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 the first quarter of 2019, the fund has received a total of 3,376 billion kroner, while the fund's cumulative return was 4,404 billion kroner.
The fund has generated an annual return of 5.8 percent between 1 January 1998 and the end of the first quarter of 2019. After management costs and inflation, the annual return has been 3.9 percent.
Annual return and accumulated annualised return
In percent as at 31 March 2019
Annual return by asset class
In percent as at 31 March 2019
Return figures
Measured in the fund's currency basket. Percent
| 31.03.2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
| 1 Excluding securities classified as Norwegian and securities denominated in Norwegian kroner, in accordance with equity and bond indices from the Ministry of Finance. | ||||||
| FTSE Global All Cap index1 | 12.65 | -7.40 | 17.80 | 11.02 | 3.14 | 11.84 |
| Equity part of the fund's benchmark index | 11.88 | -8.80 | 18.68 | 8.58 | 3.00 | 8.73 |
| The fund's equity investments | 12.22 | -9.49 | 19.44 | 8.72 | 3.83 | 7.90 |
| Bloomberg Barclays Global Aggregate index1 | 2.47 | 1.32 | 1.78 | 4.12 | 1.68 | 7.67 |
| Fixed-income part of the fund's benchmark index | 2.80 | 0.56 | 2.88 | 4.16 | 0.57 | 7.59 |
| The fund's fixed-income investments | 2.87 | 0.56 | 3.31 | 4.32 | 0.33 | 6.88 |
| The fund's unlisted real estate investments | 1.72 | 7.53 | 7.52 | 0.78 | 9.99 | 10.42 |
| Total return on fund | 9.10 | -6.12 | 13.66 | 6.92 | 2.74 | 7.58 |
| Relative return on fund (percentage points) | 0.18 | -0.30 | 0.70 | 0.15 | 0.45 | -0.77 |
| Management costs | 0.01 | 0.05 | 0.06 | 0.05 | 0.06 | 0.06 |
| Return on fund after management costs | 9.08 | -6.17 | 13.60 | 6.87 | 2.68 | 7.52 |
Historical key figures
Annualised data
| Since 01.01.1998 | LAST 15 YEARS | Last 10 years | Last 5 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. |
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| Fund return (percent) | 5.84 | 6.19 | 9.81 | 6.23 | 4.01 |
| Relative return on fund (percentage points)1 | 0.25 | 0.17 | 0.65 | 0.07 | -0.30 |
| Annual price inflation (percent) | 1.77 | 1.87 | 1.72 | 1.34 | 1.61 |
| Annual management costs (percent) | 0.08 | 0.08 | 0.07 | 0.06 | 0.06 |
| Net real return on fund (percent) | 3.91 | 4.16 | 7.88 | 4.76 | 2.31 |
| Key figures for risk and risk-adjusted return2 | |||||
| The fund's actual standard deviation (percent) | 7.41 | 7.97 | 7.61 | 6.65 | 9.41 |
| Standard deviation difference. Fund versus benchmark index (percentage points)1 | 0.37 | 0.46 | 0.26 | 0.08 | 0.12 |
| The fund's Sharpe ratio3 (percent) | 0.55 | 0.64 | 1.22 | 0.84 | 0.25 |
| Sharpe ratio3 difference. Fund versus benchmark index (percentage points)1 |
0.01 | -0.01 | 0.04 | 0.00 | -0.03 |
| The fund's tracking error (percentage points)1 | 0.68 | 0.76 | 0.55 | 0.35 | 0.32 |
| The fund's information ratio (IR)1,4 | 0.40 | 0.26 | 1.11 | 0.19 | -0.88 |
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. |
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| 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 |
Equity management - Annualised
| Since 01.01.1999 | LAST 15 YEARS | Last 10 years | Last 5 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. |
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| Return on equity management (percent) | 5.84 | 7.65 | 12.86 | 7.81 | 3.80 |
| Return on equity management benchmark index (percent) | 5.39 | 7.33 | 12.53 | 7.75 | 4.37 |
| Relative return on equity management (percentage points) | 0.45 | 0.32 | 0.34 | 0.06 | -0.57 |
| Key figures for risk and risk-adjusted return1 | |||||
| Standard deviation for equity management (percent) | 14.18 | 13.49 | 12.33 | 10.27 | 13.82 |
