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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 the third quarter of 2017. Unless otherwise stated, the results are measured in this currency basket.

The Norwegian government first transferred capital to the fund in May 1996. By the end of the third quarter of 2017, the fund had received a total of 3,351 billion kroner and amassed a cumulative return of 3,814 billion kroner.

The fund generated an annual return of 6.0 percent between 1 January 1998 and the end of the third quarter of 2017. After management costs and inflation, the annual return was 4.1 percent.

Annual return and accumulated annualised return

In percent. 2017 values as at 30 September

Annual return

By asset class, in percent. 2017 values as at 30 September

Return figures

Percent

  3Q 2017 Year-to-date 30.09.2017  2016 2015 2014 2013 2012

From 2017, the return on real estate investments includes exclusively unlisted real estate investments.

The return on real estate investments measured in international currency has been adjusted downwards for 2015 by 0.01 percentage point. This is due to an error caused by the use of an incorrect Thai Baht rate in December 2015 to measure returns in the fund’s currency basket. This correction has no impact on the income statement or balance sheet of the Government Pension Fund Global for 2015.

Relative return on fund includes real estate investments from 01.01.2017. Relative return prior to 2017 is calculated on the aggregated equity and fixed-income investments.

Returns in international currency
Return on equity investments 4.31 13.79 8.72 3.83 7.90 26.28 18.06
Return on fixed-income investments 0.85 2.77 4.32 0.33 6.88 0.10 6.68
Return on real estate investments1 2.68 5.44 0.78 9.992 10.42 11.79 5.77
Return on fund 3.15 9.83 6.92 2.74 7.58 15.95 13.42
               
Relative return on fund (percentage points)3 0.10 0.50 0.15 0.45 -0.77 0.99 0.21
               
Management costs 0.01 0.04 0.05 0.06 0.06 0.07 0.06
Return on fund after management costs 3.14 9.79 6.87 2.68 7.52 15.88 13.35
               
Returns in kroner
Return on equity investments 0.40 10.41 3.67 16.77 24.61 36.26 11.07
Return on fixed-income investments -2.93 -0.29 -0.53 12.83 23.43 8.01 0.36
Return on real estate investments1 -1.16 2.31 -3.91 23.71 27.51 20.62 -0.50
Return on fund -0.71 6.57 1.95 15.54 24.23 25.11 6.70
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Accumulated return

 Since 1996, in billions of kroner

  As At 30.09.2017 2016 20151 2014 2013 2012

The distribution between returns on equity and fixed-income investments has been corrected and therefore differs from previously reported figures.

From 2017, the return on real estate investments includes exclusively unlisted real estate investments.

Return on equity investments 2,747 2,129 1,786 1,567 1,242 579
Return on fixed-income investments 1,019 955 859 761 551 528
Return on real estate investments2 49 38 31 14 5 0
Total return 3,814 3,123 2,676 2,343 1,799 1,107

Key figures

In billions of kroner

  3Q 2017 Year-to-date 30.09.2017 2016 2015 2014 2013 2012

Includes exclusively unlisted real estate investments from 2017.

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.

Paid management fees are specified separately, and not included in Inflow/withdrawal of capital.

4 Total inflow of capital shown in this table is adjusted for accrued, not paid, management fees.

Management costs at subsidiaries are not included in the management fees. Management costs at subsidiaries have been deducted from the fund’s return before management fees.

Market value              
Market value of equity investments 5,242 5,242 4,692 4,572 3,940 3,107 2,336
Market value of fixed-income investments 2,511 2,511 2,577 2,668 2,350 1,879 1,455
Market value of real estate investments1 199 199 242 235 141 52 25
Market value of fund2 7,952 7,952 7,510 7,475 6,431 5,038 3,816
Accrued, not paid, management fees2 -3 -3 -4 -4 -3 -3 -2
Owner's capital2 7,949 7,949 7,507 7,471 6,428 5,035 3,814
               
Inflow/withdrawal of capital3 -10 -46 -101 46 150 241 279
Paid management fees3 0 -4 -4 -3 -3 -2 -3
Return on fund 192 691 447 334 544 692 447
Changes due to fluctuations in krone -250 -199 -306 668 702 291 -220
Total change in market value -68 442 35 1,044 1,393 1,222 504
               
Changes in value since first capital inflow in 1996      
Total inflow of capital4 3,351 3,351 3,397 3,499 3,452 3,302 3,060
Return on fund 3,814 3,814 3,123 2,676 2,343 1,799 1,107
Management fees4 -38 -38 -35 -31 -27 -24 -21
Changes due to fluctuations in krone 826 826 1,025 1,331 663 -39 -331
Market value of fund 7,952 7,952 7,510 7,475 6,431 5,038 3,816
               
Return after management costs 3,776 3,776 3,088 2,645 2,316 1,775 1,087
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Historical key figures

As at 30 September 2017. 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) 5.98 5.73 9.23 7.29 12.21
Relative return on fund (percentage points)1 0.27 0.08 0.29 0.34 0.81
           
Annual price inflation (percent) 1.76 1.73 1.21 1.02 1.68
Annual management costs (percent) 0.09 0.08 0.06 0.06 0.06
Net real return on fund (percent) 4.06 3.85 7.86 6.15 10.30
           
Key figures for risk and risk-adjusted return2          
The fund's actual standard deviation (percent) 7.36 9.05 5.90 6.25 2.68
Standard deviation difference. Fund versus benchmark index (percentage points)1 0.39 0.58 0.11 0.08 -0.19
           
The fund's Sharpe ratio (percent)3 0.57 0.62 1.51 1.12 4.13
Sharpe ratio3 difference. Fund versus benchmark index (percentage points)1 0.01 -0.03 0.02 0.04 0.53
           
The fund's tracking error (percentage points)1 0.70 0.90 0.37 0.33 0.29
The fund's information ratio (IR)1,4 0.41 0.15 0.72 0.97 2.49
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5 year periods

  1998-2002 2003-2007 2008-2012 2013-2017

Based on aggregated equity and fixed-income investments until end of 2016.

