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Returns

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

The Norwegian government first transferred capital to the fund in May 1996. By the end of 2023, the fund has received a net inflow total of 4,698 billion kroner, while the fund's cumulative return was 8,592 billion kroner.

The fund has generated an annual return of 6.09 percent between 1 January 1998 and the end of 2023. The net annual real return on the fund is 3.83 percent. In 2023, the fund's relative return was 0.18 percentage point lower than the benchmark index the fund is measured against. The fund has outperformed the benchmark index by 0.28 percentage point since 1998.

Annual return and accumulated annualised return

In percent as at 31 December 2023

Annual return by asset class

In percent as at 31 December 2023.

Returns in international currency

The fund invests in international securities in foreign currency. The fund’s returns are generally measured in international currency – a weighted composition of the currencies in the fund’s reference indices for equities and bonds. This is known as the fund’s currency basket and consisted of 35 currencies at the end of 2023. Unless otherwise stated, results are measured in this currency basket.

Return figures

Measured in the fund's currency basket. Percent

  2023  2022  2021 2020 2019
1 Excluding securities classified as Norwegian and securities denominated in Norwegian kroner, in accordance with equity and bond indices from the Ministry of Finance.
Equity part of the fund's benchmark index202320.8 2022-15.3 202120.0202011.7201925.7
The fund's equity investments202321.3 2022-15.4 202120.8202012.1201926.0
Fixed-income part of the fund's benchmark index20235.6 2022-14.0 2021-1.920206.820197.3
The fund's fixed-income investments20236.1 2022-12.1 2021-1.920207.520197.6
The fund's unlisted real estate investments2023-12.4 20220.1 202113.62020-0.120196.8
The fund's unlisted renewable energy infrastructure investments20238.0 20225.1 20214.2
Total return on fund
Relative return on fund (percentage points)2023-0.2 20220.9 20210.720200.320190.2
Management costs20230.0 20220.0 20210.020200.120190.0
Return on fund after management costs202316.1 2022-14.2 202114.5202010.8201919.9

Historical key figures

Annualised data

  Since 01.01.1998 Last 15 years Last 10 years Last 5 years Last 12 months2
Fund return (percent)Since 01.01.19986.09Last 15 years8.46Last 10 years6.71Last 5 years8.72Last 12 months216.14
Relative return on fund (percentage points)1Since 01.01.19980.28Last 15 years0.53Last 10 years0.22Last 5 years0.42Last 12 months2-0.18
Annual price inflation (percent)Since 01.01.19982.10Last 15 years2.29Last 10 years2.43Last 5 years3.52Last 12 months23.20
Annual management costs (percent)Since 01.01.19980.08Last 15 years0.06Last 10 years0.05Last 5 years0.05Last 12 months20.05
Net real return on fund (percent)Since 01.01.19983.83Last 15 years5.96Last 10 years4.13Last 5 years4.97Last 12 months212.49
Key figures for risk and risk-adjusted return2
The fund's actual standard deviation (percent)Since 01.01.19988.46Last 15 years9.42Last 10 years9.62Last 5 years12.05Last 12 months210.68
Standard deviation difference. Fund versus benchmark index (percentage points)1Since 01.01.19980.21Last 15 years0.08Last 10 years-0.07Last 5 years-0.12Last 12 months2-0.22
The fund's Sharpe ratio (percent)3Since 01.01.19980.52Last 15 years0.83Last 10 years0.60Last 5 years0.61Last 12 months21.00
Sharpe ratio3 difference. Fund versus benchmark index (percentage points)1Since 01.01.19980.02Last 15 years0.05Last 10 years0.03Last 5 years0.04Last 12 months20.00
The fund's tracking error (percentage points)1Since 01.01.19980.64Last 15 years0.53Last 10 years0.41Last 5 years0.46Last 12 months20.44
The fund's information ratio (IR)1,4Since 01.01.19980.44Last 15 years0.95Last 10 years0.51Last 5 years0.83Last 12 months2-0.42
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.

