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 2019, the fund has received a total of 3,389 billion kroner, while the fund's cumulative return was 5,358 billion kroner.

The fund has generated an annual return of 6.1 percent between 1 January 1998 and the end of 2019. The net annual return on the fund is 4.2 percent.

Annual return and accumulated annualised return

In percent as at 31 December 2019

Annual return by asset class

In percent as at 31 December 2019

    

    

Return figures

Measured in the fund's currency basket. Percent

  2019 2018 2017 2016 2015
FTSE Global All Cap index1201926.702018-7.40201717.80201611.0220153.14
Equity part of the fund's benchmark index201925.652018-8.80201718.6820168.5820153.00
The fund's equity investments201926.022018-9.49201719.4420168.7220153.83
Bloomberg Barclays Global Aggregate index12019 6.6020181.3220171.7820164.1220151.68
Fixed-income part of the fund's benchmark index2019 7.3520180.5620172.8820164.1620150.57
The fund's fixed-income investments2019 7.5620180.5620173.3120164.3220150.33
The fund's unlisted real estate investments2019 6.8420187.5320177.5220160.7820159.99
Total return on fund2019 19.952018-6.12201713.6620166.9220152.74
Relative return on fund (percentage points)2019 0.232018-0.3020170.7020160.1520150.45
Management costs2019 0.0520180.0520170.0620160.0520150.06
Return on fund after management costs2019 19.902018-6.17201713.6020166.8720152.68
1 Excluding securities classified as Norwegian and securities denominated in Norwegian kroner, in accordance with equity and bond indices from the Ministry of Finance.

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 years6.46Last 10 years7.83Last 5 years7.05Last 12 months219.95
Relative return on fund (percentage points)1Since 01.01.19980.25Last 15 years0.15Last 10 years0.24Last 5 years0.23Last 12 months20.23
Annual price inflation (percent)Since 01.01.19981.77Last 15 years1.84Last 10 years1.68Last 5 years1.54Last 12 months21.80
Annual management costs (percent)Since 01.01.19980.08Last 15 years0.08Last 10 years0.06Last 5 years0.05Last 12 months20.05
Net real return on fund (percent)Since 01.01.19984.17Last 15 years4.46Last 10 years5.98Last 5 years5.38Last 12 months217.78
Key figures for risk and risk-adjusted return2
The fund's actual standard deviation (percent)Since 01.01.19987.41Last 15 years8.10Last 10 years7.14Last 5 years7.09Last 12 months27.55
Standard deviation difference. Fund versus benchmark index (percentage points)1Since 01.01.19980.36Last 15 years0.46Last 10 years0.14Last 5 years0.09Last 12 months20.17
The fund's Sharpe ratio3 (percent)Since 01.01.19980.58Last 15 years0.66Last 10 years1.02Last 5 years0.86Last 12 months22.18
Sharpe ratio3 difference. Fund versus benchmark index (percentage points)1
Since 01.01.19980.01Last 15 years-0.02Last 10 years0.01Last 5 years0.02Last 12 months2-0.02
The fund's tracking error (percentage points)1Since 01.01.19980.67Last 15 years0.77Last 10 years0.36Last 5 years0.33Last 12 months20.35
The fund's information ratio (IR)1,4Since 01.01.19980.39Last 15 years0.24Last 10 years0.64Last 5 years0.66Last 12 months20.58
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.

5 year periods

  1998-2002 2003-2007 2008-2012 2013-2017 2018-2019
Fund return (percent)1998-20023.192003-20078.922008-20123.142013-20179.262018-20196.12
Relative return on fund1 (percentage points)1998-20020.412003-20070.402008-20120.012013-20170.292018-2019-0.07
Annual price inflation (percent)1998-20021.462003-20072.302008-20122.012013-20171.302018-20191.76
Annual management costs (percent)1998-20020.082003-20070.102008-20120.102013-20170.062018-20190.05
Net real return on fund (percent)1998-20021.622003-20076.372008-20121.012013-20177.812018-20194.23
Key figures for risk and risk-adjusted return2
The fund's actual standard deviation (percent)1998-20026.132003-20073.822008-201211.312013-20175.902018-20198.37
Standard deviation difference. Fund versus benchmark index (percentage points)11998-20020.122003-20070.172008-20120.862013-20170.112018-20190.09
The fund's Sharpe ratio (percent)31998-2002-0.122003-20071.512008-20120.302013-20171.502018-20190.52
Sharpe ratio3 difference. Fund versus benchmark index (percentage points)11998-20020.072003-20070.032008-2012-0.012013-20170.022018-2019-0.01
The fund's tracking error (percentage points)11998-20020.432003-20070.422008-20121.202013-20170.382018-20190.33
The fund's information ratio (IR)1,41998-20020.962003-20070.912008-20120.092013-20170.732018-2019-0.17
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) 6.22 7.88 9.85 9.02 26.13
Return on equity management benchmark index (percent) 5.78 7.57 9.63 8.75 25.62
Relative return on equity management (percentage points) 0.44 0.31 0.23 0.27 0.51
           
