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 first half 2022, the fund has received a net inflow total of 3,265 billion kroner, while the fund's cumulative return was 6,327 billion kroner.

The fund has generated an annual return of 5.81 percent between 1 January 1998 and the end of first half 2022. The net annual real return on the fund is 3.62 percent. In 2021, the fund's relative return was 0.74 percentage point higher than the benchmark index the fund is measured against. The fund has outperformed the benchmark index by 0.27 percentage point since 1998.

Annual return and accumulated annualised return

In percent as at 30 June 2022

Annual return by asset class

In percent as at 30 June 2022.

Return figures

Measured in the fund's currency basket. Percent

  1H 2022  2021  2020 2019 2018
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 index1H 2022-17.4 202120.0 202011.7201925.72018-8.8
The fund's equity investments1H 2022-17.0 202120.8 202012.1201926.02018-9.5
Fixed-income part of the fund's benchmark index1H 2022-10.7 2021-1.9 20206.820197.420180.6
The fund's fixed-income investments1H 2022-9.3 2021-1.9 20207.520197.620180.6
The fund's unlisted real estate investments1H 20227.1 202113.6 2020-0.120196.820187.5
The fund's unlisted renewable energy infrastructure investments1H 2022-13.3 20214.2
Total return on fund1H 2022-14.4 202114.5 202010.92019 20.02018-6.1
Relative return on fund (percentage points)1H 20221.1 20210.7 20200.320190.22018-0.3
Management costs1H 20220.0 20210.04 20200.120190.120180.1
Return on fund after management costs1H 2022-14.4 202114.5 202010.8201919.92018-6.2

Historical key figures

Annualised data

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.
  Since 01.01.1998 Last 15 years Last 10 years Last 5 years Last 12 months2
Fund return (percent)Since 01.01.19985.81Last 15 years5.51Last 10 years7.51Last 5 years5.48Last 12 months2-10.43
Relative return on fund (percentage points)1Since 01.01.19980.32Last 15 years0.20Last 10 years0.38Last 5 years0.50Last 12 months21.54
Annual price inflation (percent)Since 01.01.19982.04Last 15 years2.18Last 10 years2.19Last 5 years3.08Last 12 months27.77
Annual management costs (percent)Since 01.01.19980.08Last 15 years0.07Last 10 years0.05Last 5 years0.05Last 12 months20.04
Net real return on fund (percent)Since 01.01.19983.62Last 15 years3.19Last 10 years5.15Last 5 years2.28Last 12 months2-16.94
Key figures for risk and risk-adjusted return2
The fund's actual standard deviation (percent)Since 01.01.19988.12Last 15 years9.55Last 10 years8.52Last 5 years10.54Last 12 months29.82
Standard deviation difference. Fund versus benchmark index (percentage points)1Since 01.01.19980.29Last 15 years0.37Last 10 years0.04Last 5 years0.02Last 12 months2-0.26
The fund's Sharpe ratio (percent)3Since 01.01.19980.53Last 15 years0.55Last 10 years0.83Last 5 years0.47Last 12 months2-1.08
Sharpe ratio3 difference. Fund versus benchmark index (percentage points)1Since 01.01.19980.02Last 15 years0.00Last 10 years0.04Last 5 years0.04Last 12 months20.14
The fund's tracking error (percentage points)1Since 01.01.19980.65Last 15 years0.77Last 10 years0.38Last 5 years0.38Last 12 months20.47
The fund's information ratio (IR)1,4Since 01.01.19980.50Last 15 years0.29Last 10 years0.96Last 5 years1.24Last 12 months23.63