| Standard deviation for equity management benchmark index (percent) | 13.85 | 13.11 | 12.09 | 10.09 | 13.59 |
| Standard deviation difference. Equity management versus benchmark (percentage points) | 0.33 | 0.38 | 0.24 | 0.19 | 0.23 |
| Sharpe ratio2 for equity management (percent) | 0.35 | 0.53 | 1.02 | 0.72 | 0.19 |
| Sharpe ratio2 for equity management benchmark index (percent) | 0.32 | 0.51 | 1.01 | 0.73 | 0.23 |
| Sharpe ratio2 difference. Equity management versus benchmark (percentage points) | 0.03 | 0.01 | 0.01 | -0.01 | -0.04 |
| Tracking error for equity management (percentage points) | 0.76 | 0.70 | 0.44 | 0.46 | 0.45 |
| Information ratio (IR)3 for equity management | 0.62 | 0.50 | 0.75 | 0.17 | -1.16 |
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. |
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| 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 |
Fixed-income management - annualised
| Since 01.01.1998 | LAST 15 YEARS | Last 10 years | Last 5 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. |
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| Return on fixed-income management (percent) | 4.64 | 3.99 | 4.91 | 3.21 | 3.82 |
| Return on fixed-income management benchmark index (percent) | 4.50 | 3.88 | 3.93 | 3.26 | 3.87 |
| Relative return on fixed-income management (percentage points) | 0.14 | 0.11 | 0.97 | -0.05 | -0.05 |
| Key figures for risk and risk-adjusted return1 | |||||
| Standard deviation for fixed-income management (percent) | 3.27 | 3.26 | 2.96 | 2.59 | 2.44 |
| Standard deviation for fixed-income management benchmark index (percent) | 3.15 | 3.09 | 2.86 | 2.76 | 2.49 |
| Standard deviation difference. Fixed-income management versus benchmark (percentage points) | 0.13 | 0.17 | 0.11 | -0.17 | -0.06 |
| Sharpe ratio2 for fixed-income management (percent) | 0.83 | 0.84 | 1.51 | 0.97 | 0.72 |
| Sharpe ratio2 for fixed-income management benchmark index (percent) | 0.82 | 0.85 | 1.24 | 0.93 | 0.72 |
| Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points) | 0.01 | -0.01 | 0.27 | 0.04 | 0.00 |
| Tracking error for fixed-income management (percentage points) | 1.00 | 1.18 | 1.01 | 0.40 | 0.46 |
| Information ratio (IR)3 for fixed-income management | 0.14 | 0.10 | 0.93 | -0.13 | -0.10 |
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. |
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| 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 |
Equity investments - annualised data*
| Since 01.01.1999 | LAST 15 YEARS | Last 10 years | Last 5 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. |
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| Return on equity investments (percent) | 5.84 | 7.65 | 12.86 | 7.81 | 3.87 |
| Return on equity benchmark index (percent) | 5.39 | 7.33 | 12.52 | 7.74 | 4.39 |
| Relative return on equity investments (percentage points) | 0.45 | 0.32 | 0.34 | 0.06 | -0.52 |
| Key figures for risk and risk-adjusted return1 | |||||
| Standard deviation for equity investments (percent) | 14.18 | 13.49 | 12.33 | 10.27 | 13.83 |
| Standard deviation for equity benchmark index (percent) | 13.85 | 13.11 | 12.09 | 10.09 | 13.60 |
| Standard deviation difference. Equity investments versus benchmark (percentage points) | 0.33 | 0.37 | 0.23 | 0.18 | 0.23 |
| Sharpe ratio2 for equity investments (percent) | 0.35 | 0.53 | 1.02 | 0.72 | 0.19 |
| Sharpe ratio2 for equity benchmark index (percent) | 0.32 | 0.51 | 1.01 | 0.72 | 0.23 |
| Sharpe ratio2 difference. Equity investments versus benchmark (percentage points) | 0.03 | 0.01 | 0.01 | -0.01 | -0.04 |
| Tracking error for equity investments (percentage points) | 0.76 | 0.70 | 0.44 | 0.47 | 0.46 |
