28 -0.59 12.94
Return on equity benchmark index (percent) -5.63 15.37 -0.59 12.52
Relative return on equity investments (percentage points) 0.78 0.90 0.01 0.42
         
Key figures for risk and risk-adjusted return1
Standard deviation for equity investments (percent) 16.88 9.24 19.11 9.26
Standard deviation for equity benchmark index (percent) 16.55 9.00 18.60 9.06
Standard deviation difference. Equity investments versus benchmark (percentage points) 0.33 0.24 0.51 0.20
         
Sharpe ratio2 for equity investments (percent) -0.44 1.38 0.05 1.34
Sharpe ratio2 for equity benchmark index (percent) -0.50 1.32 0.04 1.33
Sharpe ratio2 difference. Equity investments versus benchmark (percentage points) 0.06 0.05 0.00 0.01
         
Tracking error for equity investments (percentage points) 1.00 0.76 0.84 0.45
Information ratio (IR)3 for equity investments 0.87 1.07 0.13 0.86
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Fixed-income investments - annualised data*

  Since 01.01.1998 Last 10 years Last 5 years Last 3 years Last 12 months1
* The definition of asset classes and benchmark indices follows mandate given by the Ministry of Finance.
1
Key figures for risk and risk-adjusted return are based on monthly observations. When relatively few observations are used, as for «Last 12 months», the risk estimates have high uncertainty.
2 Sharpe ratio is a measure for risk-adjusted return.  
3 The information ratio (IR) is the ratio of average monthly relative return to the tracking error. The IR indicates how much relative return has been achieved per unit of relative risk.
Return on fixed-income investments (percent) 4.68 4.27 2.66 1.96 2.14
Return on fixed-income benchmark index (percent) 4.53 3.92 2.71 1.78 2.01
Relative return on fixed-income investments (percentage points) 0.16 0.35 -0.04 0.18 0.13
           
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income investments (percent) 3.31 3.55 2.73 2.71 2.04
Standard deviation for fixed-income benchmark index (percent) 3.18 3.30 2.97 2.92 2.15
Standard deviation difference. Fixed-income investments versus benchmark (percentage points) 0.13 0.25 -0.24 -0.21 -0.11
           
Sharpe ratio2 for fixed-income investments (percent) 0.83 1.12 0.88 0.57 0.55
Sharpe ratio2 for fixed-income benchmark index (percent) 0.82 1.10 0.83 0.47 0.47
Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points) 0.01 0.02 0.05 0.10 0.09
           
Tracking error for fixed-income investments (percentage points) 1.02 1.38 0.46 0.40 0.24
Information ratio (IR)3 for fixed-income investments 0.15 0.25 -0.11 0.44 0.54
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Fixed-income investments - 5 year periods*

  1998-2002 2003-2007 2008-2012 2013-2017
* The definition of asset classes and benchmark indices follows mandate given by the Ministry of Finance.
1
Key figures for risk and risk-adjusted return are based on monthly observations.
2 Sharpe ratio is a measure for risk-adjusted return.  
3 The information ratio (IR) is the ratio of average monthly relative return to the tracking error. The IR indicates how much relative return has been achieved per unit of relative risk.
Return on fixed-income investments (percent) 6.26 4.00 5.87 2.96
Return on fixed-income benchmark index (percent) 6.09 3.97 5.44 2.97
Relative return on fixed-income investments (percentage points) 0.17 0.03 0.43 -0.02
         
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income investments (percent) 3.06 3.04 4.27 2.67
Standard deviation for fixed-income benchmark index (percent) 3.05 3.10 3.62 2.92
Standard deviation difference. Fixed-income investments versus benchmark (percentage points) 0.01 -0.05 0.64 -0.24
         
Sharpe ratio2 for fixed-income investments (percent) 0.67 0.36 1.27 1.03
Sharpe ratio2 for fixed-income benchmark index (percent) 0.62 0.34 1.38 0.95
Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points) 0.05 0.02 -0.11 0.08
         
Tracking error for fixed-income investments (percentage points) 0.31 0.37 1.96 0.47
Information ratio (IR)3 for fixed-income investments 0.52 0.08 0.22 -0.05
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Return on unlisted real estate, funding return, and other return series

Measured in the fund's currency basket. Percent

  2017 2016 2015 2014 2013
ICB Supersector Real Estate. Not adjusted for leverage, geography, or any other factors.
Actual benchmark index for the Fund. The equity share has varied during the period.
Return unlisted real estate 7.5 1.7 10.8 9.6 11.8
Funding benchmark 6.8        
Benchmark index fixed income   4.2 0.6 7.6 -0.1
Return difference fixed income   -2.5 10.2 2 11.9
Return difference funding benchmark 0.7        
           
Other return series          
FTSE Global All Cap index Real Estate1 12.0 7.1 4.7 22.2 3.8
Benchmark index fixed income 2.9 4.2 0.6 7.6 -0.1
Benchmark index equity 18.7 8.6 3.0 8.7 25.0
Fund benchmark index (equity and fixed income)2 13.0 7.0 2.1 8.3 15.0
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Property returns measured against IPD Global

Measured in local currency. Percent

  20172 2016 2015 2014 2013
1 Adjusted for transaction costs.
2 IPD figures for 2017 are not available.
Property return unlisted real estate investments 8.7 5.6 10.6 11.4 8.8
IPD Global1 n/a 7.7 10.9 10.1 8.5
IPD Global. Portfolio weights1 n/a 6.9 11.6 11.4 6.8
Return difference to IPD Global  n/a -2.1 -0.3 1.2 0.3
Return difference to IPD Global. Portfolio weights n/a -1.3 -1.0 0.0 2.0
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METHODOLOGY FOR THE CALCULATION OF RETURNS

The methodology for calculating returns on the funds managed by Norges Bank Investment Management is based on the international standard Global Investment Performance Standards (GIPS®). This is GIPS reports and the GIPS compliance manual, including formulae for calculating returns.

More on the methodology