Equity management - Annualised

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.
  Since 01.01.1999 Last 15 years Last 10 years Last 5 years Last 12 months1
Return on equity management (percent)Since 01.01.19997.09Last 15 years7.50Last 10 years12.91Last 5 years13.15Last 12 months120.60
Return on equity management benchmark index (percent)Since 01.01.19996.61Last 15 years7.21Last 10 years12.52Last 5 years12.74Last 12 months119.82
Relative return on equity management (percentage points)Since 01.01.19990.48Last 15 years0.30Last 10 years0.39Last 5 years0.41Last 12 months10.78
Key figures for risk and risk-adjusted return1
Standard deviation for equity management (percent)Since 01.01.199914.44Last 15 years14.77Last 10 years12.13Last 5 years13.76Last 12 months18.07
Standard deviation for equity management benchmark index (percent)Since 01.01.199914.12Last 15 years14.43Last 10 years11.94Last 5 years13.57Last 12 months18.14
Standard deviation difference. Equity management versus benchmark (percentage points)Since 01.01.19990.31Last 15 years0.34Last 10 years0.20Last 5 years0.20Last 12 months1-0.07
Sharpe ratio2 for equity management (percent)Since 01.01.19990.44Last 15 years0.51Last 10 years1.02Last 5 years0.90Last 12 months12.37
Sharpe ratio2 for equity management benchmark index (percent)Since 01.01.19990.41Last 15 years0.50Last 10 years1.01Last 5 years0.88Last 12 months12.27
Sharpe ratio2 difference. Equity management versus benchmark (percentage points)Since 01.01.19990.03Last 15 years0.01Last 10 years0.01Last 5 years0.02Last 12 months10.10
Tracking error for equity management (percentage points)Since 01.01.19990.72Last 15 years0.62Last 10 years0.41Last 5 years0.37Last 12 months10.17
Information ratio (IR)3 for equity managementSince 01.01.19990.68Last 15 years0.53Last 10 years0.91Last 5 years1.09Last 12 months13.79

Fixed-income management - annualised

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.
  Since 01.01.1998 Last 15 years Last 10 years Last 5 years Last 12 months1
Return on fixed-income management (percent)Since 01.01.19984.01Last 15 years3.37Last 10 years2.15Last 5 years0.94Last 12 months1-9.25
Return on fixed-income management benchmark index (percent)Since 01.01.19983.79Last 15 years3.18Last 10 years1.96Last 5 years0.48Last 12 months1-10.61
Relative return on fixed-income management (percentage points)Since 01.01.19980.22Last 15 years0.19Last 10 years0.19Last 5 years0.46Last 12 months11.36
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income management (percent)Since 01.01.19983.45Last 15 years3.64Last 10 years3.25Last 5 years3.72Last 12 months14.09
Standard deviation for fixed-income management benchmark index (percent)Since 01.01.19983.39Last 15 years3.55Last 10 years3.48Last 5 years3.93Last 12 months14.67
Standard deviation difference. Fixed-income management versus benchmark (percentage points)Since 01.01.19980.05Last 15 years0.09Last 10 years-0.23Last 5 years-0.21Last 12 months1-0.58
Sharpe ratio2 for fixed-income management (percent)Since 01.01.19980.66Last 15 years0.76Last 10 years0.50Last 5 years0.00Last 12 months1-2.38
Sharpe ratio2 for fixed-income management benchmark index (percent)Since 01.01.19980.61Last 15 years0.72Last 10 years0.42Last 5 years-0.11Last 12 months1-2.40
Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points)Since 01.01.19980.05Last 15 years0.04Last 10 years0.08Last 5 years0.11Last 12 months10.02
Tracking error for fixed-income management (percentage points)Since 01.01.19980.95Last 15 years1.20Last 10 years0.45Last 5 years0.41Last 12 months10.63
Information ratio (IR)3 for fixed-income managementSince 01.01.19980.22Last 15 years0.16Last 10 years0.39Last 5 years1.10Last 12 months12.33

Equity investments - annualised data*

* 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.
  Since 01.01.1999 Last 15 years Last 10 years Last 5 years Last 12 months1
Return on equity investments (percent)Since 01.01.19996.06Last 15 years5.45Last 10 years10.13Last 5 years7.00Last 12 months1-11.92
Return on equity benchmark index (percent)Since 01.01.19995.61Last 15 years5.23Last 10 years9.78Last 5 years6.73Last 12 months1-12.62
Relative return on equity investments (percentage points)Since 01.01.19990.45Last 15 years0.22Last 10 years0.35Last 5 years0.27Last 12 months10.70
Key figures for risk and risk-adjusted return1
Standard deviation for equity investments (percent)Since 01.01.199914.49Last 15 years15.01Last 10 years12.31Last 5 years14.79Last 12 months113.02
Standard deviation for equity benchmark index (percent)Since 01.01.199914.19Last 15 years14.70Last 10 years12.14Last 5 years14.63Last 12 months113.03
Standard deviation difference. Equity investments versus benchmark (percentage points)Since 01.01.19990.30Last 15 years0.31Last 10 years0.17Last 5 years0.16Last 12 months1-0.01
Sharpe ratio2 for equity investments (percent)Since 01.01.19990.37Last 15 years0.39Last 10 years0.80Last 5 years0.47Last 12 months1-0.92
Sharpe ratio2 for equity benchmark index (percent)Since 01.01.19990.34Last 15 years0.38Last 10 years0.79Last 5 years0.45Last 12 months1-0.98
Sharpe ratio2 difference. Equity investments versus benchmark (percentage points)Since 01.01.19990.03Last 15 years0.01Last 10 years0.02Last 5 years0.01Last 12 months10.06
Tracking error for equity investments (percentage points)Since 01.01.19990.72Last 15 years0.62Last 10 years0.42Last 5 years0.38Last 12 months10.30
Information ratio (IR)3 for equity investmentsSince 01.01.19990.66Last 15 years0.42Last 10 years0.81Last 5 years0.72Last 12 months12.61