| Information ratio (IR)3 for equity investments | 0.62 | 0.50 | 0.75 | 0.16 | -1.05 |
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. |
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| 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 |
Fixed-income investments - annualised data*
| Since 01.01.1998 | LAST 15 YEARS | Last 10 years | Last 5 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. |
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| Return on fixed-income investments (percent) | 4.64 | 3.99 | 4.91 | 3.21 | 3.82 |
| Return on fixed-income benchmark index (percent) | 4.50 | 3.88 | 3.93 | 3.25 | 3.83 |
| Relative return on fixed-income investments (percentage points) | 0.15 | 0.12 | 0.98 | -0.04 | -0.01 |
| Key figures for risk and risk-adjusted return1 | |||||
| Standard deviation for fixed-income investments (percent) | 3.27 | 3.26 | 2.96 | 2.59 | 2.44 |
| Standard deviation for fixed-income benchmark index (percent) | 3.15 | 3.09 | 2.86 | 2.77 | 2.51 |
| Standard deviation difference. Fixed-income investments versus benchmark (percentage points) | 0.12 | 0.17 | 0.10 | -0.18 | -0.07 |
| Sharpe ratio2 for fixed-income investments (percent) | 0.83 | 0.84 | 1.51 | 0.97 | 0.72 |
| Sharpe ratio2 for fixed-income benchmark index (percent) | 0.81 | 0.85 | 1.24 | 0.93 | 0.70 |
| Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points) | 0.01 | -0.01 | 0.28 | 0.05 | 0.02 |
| Tracking error for fixed-income investments (percentage points) | 1.00 | 1.18 | 1.01 | 0.41 | 0.47 |
| Information ratio (IR)3 for fixed-income investments | 0.14 | 0.10 | 0.94 | -0.11 | -0.03 |
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. |
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| 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 |
Return on unlisted real estate, funding return, and other return series
Measured in the fund's currency basket. Percent
| 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|
| 1 ICB Supersector Real Estate. Not adjusted for leverage, geography, or any other factors. 2 Actual benchmark index for the Fund. The equity share has varied during the period. |
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| Return unlisted real estate | 7.53 | 7.52 | 1.70 | 10.79 | 9.65 |
| Funding benchmark | -2.06 | 6.77 | |||
| Benchmark index fixed income | 4.16 | 0.57 | 7.59 | ||
| Return difference fixed income | -2.46 | 10.22 | 2.06 | ||
| Return difference funding benchmark | 9.59 | 0.75 | |||
| Other return series | |||||
| FTSE Global All Cap index Real Estate1 | -5.49 | 12.04 | 7.11 | 4.74 | 22.15 |
| Benchmark index fixed income | 0.56 | 2.88 | 4.16 | 0.57 | 7.59 |
| Benchmark index equity | -8.80 | 18.68 | 8.58 | 3.00 | 8.73 |
| Fund benchmark index (equity and fixed income)2 | -5.82 | 12.96 | 6.97 | 2.07 | 8.30 |
Property returns measured against MSCI Global
Measured in local currency. Percent
| 20182 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|
| 1 Adjusted for transaction costs. 2 MSCI Global figures for 2018 are not available. |
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| Property return unlisted real estate investments | 7.9 | 8.4 | 5.6 | 10.6 | 11.4 |
| MSCI Global1 | n/a | 8.3 | 7.7 | 10.9 | 10.1 |
| MSCI Global. Portfolio weights1 | n/a | 8.6 | 6.9 | 11.6 | 11.4 |
| Return difference to MSCI Global | n/a | 0.1 | -2.1 | -0.3 | 1.2 |
| Return difference to MSCI Global. Portfolio weights | n/a | -0.2 | -1.3 | -1.0 | 0.0 |
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.
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 35 currencies at the end of 2018. Unless otherwise stated, results are measured in this currency basket.
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: 06/05/2019