Key figures for risk and risk-adjusted return1     
Standard deviation for equity management (percent) 14.08 13.65 11.55 10.97 11.48
Standard deviation for equity management benchmark index (percent) 13.76 13.27 11.32 10.77 11.16
Standard deviation difference. Equity management versus benchmark (percentage points) 0.32 0.37 0.23 0.21 0.32
           
Sharpe ratio2 for equity management (percent) 0.38 0.53 0.83 0.75 1.91
Sharpe ratio2 for equity management benchmark index (percent) 0.35 0.52 0.83 0.74 1.92
Sharpe ratio2 difference. Equity management versus benchmark (percentage points) 0.02 0.01 0.00 0.01 -0.01
           
Tracking error for equity management (percentage points) 0.75 0.70 0.43 0.41 0.37
Information ratio (IR)3 for equity management 0.62 0.49 0.55 0.67 1.22
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 management - 5 year periods

  1999-2002 2003-2007 2008-2012 2013-2017 2018-2019
Return on equity management (percent)1999-2002-4.852003-200716.282008-2012-0.592013-201712.952018-20196.84
Return on equity management benchmark index (percent)1999-2002-5.632003-200715.372008-2012-0.592013-201712.522018-20197.04
Relative return on equity management (percentage points)1999-20020.782003-20070.902008-20120.012013-20170.422018-2019-0.19
Key figures for risk and risk-adjusted return1
Standard deviation for equity management (percent)1999-200216.882003-20079.242008-201219.112013-20179.262018-201912.51
Standard deviation for equity management benchmark index (percent)1999-200216.552003-20079.002008-201218.602013-20179.062018-201912.29
Standard deviation difference. Equity management versus benchmark (percentage points)1999-20020.332003-20070.242008-20120.512013-20170.202018-20190.23
Sharpe ratio2 for equity management (percent)1999-2002-0.442003-20071.382008-20120.052013-20171.352018-20190.43
Sharpe ratio2 for equity management benchmark index (percent)1999-2002-0.502003-20071.322008-20120.042013-20171.332018-20190.46
Sharpe ratio2 difference. Equity management versus benchmark (percentage points)1999-20020.062003-20070.052008-20120.002013-20170.012018-2019-0.02
Tracking error for equity management (percentage points)1999-20021.002003-20070.762008-20120.842013-20170.452018-20190.39
Information ratio (IR)3 for equity management1999-20020.872003-20071.072008-20120.132013-20170.882018-2019-0.39
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.

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) 4.69 4.05 4.05 3.18 7.56
Return on fixed-income management benchmark index (percent) 4.55 3.95 3.87 3.10 7.45
Relative return on fixed-income management (percentage points) 0.14 0.10 0.17 0.08 0.11
           
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income management (percent) 3.28 3.28 2.74 2.83 3.40
Standard deviation for fixed-income management benchmark index (percent) 3.16 3.12 2.90 2.99 3.53
Standard deviation difference. Fixed-income management versus benchmark (percentage points) 0.12 0.17 -0.16 -0.16 -0.13
           
Sharpe ratio2 for fixed-income management (percent) 0.84 0.84 1.28 0.77 1.54
Sharpe ratio2 for fixed-income management benchmark index (percent) 0.83 0.85 1.15 0.71 1.46
Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points) 0.01 -0.01 0.13 0.07 0.08
           
Tracking error for fixed-income management (percentage points) 0.99 1.18 0.46 0.37 0.25
Information ratio (IR)3 for fixed-income management 0.14 0.08 0.36 0.20 0.39
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 - 5 year periods