Fixed-income investments - annualised data*

* 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.
  Since 01.01.1998 Last 15 years Last 10 years Last 5 years Last 12 months1
Return on fixed-income investments (percent)Since 01.01.19984.01Last 15 years3.37Last 10 years2.15Last 5 years0.94Last 12 months1-9.25
Return on fixed-income benchmark index (percent)Since 01.01.19983.79Last 15 years3.17Last 10 years1.95Last 5 years0.46Last 12 months1-10.60
Relative return on fixed-income investments (percentage points)Since 01.01.19980.22Last 15 years0.20Last 10 years0.20Last 5 years0.48Last 12 months11.35
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income investments (percent)Since 01.01.19983.45Last 15 years3.64Last 10 years3.25Last 5 years3.72Last 12 months14.09
Standard deviation for fixed-income benchmark index (percent)Since 01.01.19983.39Last 15 years3.55Last 10 years3.48Last 5 years3.93Last 12 months14.71
Standard deviation difference. Fixed-income investments versus benchmark (percentage points)Since 01.01.19980.05Last 15 years0.09Last 10 years-0.23Last 5 years-0.20Last 12 months1-0.63
Sharpe ratio2 for fixed-income investments (percent)Since 01.01.19980.66Last 15 years0.76Last 10 years0.50Last 5 years0.00Last 12 months1-2.38
Sharpe ratio2 for fixed-income benchmark index (percent)Since 01.01.19980.61Last 15 years0.72Last 10 years0.41Last 5 years-0.12Last 12 months1-2.37
Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points)Since 01.01.19980.05Last 15 years0.04Last 10 years0.09Last 5 years0.12Last 12 months1-0.01
Tracking error for fixed-income investments (percentage points)Since 01.01.19980.95Last 15 years1.20Last 10 years0.47Last 5 years0.45Last 12 months10.70
Information ratio (IR)3 for fixed-income investmentsSince 01.01.19980.23Last 15 years0.17Last 10 years0.40Last 5 years1.03Last 12 months12.10

Return on unlisted real estate, funding return, and other return series

Measured in the fund's currency basket. Percent

  1H 2022 2021  2020
Return unlisted real estate1H 20227.12202113.64 2020-0.08
Funding benchmark1H 2022-13.7320217.33 20208.74
Return difference funding benchmark1H 202220.8620216.31 2020-8.82
Other return series
FTSE Global All Cap index Real Estate11H 2022-16.42202115.24 2020-7.50
Benchmark index fixed income1H 2022-10.692021-1.91 20206.77
Benchmark index equity1H 2022-17.41202119.98 202011.74
Fund benchmark index (equity and fixed income)1H 2022-15.55202113.76 202010.60

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.

  2020 2019 2018 2017 2016
Property return unlisted real estate investments20200.8020196.920187.920178.420165.6
MSCI Global120202.5820197.020187.820178.320167.7
MSCI Global. Portfolio weights120202.1020196.220187.420178.620166.9
Return difference to MSCI Global 2020-1.7820190.020180.120170.12016-2.1
Return difference to MSCI Global. Portfolio weights2020-1.3020190.820180.52017-0.22016-1.3
1 Adjusted for transaction costs

Calculations based on aggregated equity and fixed-income investments until end of 2016. In percentage points as at 31 December 2021.

By asset class

In percentage percentage points as at 31 December 2021

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.

YearFund1Equity management2Fixed-income management2Real estate management2Infrastructure management
20210.740.78-0.057.368.04
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--

Historic relative return

Annualised figures measured in the fund's currency basket. In percentage points as at 30 June 2022

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 01.01.19980.32Last 15 years0.20Last 10 years0.38Last 5 years0.50Last 12 months1.54
The fund's tracking error (percentage points)1Since 01.01.19980.65Last 15 years0.77Last 10 years0.38Last 5 years0.38Last 12 months0.47
The fund's information ratio (IR)1,2Since 01.01.19980.50Last 15 years0.29Last 10 years0.96Last 5 years1.24Last 12 months3.63

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 the first half 2022. Unless otherwise stated in the text, results are measured in this currency basket.

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. 

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: 03/03/2022

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