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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 the first half 2024, the fund has received a net inflow total of 4,886 billion kroner, while the fund's cumulative return was 10,070 billion kroner.

The fund has generated an annual return of 6.30 percent between 1 January 1998 and the end of the first half 2024. The net annual real return on the fund is 4.00 percent. In the first half 2024, the fund's relative return was 0.04 percentage point lower 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 2024

Annual return by asset class

In percent as at 30 June 2024.

Return figures

Measured in the fund's currency basket. Percent

  First half 2024 2023  2022  2021 2020
Equity part of the fund's benchmark indexFirst half 202412.4202320.8 2022-15.3 202120.0202011.7
The fund's equity investmentsFirst half 202412.5202321.3 2022-15.4 202120.8202012.1
Fixed-income part of the fund's benchmark indexFirst half 2024-0.820235.6 2022-14.0 2021-1.920206.8
The fund's fixed-income investmentsFirst half 2024-0.620236.1 2022-12.1 2021-1.920207.5
The fund's unlisted real estate investmentsFirst half 2024-0.52023-12.4 20220.1 202113.62020-0.1
The fund's unlisted renewable energy infrastructure investmentsFirst half 2024-17.720238.0 20225.1 20214.2
Total return on fund
Relative return on fund (percentage points)First half 2024-0.02023-0.2 20220.9 20210.720200.3
Management costsFirst half 20240.020230.0 20220.0 20210.020200.1
Return on fund after management costsFirst half 20248.6202316.1  2022-14.2 202114.5202010.8
1 Excluding securities classified as Norwegian and securities denominated in Norwegian kroner, in accordance with equity and bond indicies 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 01.01.19986.30Last 15 years8.55Last 10 years7.07Last 5 years7.99Last 12 months214.65
Relative return on fund (percentage points)1Since 01.01.19980.27Last 15 years0.42Last 10 years0.23Last 5 years0.42Last 12 months20.02
Annual price inflation (percent)Since 01.01.19982.14Last 15 years2.37Last 10 years2.49Last 5 years3.64Last 12 months22.77
Annual management costs (percent)Since 01.01.19980.08Last 15 years0.06Last 10 years0.05Last 5 years0.05Last 12 months20.04
Net real return on fund (percent)Since 01.01.19984.00Last 15 years5.98Last 10 years4.42Last 5 years4.14Last 12 months211.51
Key figures for risk and risk-adjusted return2
The fund's actual standard deviation (percent)Since 01.01.19988.43Last 15 years9.09Last 10 years9.69Last 5 years11.77Last 12 months29.98
Standard deviation difference. Fund versus benchmark index (percentage points)1Since 01.01.19980.64Last 15 years0.44Last 10 years0.41Last 5 years0.45Last 12 months20.28
The fund's Sharpe ratio (percent)3Since 01.01.19980.54Last 15 years0.84Last 10 years0.61Last 5 years0.54Last 12 months20.89
Sharpe ratio3 difference. Fund versus benchmark index (percentage points)1Since 01.01.19980.02Last 15 years0.04Last 10 years0.03Last 5 years0.04Last 12 months20.02
The fund's tracking error (percentage points)1Since 01.01.19980.64Last 15 years0.44Last 10 years0.41Last 5 years0.45Last 12 months20.28
The fund's information ratio (IR)1,4Since 01.01.19980.45Last 15 years0.36Last 10 years0.56Last 5 years0.69Last 12 months2-0.99
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 01.01.19997.01Last 15 years11.32Last 10 years9.56Last 5 years11.53Last 12 months120.03
Return on equity management benchmark index (percent)Since 01.01.19996.53Last 15 years10.93Last 10 years9.20Last 5 years10.88Last 12 months119.52
Relative return on equity management (percentage points)Since 01.01.19990.48Last 15 years0.39Last 10 years0.36Last 5 years0.65Last 12 months10.50
Key figures for risk and risk-adjusted return1
Standard deviation for equity management (percent)Since 01.01.199914.48Last 15 years13.20Last 10 years13.41Last 5 years15.57Last 12 months112.17
Standard deviation for equity management benchmark index (percent)Since 01.01.199914.20Last 15 years13.04Last 10 years13.28Last 5 years15.51Last 12 months112.18
Standard deviation difference. Equity management versus benchmark (percentage points)Since 01.01.19990.27Last 15 years0.16Last 10 years0.12Last 5 years0.07Last 12 months10.00
Sharpe ratio2 for equity management (percent)Since 01.01.19990.42Last 15 years0.81Last 10 years0.64Last 5 years0.65Last 12 months11.13
Sharpe ratio2 for equity management benchmark index (percent)Since 01.01.19990.39Last 15 years0.79Last 10 years0.62Last 5 years0.61Last 12 months11.09
Sharpe ratio2 difference. Equity management versus benchmark (percentage points)Since 01.01.19990.03Last 15 years0.02Last 10 years0.02Last 5 years0.04Last 12 months10.04
Tracking error for equity management (percentage points)Since 01.01.19990.69Last 15 years0.39Last 10 years0.39Last 5 years0.29Last 12 months10.15
Information ratio (IR)3 for equity managementSince 01.01.19990.71Last 15 years0.96Last 10 years0.89Last 5 years2.04Last 12 months12.86