  1998-2002 2003-2007 2008-2012 2013-2017 2018-2019
Return on fixed-income management (percent)1998-20026.262003-20074.002008-20125.872013-20172.962018-20194.00
Return on fixed-income management benchmark index (percent)1998-20026.092003-20073.972008-20125.442013-20172.982018-20193.95
Relative return on fixed-income management (percentage points)1998-20020.172003-20070.032008-20120.432013-2017-0.022018-20190.05
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income management (percent)1998-20023.062003-20073.042008-20124.272013-20172.672018-20192.93
Standard deviation for fixed-income management benchmark index (percent)1998-20023.052003-20073.102008-20123.622013-20172.922018-20193.04
Standard deviation difference. Fixed-income management versus benchmark (percentage points)1998-20020.012003-2007-0.052008-20120.642013-2017-0.242018-2019-0.11
Sharpe ratio2 for fixed-income management (percent)1998-20020.672003-20070.362008-20121.272013-20171.032018-20190.69
Sharpe ratio2 for fixed-income management benchmark index (percent)1998-20020.622003-20070.342008-20121.382013-20170.952018-20190.65
Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points)1998-20020.052003-20070.022008-2012-0.112013-20170.082018-20190.04
Tracking error for fixed-income management (percentage points)1998-20020.312003-20070.372008-20121.962013-20170.472018-20190.35
Information ratio (IR)3 for fixed-income management1998-20020.522003-20070.082008-20120.222013-2017-0.062018-20190.12
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.

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 01.01.19996.21Last 15 years7.87Last 10 years9.84Last 5 years8.99Last 12 months126.02
Return on equity benchmark index (percent)Since 01.01.19995.78Last 15 years7.57Last 10 years9.63Last 5 years8.75Last 12 months125.65
Relative return on equity investments (percentage points)Since 01.01.19990.43Last 15 years0.30Last 10 years0.21Last 5 years0.24Last 12 months10.37
Key figures for risk and risk-adjusted return1
Standard deviation for equity investments (percent)Since 01.01.199914.08Last 15 years13.64Last 10 years11.53Last 5 years10.94Last 12 months111.38
Standard deviation for equity benchmark index (percent)Since 01.01.199913.76Last 15 years13.28Last 10 years11.33Last 5 years10.77Last 12 months111.17
Standard deviation difference. Equity investments versus benchmark (percentage points)Since 01.01.19990.32Last 15 years0.36Last 10 years0.21Last 5 years0.17Last 12 months10.21
Sharpe ratio2 for equity investments (percent)Since 01.01.19990.38Last 15 years0.53Last 10 years0.83Last 5 years0.75Last 12 months11.92
Sharpe ratio2 for equity benchmark index (percent)Since 01.01.19990.35Last 15 years0.52Last 10 years0.83Last 5 years0.74Last 12 months11.92
Sharpe ratio2 difference. Equity investments versus benchmark (percentage points)Since 01.01.19990.02Last 15 years0.01Last 10 years0.00Last 5 years0.01Last 12 months1-0.01
Tracking error for equity investments (percentage points)Since 01.01.19990.75Last 15 years0.70Last 10 years0.43Last 5 years0.41Last 12 months10.35
Information ratio (IR)3 for equity investmentsSince 01.01.19990.61Last 15 years0.48Last 10 years0.51Last 5 years0.59Last 12 months10.90
* 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.

Equity investments - 5 year periods*

  1999-2002 2003-2007 2008-2012 2013-2017 2018-2019
Return on equity investments (percent)1999-2002-4.852003-200716.282008-2012-0.592013-201712.942018-20196.80
Return on equity benchmark index (percent)1999-2002-5.632003-200715.372008-2012-0.592013-201712.522018-20197.05
Relative return on equity investments (percentage points)1999-20020.782003-20070.902008-20120.012013-20170.422018-2019-0.25
Key figures for risk and risk-adjusted return1
Standard deviation for equity investments (percent)1999-200216.882003-20079.242008-201219.112013-20179.262018-201912.45
Standard deviation for equity benchmark index (percent)1999-200216.552003-20079.002008-201218.602013-20179.062018-201912.30
Standard deviation difference. Equity investments versus benchmark (percentage points)1999-20020.332003-20070.242008-20120.512013-20170.202018-20190.15
Sharpe ratio2 for equity investments (percent)1999-2002-0.442003-20071.382008-20120.052013-20171.342018-20190.43
Sharpe ratio2 for equity benchmark index (percent)1999-2002-0.502003-20071.322008-20120.042013-20171.332018-20190.46
Sharpe ratio2 difference. Equity investments versus benchmark (percentage points)1999-20020.062003-20070.052008-20120.002013-20170.012018-2019-0.02
Tracking error for equity investments (percentage points)1999-20021.002003-20070.762008-20120.842013-20170.452018-20190.39
Information ratio (IR)3 for equity investments1999-20020.872003-20071.072008-20120.132013-20170.862018-2019-0.56
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.