Equity management - Annualised

  Since 01.01.1999 Last 15 years Last 10 years Last 5 years Last 12 months1
Return on equity management (percent)Since 01.01.19996.64Last 15 years11.07Last 10 years8.85Last 5 years12.12Last 12 months121.35
Return on equity management benchmark index (percent)Since 01.01.19996.16Last 15 years10.63Last 10 years8.53Last 5 years11.48Last 12 months120.98
Relative return on equity management (percentage points)Since 01.01.19990.48Last 15 years0.44Last 10 years0.32Last 5 years0.64Last 12 months10.38
Key figures for risk and risk-adjusted return1
Standard deviation for equity management (percent)Since 01.01.199914.56Last 15 years13.94Last 10 years13.37Last 5 years16.06Last 12 months112.99
Standard deviation for equity management benchmark index (percent)Since 01.01.199914.29Last 15 years13.77Last 10 years13.25Last 5 years15.97Last 12 months113.00
Standard deviation difference. Equity management versus benchmark (percentage points)Since 01.01.19990.27Last 15 years0.17Last 10 years0.12Last 5 years0.09Last 12 months1-0.01
Sharpe ratio2 for equity management (percent)Since 01.01.19990.40Last 15 years0.77Last 10 years0.62Last 5 years0.68Last 12 months11.19
Sharpe ratio2 for equity management benchmark index (percent)Since 01.01.19990.37Last 15 years0.75Last 10 years0.60Last 5 years0.65Last 12 months11.16
Sharpe ratio2 difference. Equity management versus benchmark (percentage points)Since 01.01.19990.03Last 15 years0.02Last 10 years0.02Last 5 years0.03Last 12 months10.03
Tracking error for equity management (percentage points)Since 01.01.19990.70Last 15 years0.40Last 10 years0.40Last 5 years0.32Last 12 months10.22
Information ratio (IR)3 for equity managementSince 01.01.19990.70Last 15 years1.04Last 10 years0.78Last 5 years1.85Last 12 months11.45
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.

Fixed-income management - annualised

  Since 01.01.1998 Last 15 years Last 10 years Last 5 years Last 12 months1
Return on fixed-income management (percent)Since 01.01.19983.89Last 15 years3.37Last 10 years2.08Last 5 years1.12Last 12 months16.13
Return on fixed-income management benchmark index (percent)Since 01.01.19983.65Last 15 years2.58Last 10 years1.79Last 5 years0.48Last 12 months15.62
Relative return on fixed-income management (percentage points)Since 01.01.19980.24Last 15 years0.79Last 10 years0.29Last 5 years0.64Last 12 months10.51
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income management (percent)Since 01.01.19983.76Last 15 years3.94Last 10 years4.14Last 5 years5.31Last 12 months16.53
Standard deviation for fixed-income management benchmark index (percent)Since 01.01.19983.76Last 15 years4.00Last 10 years4.40Last 5 years5.61Last 12 months16.86
Standard deviation difference. Fixed-income management versus benchmark (percentage points)Since 01.01.19980.00Last 15 years-0.07Last 10 years-0.26Last 5 years-0.31Last 12 months10.36
Sharpe ratio2 for fixed-income management (percent)Since 01.01.19980.54Last 15 years0.66Last 10 years0.24Last 5 years-0.10Last 12 months10.20
Sharpe ratio2 for fixed-income management benchmark index (percent)Since 01.01.19980.48Last 15 years0.46Last 10 years0.16Last 5 years-0.20Last 12 months10.13
Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points)Since 01.01.19980.06Last 15 years0.20Last 10 years0.08Last 5 years0.10Last 12 months10.08
Tracking error for fixed-income management (percentage points)Since 01.01.19980.93Last 15 years0.88Last 10 years0.44Last 5 years0.43Last 12 months10.36
Information ratio (IR)3 for fixed-income managementSince 01.01.19980.25Last 15 years0.87Last 10 years0.61Last 5 years1.44Last 12 months11.27
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.

Equity investments - annualised data*

  Since 01.01.1999 Last 15 years Last 10 years Last 5 years Last 12 months1
Return on equity investments (percent)Since 01.01.19996.59Last 15 years10.98Last 10 years8.72Last 5 years11.86Last 12 months121.25
Return on equity benchmark index (percent)Since 01.01.19996.16Last 15 years10.63Last 10 years8.53Last 5 years11.49Last 12 months120.75
Relative return on equity investments (percentage points)Since 01.01.19990.42Last 15 years0.35Last 10 years0.19Last 5 years0.37Last 12 months10.50
Key figures for risk and risk-adjusted return1
Standard deviation for equity investments (percent)Since 01.01.199914.57Last 15 years13.95Last 10 years13.40Last 5 years16.12Last 12 months113.14
Standard deviation for equity benchmark index (percent)Since 01.01.199914.29Last 15 years13.78Last 10 years13.26Last 5 years15.99Last 12 months112.99
Standard deviation difference. Equity investments versus benchmark (percentage points)Since 01.01.19990.28Last 15 years0.18Last 10 years0.14Last 5 years0.13Last 12 months10.15
Sharpe ratio2 for equity investments (percent)Since 01.01.19990.39Last 15 years0.76Last 10 years0.61Last 5 years0.67Last 12 months11.17
Sharpe ratio2 for equity benchmark index (percent)Since 01.01.19990.37Last 15 years0.75Last 10 years0.60Last 5 years0.65Last 12 months11.15
Sharpe ratio2 difference. Equity investments versus benchmark (percentage points)Since 01.01.19990.02Last 15 years0.01Last 10 years0.01Last 5 years0.02Last 12 months10.02
Tracking error for equity investments (percentage points)Since 01.01.19990.71Last 15 years0.43Last 10 years0.43Last 5 years0.40Last 12 months10.36
Information ratio (IR)3 for equity investmentsSince 01.01.19990.63Last 15 years0.80Last 10 years0.45Last 5 years0.89Last 12 months11.21
* 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.