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.     

Sharpe ratio is a measure for risk-adjusted return.     

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 8.98
Relative return on fund (percentage points)1 0.41 0.40 0.01 0.27
         
Annual price inflation (percent) 1.46 2.30 2.01 1.26
Annual management costs (percent) 0.08 0.10 0.10 0.06
Net real return on fund (percent) 1.62 6.37 1.01 7.57
         
Key figures for risk and risk-adjusted return2        
The fund's actual standard deviation (percent) 6.13 3.82 11.31 6.03
Standard deviation difference. Fund versus benchmark index (percentage points)1 0.12 0.17 0.86 0.12
         
The fund's Sharpe ratio (percent)3 -0.12 1.51 0.30 1.44
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 0.67
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Equity - 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) 5.96 5.15 12.88 9.69 19.38
Return on equity benchmark index (percent) 5.47 4.98 12.48 9.18 18.65
Relative return on equity investments (percentage points) 0.50 0.18 0.40 0.51 0.73
           
Key figures for risk and risk-adjusted return1          
Standard deviation for equity investments (percent) 14.35 15.15 9.26 10.03 3.72
Standard deviation for equity benchmark index (percent) 14.01 14.75 9.06 9.85 3.83
Standard deviation difference. Equity investments versus benchmark (percentage points) 0.34 0.39 0.20 0.19 -0.11
           
Sharpe ratio2 for equity investments (percent) 0.36 0.39 1.34 0.95 4.67
Sharpe ratio2 for equity benchmark index (percent) 0.33 0.38 1.33 0.92 4.37
Sharpe ratio2 difference. Equity investments versus benchmark (percentage points) 0.03 0.01 0.01 0.03 0.30
           
Tracking error for equity investments (percentage points) 0.78 0.68 0.45 0.42 0.33
Information ratio (IR)3 for equity investments 0.67 0.34 0.84 1.16 1.90
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Equity - 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 12.51
Return on equity benchmark index (percent) -5.63 15.37 -0.59 12.14
Relative return on equity investments (percentage points) 0.78 0.90 0.01 0.37
         
Key figures for risk and risk-adjusted return1        
Standard deviation for equity investments (percent) 16.88 9.24 19.11 9.47
Standard deviation for equity benchmark index (percent) 16.55 9.00 18.60 9.26
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 1.28
Sharpe ratio2 for equity benchmark index (percent) -0.50 1.32 0.04 1.27
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 0.46
Information ratio (IR)3 for equity investments 0.87 1.07 0.13 0.77
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Fixed income - 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) 4.80 4.48 3.10 3.03 0.35
Return on fixed-income benchmark index (percent) 4.63 4.36 3.11 3.00 -0.56
Relative return on fixed-income investments (percentage points) 0.16 0.13 0.00 0.02 0.91
           
Key figures for risk and risk-adjusted return1          
Standard deviation for fixed-income investments (percent) 3.34 3.57 2.68 2.83 2.94
Standard deviation for fixed-income benchmark index (percent) 3.20 3.31 2.93 3.05 3.09
Standard deviation difference. Fixed-income investments versus benchmark (percentage points) 0.13 0.27 -0.24 -0.22 -0.15
           
Sharpe ratio2 for fixed-income investments (percent) 0.86 1.15 1.10 0.98 -0.06
Sharpe ratio2 for fixed-income benchmark index (percent) 0.84 1.20 1.01 0.91 -0.35
Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points) 0.01 -0.05 0.09 0.08 0.29
           
Tracking error for fixed-income investments (percentage points) 1.04 1.43 0.47 0.43 0.29
Information ratio (IR)3 for fixed-income investments 0.15 0.09 -0.02 0.04 3.13
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Fixed income - 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 3.00
Return on fixed-income benchmark index (percent) 6.09 3.97 5.44 2.99
Relative return on fixed-income investments (percentage points) 0.17 0.03 0.43 0.01
         
Key figures for risk and risk-adjusted return1        
Standard deviation for fixed-income investments (percent) 3.06 3.04 4.27 2.74
Standard deviation for fixed-income benchmark index (percent) 3.05 3.10 3.62 2.99
Standard deviation difference. Fixed-income investments versus benchmark (percentage points) 0.01 -0.05 0.64 -0.25
         
Sharpe ratio2 for fixed-income investments (percent) 0.67 0.36 1.27 1.04
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 0.09
         
Tracking error for fixed-income investments (percentage points) 0.31 0.37 1.96 0.48
Information ratio (IR)3 for fixed-income investments 0.52 0.08 0.22 0.00
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Return on real estate investments and return objective

  20111 2012 2013 2014 2015 2016
1 In 2011 the portfolio return is based on the 9 month period from March month end to December month end, while the IPD Property Index is based on an interpolation of the IPD annual return.

2 For 2011 and 2012 the IPD Pan-European Annual Property Index is used and the IPD Global Property Index is used as of 2013. The IPD Property Index is excluding Norway. The Index is also adjusted for management cost in subsidiaries and leverage impact to ensure return comparability.
Returns in international currency (percent)           
Return on real estate investments -4.4 5.8 11.8 10.4 10.0 0.8
Return objective2 1.2 5.9 7.4 9.5 11.9  
             
Returns in actual real estate currency composition (percent)        
Return on real estate investments -2.6 4.0 7.9 11.6 10.1 3.5
Return objective2 3.1 4.1 3.7 10.7 12.1  

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