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 01.01.19984.69Last 15 years4.05Last 10 years4.05Last 5 years3.18Last 12 months17.56
Return on fixed-income benchmark index (percent)Since 01.01.19984.54Last 15 years3.94Last 10 years3.86Last 5 years3.07Last 12 months17.35
Relative return on fixed-income investments (percentage points)Since 01.01.19980.15Last 15 years0.10Last 10 years0.19Last 5 years0.11Last 12 months10.21
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income investments (percent)Since 01.01.19983.28Last 15 years3.28Last 10 years2.74Last 5 years2.83Last 12 months13.40
Standard deviation for fixed-income benchmark index (percent)Since 01.01.19983.17Last 15 years3.12Last 10 years2.91Last 5 years3.01Last 12 months13.58
Standard deviation difference. Fixed-income investments versus benchmark (percentage points)Since 01.01.19980.11Last 15 years0.16Last 10 years-0.17Last 5 years-0.18Last 12 months1-0.18
Sharpe ratio2 for fixed-income investments (percent)Since 01.01.19980.84Last 15 years0.84Last 10 years1.28Last 5 years0.77Last 12 months11.54
Sharpe ratio2 for fixed-income benchmark index (percent)Since 01.01.19980.82Last 15 years0.85Last 10 years1.14Last 5 years0.69Last 12 months11.41
Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points)Since 01.01.19980.02Last 15 years-0.01Last 10 years0.13Last 5 years0.08Last 12 months10.13
Tracking error for fixed-income investments (percentage points)Since 01.01.19980.99Last 15 years1.18Last 10 years0.46Last 5 years0.39Last 12 months10.31
Information ratio (IR)3 for fixed-income investmentsSince 01.01.19980.15Last 15 years0.09Last 10 years0.38Last 5 years0.26Last 12 months10.61
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 - 5 year periods*

  1998-2002 2003-2007 2008-2012 2013-2017 2018-2019
Return on fixed-income investments (percent)1998-20026.262003-20074.002008-20125.872013-20172.962018-20194.00
Return on fixed-income benchmark index (percent)1998-20026.092003-20073.972008-20125.442013-20172.972018-20193.90
Relative return on fixed-income investments (percentage points)1998-20020.172003-20070.032008-20120.432013-2017-0.022018-20190.10
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income investments (percent)1998-20023.062003-20073.042008-20124.272013-20172.672018-20192.93
Standard deviation for fixed-income benchmark index (percent)1998-20023.052003-20073.102008-20123.622013-20172.922018-20193.07
Standard deviation difference. Fixed-income investments versus benchmark (percentage points)1998-20020.012003-2007-0.052008-20120.642013-2017-0.242018-2019-0.14
Sharpe ratio2 for fixed-income investments (percent)1998-20020.672003-20070.362008-20121.272013-20171.032018-20190.69
Sharpe ratio2 for fixed-income benchmark index (percent)1998-20020.622003-20070.342008-20121.382013-20170.952018-20190.62
Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points)1998-20020.052003-20070.022008-2012-0.112013-20170.082018-20190.06
Tracking error for fixed-income investments (percentage points)1998-20020.312003-20070.372008-20121.962013-20170.472018-20190.38
Information ratio (IR)3 for fixed-income investments1998-20020.522003-20070.082008-20120.222013-2017-0.052018-20190.24
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 unlisted real estate, funding return, and other return series

  2018 2017 2016 2015 2014
Return unlisted real estate20187.5320177.5220161.70201510.7920149.65
Funding benchmark2018-2.0620176.77
Benchmark index fixed income20184.1620170.5720167.59
Return difference fixed income2018-2.46201710.2220162.06
Return difference funding benchmark20189.5920170.75
Other return series
FTSE Global All Cap index Real Estate12018-5.49201712.0420167.1120154.74201422.15
Benchmark index fixed income20180.5620172.8820164.1620150.5720147.59
Benchmark index equity2018-8.80201718.6820168.5820153.0020148.73
Fund benchmark index (equity and fixed income)22018-5.82201712.9620166.9720152.0720148.30
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.

Property returns measured against MSCI Global

  20182 2017 2016 2015 2014
Property return unlisted real estate investments201827.920178.420165.6201510.6201411.4
MSCI Global120182n/a20178.320167.7201510.9201410.1
MSCI Global. Portfolio weights120182n/a20178.620166.9201511.6201411.4
Return difference to MSCI Global 20182n/a20170.12016-2.12015-0.320141.2
Return difference to MSCI Global. Portfolio weights20182n/a2017-0.22016-1.32015-1.020140.0
1 Adjusted for transaction costs.
2 MSCI Global figures for 2018 are not available.

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 36 currencies at the end of the third quarter 2019. 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: 02/01/2020

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