Fixed-income investments - annualised data*

  Since 01.01.1998 Last 15 years Last 10 years Last 5 years Last 12 months1
Return on fixed-income investments (percent)Since 01.01.19983.89Last 15 years3.37Last 10 years2.08Last 5 years1.12Last 12 months16.13
Return on fixed-income benchmark index (percent)Since 01.01.19983.64Last 15 years2.56Last 10 years1.77Last 5 years0.44Last 12 months15.65
Relative return on fixed-income investments (percentage points)Since 01.01.19980.25Last 15 years0.81Last 10 years0.31Last 5 years0.68Last 12 months10.48
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income investments (percent)Since 01.01.19983.76Last 15 years3.94Last 10 years4.14Last 5 years5.31Last 12 months16.53
Standard deviation for fixed-income benchmark index (percent)Since 01.01.19983.77Last 15 years4.01Last 10 years4.41Last 5 years5.62Last 12 months16.88
Standard deviation difference. Fixed-income investments versus benchmark (percentage points)Since 01.01.1998-0.01Last 15 years-0.07Last 10 years-0.27Last 5 years-0.32Last 12 months1-0.35
Sharpe ratio2 for fixed-income investments (percent)Since 01.01.19980.54Last 15 years0.66Last 10 years0.24Last 5 years-0.10Last 12 months10.20
Sharpe ratio2 for fixed-income benchmark index (percent)Since 01.01.19980.47Last 15 years0.45Last 10 years0.15Last 5 years-0.21Last 12 months10.13
Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points)Since 01.01.19980.07Last 15 years0.21Last 10 years0.08Last 5 years0.11Last 12 months10.07
Tracking error for fixed-income investments (percentage points)Since 01.01.19980.93Last 15 years0.89Last 10 years0.47Last 5 years0.49Last 12 months10.39
Information ratio (IR)3 for fixed-income investmentsSince 01.01.19980.26Last 15 years0.88Last 10 years0.62Last 5 years1.36Last 12 months11.10
* 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 unlisted real estate, funding return, and other return series

Measured in the fund's currency basket. Percent

  2023 2022 2021
Return unlisted real estate2023-12.3720220.07202113.64
Funding benchmark20239.722022-14.5420217.33
Return difference funding benchmark2023-22.08202214.6120216.31
Other return series
FTSE Global All Cap index Real Estate120238.482022-21.59202115.24
Benchmark index fixed income20235.652022-13.962021-1.91
Benchmark index equity202320.752022-15.32202119.98
Fund benchmark index (equity and fixed income)202316.322022-14.98202113.76

ICB Industry Real Estate. 

Property returns measured against MSCI Global

Measured in local currency. Percent. Will be updated in April when the MSCI Global Index is released.

  2022 2021 2020 2019 2018
Property return unlisted real estate investments2022-0.4202113.420200.820196.920187.9
MSCI Global120224.0202113.320202.620197.020187.8
MSCI Global. Portfolio weights120221.7202114.220202.120196.220187.4
Return difference to MSCI Global 2022-4.520210.22020-1.820190.020180.1
Return difference to MSCI Global. Portfolio weights2022-2.12021-0.82020-1.320190.820180.5
1 Adjusted for transaction costs

Relative and risk-adjusted return

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. 

Annual relative return and accumulated annualised relative return

Calculations based on aggregated equity and fixed-income investments until end of 2016. In percentage points as at 31 December 2023.

Relative return by asset class

In percentage percentage points as at 31 December 2023

1 Includes real estate management from 2017. The fund's relative return prior to 2017 is calculated on equity and fixed-income management only.

2 Measured against actual funding from 2017. The relative return on equity and fixed-income management before 2017 is measured against the respective Ministry of Finance asset class indices.

3 The relative return on the fund and fixed-income management for 2021 have been adjusted by 0.01 percentage point as a result of an update of the return on the benchmark index.

YearFund1Equity management2Fixed-income management2Real estate management2Infrastructure management
2023-0.180.380.51-10.51-5.67
20220.870.521.680.2225.09
202130.750.78-0.047.368.04
20200.270.980.76-13.81-
20190.230.510.11-3.89-
2018-0.30-0.69-0.015.49-
20170.700.790.390.70-
20160.150.150.16--
20150.450.83-0.24--
2014-0.77-0.82-0.70--
20130.991.280.25--
20120.210.52-0.29--
2011-0.13-0.480.52--
20101.060.731.53--
20094.131.867.36--
2008-3.37-1.15-6.60--
2007-0.241.15-1.29--
20060.14-0.090.25--
20051.062.160.36--
20040.540.790.37--
20030.550.510.48--
20020.300.070.49--
20010.150.060.08--
20000.270.490.07--
19991.233.490.01--
19980.18-0.21--

Cost-adjusted relative return

The fund’s relative return after management costs can be compared with the investment performance that could theoretically be expected to be achieved with a passive index management strategy. A passive investment strategy would aim at replicating a benchmark following set rules. The estimated relative return of a passive strategy is dependent on various estimated cost components. The return adjustments made are management costs of a passive strategy, revenues from securities lending, transaction costs related to replication of the benchmark index, and transaction costs related to inflows and extraordinary benchmark changes.

Management costs of a passive strategy

The estimated management costs for a passive management strategy are based on the fund’s actual management costs for each year, where costs related to active management strategies have been subtracted.

Revenues from securities lending

Unlike a theoretical index, but similar to an actively managed portfolio, a passive index portfolio would also be expected to generate income from securities lending activities. In this analysis, actual revenues from securities lending have been used, consistent with the financial reporting for the fund

Transaction costs related to replication of the benchmark index

Changes in the equity and bond indices, such as company inclusions and periodic index re-weightings, would trigger transactions in the portfolio and subsequent costs. These index replication costs are estimates based on models and not on realised costs, and are therefore uncertain in nature. 

Transaction costs related to inflows and extraordinary benchmark changes

These costs are estimated costs related to the phasing-in of new capital into the fund, costs related to the set rules for rebalancing of the asset allocation in the benchmark, and transition costs related to rule changes for the benchmark. The broad benchmark indices for equity and fixed-income investments set by the Ministry of Finance are used as the underlying indices. The costs related to inflows, rebalancing and index transition costs are estimates based on standard market assumptions about trading costs and not actual realised costs, and are therefore uncertain in nature.

The fund's relative return after management costs

In percentage points as at 31 December 2023. Annualised.

  Since 01.01.1998 Last 5 years Last 12 months
The fund's relative return before management costs 0.28 0.42 -0.18
The fund's management costs1 0.08 0.05 0.05
The fund's relative return after management costs 0.20 0.38 -0.23
1 The fund's management costs exlude costs related to unlisted real estate prior to 2017.

Estimated relative return of a passive strategy

In basis points as at 31 December 2022. Annualised.

  Last 12 months Last 5 years Since 01.01.1998
Management costs of a passive strategy -2 -3 -4
Revenues from securities lending 3 5 6
Transaction costs related to replication of the benchmark index -3 -2 -4
Transaction costs related to inflows and extraordinary benchmark changes -3 -1 -4
Estimated relative return of a passive strategy -5 -1 -6

Cost-adjusted relative return comparison

In basis points as at 31 December 2022. Annualised.

Last 12 monthsLast 5 yearsSince 01.01.1998
The fund's relative return after management costs833222
Estimated relative return of a passive strategy-5-1-6
Estimated relative return difference883428

Historic relative return

Annualised figures measured in the fund's currency basket. In percentage points as at 31 December 2023

1 Based on aggregated equity and fixed-income investments until end of 2016.
2 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.
  Since 01.01.1998 Last 15 years Last 10 years Last 5 years Last 12 months
Relative return on fund (percentage points)1Since 01.01.19980.28Last 15 years0.53Last 10 years0.22Last 5 years0.42Last 12 months-0.18
The fund's tracking error (percentage points)1Since 01.01.19980.64Last 15 years0.53Last 10 years0.41Last 5 years0.46Last 12 months0.44
The fund's information ratio (IR)1,2Since 01.01.19980.44Last 15 years0.95Last 10 years0.51Last 5 years0.83Last 12 months-0.42

Methodology for the calculations 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.

Last saved: 27/02/2024

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