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 01.01.19983.79Last 15 years3.05Last 10 years1.60Last 5 years-0.18Last 12 months13.15
Return on fixed-income management benchmark index (percent)Since 01.01.19983.55Last 15 years2.43Last 10 years1.29Last 5 years-0.82Last 12 months12.73
Relative return on fixed-income management (percentage points)Since 01.01.19980.24Last 15 years0.62Last 10 years0.31Last 5 years0.64Last 12 months10.42
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income management (percent)Since 01.01.19983.76Last 15 years3.90Last 10 years4.20Last 5 years5.29Last 12 months15.97
Standard deviation for fixed-income management benchmark index (percent)Since 01.01.19983.77Last 15 years4.03Last 10 years4.45Last 5 years5.59Last 12 months16.13
Standard deviation difference. Fixed-income management versus benchmark (percentage points)Since 01.01.19980.00Last 15 years-0.13Last 10 years-0.25Last 5 years-0.30Last 12 months1-0.17
Sharpe ratio2 for fixed-income management (percent)Since 01.01.19980.50Last 15 years0.54Last 10 years0.06Last 5 years-0.40Last 12 months1-0.35
Sharpe ratio2 for fixed-income management benchmark index (percent)Since 01.01.19980.43Last 15 years0.38Last 10 years-0.01Last 5 years-0.49Last 12 months1-0.40
Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points)Since 01.01.19980.06Last 15 years0.17Last 10 years0.07Last 5 years0.09Last 12 months10.06
Tracking error for fixed-income management (percentage points)Since 01.01.19980.92Last 15 years0.67Last 10 years0.42Last 5 years0.42Last 12 months10.19
Information ratio (IR)3 for fixed-income managementSince 01.01.19980.26Last 15 years0.89Last 10 years0.71Last 5 years1.47Last 12 months12.08
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 01.01.1998 Last 15 years Last 10 years Last 5 years Last 12 months1
Return on fixed-income management (percent)Since 01.01.19986.95Last 15 years11.21Last 10 years9.41Last 5 years11.25Last 12 months119.98
Return on fixed-income management benchmark index (percent)Since 01.01.19986.53Last 15 years10.93Last 10 years9.20Last 5 years10.88Last 12 months119.49
Relative return on fixed-income management (percentage points)Since 01.01.19980.42Last 15 years0.28Last 10 years0.21Last 5 years0.37Last 12 months10.49
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income management (percent)Since 01.01.199814.48Last 15 years13.22Last 10 years13.43Last 5 years15.64Last 12 months112.25
Standard deviation for fixed-income management benchmark index (percent)Since 01.01.199814.21Last 15 years13.05Last 10 years13.30Last 5 years15.53Last 12 months112.18
Standard deviation difference. Fixed-income management versus benchmark (percentage points)Since 01.01.19980.28Last 15 years0.17Last 10 years0.14Last 5 years0.11Last 12 months10.07
Sharpe ratio2 for fixed-income management (percent)Since 01.01.19980.41Last 15 years0.80Last 10 years0.63Last 5 years0.63Last 12 months11.12
Sharpe ratio2 for fixed-income management benchmark index (percent)Since 01.01.19980.39Last 15 years0.79Last 10 years0.62Last 5 years0.61Last 12 months11.09
Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points)Since 01.01.19980.02Last 15 years0.01Last 10 years0.01Last 5 years0.02Last 12 months10.03
Tracking error for fixed-income management (percentage points)Since 01.01.19980.70Last 15 years0.42Last 10 years0.43Last 5 years0.39Last 12 months10.27
Information ratio (IR)3 for fixed-income managementSince 01.01.19980.62Last 15 years0.67Last 10 years0.48Last 5 years0.91Last 12 months11.55
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 01.01.19983.79Last 15 years3.05Last 10 years1.60Last 5 years-0.18Last 12 months13.15
Return on fixed-income benchmark index (percent)Since 01.01.19983.54Last 15 years2.42Last 10 years1.26Last 5 years-0.85Last 12 months12.73
Relative return on fixed-income investments (percentage points)Since 01.01.19980.25Last 15 years0.63Last 10 years0.34Last 5 years0.67Last 12 months10.42
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income investments (percent)Since 01.01.19983.76Last 15 years3.90Last 10 years4.20Last 5 years5.29Last 12 months15.97
Standard deviation for fixed-income benchmark index (percent)Since 01.01.19983.77Last 15 years4.04Last 10 years4.46Last 5 years5.60Last 12 months16.14
Standard deviation difference. Fixed-income investments versus benchmark (percentage points)Since 01.01.1998-0.01Last 15 years-0.14Last 10 years-0.26Last 5 years-0.32Last 12 months1-0.18
Sharpe ratio2 for fixed-income investments (percent)Since 01.01.19980.50Last 15 years0.54Last 10 years0.06Last 5 years-0.40Last 12 months1-0.35
Sharpe ratio2 for fixed-income benchmark index (percent)Since 01.01.19980.43Last 15 years0.37Last 10 years-0.02Last 5 years-0.49Last 12 months1-0.40
Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points)Since 01.01.19980.07Last 15 years0.17Last 10 years0.08Last 5 years0.09Last 12 months10.06
Tracking error for fixed-income investments (percentage points)Since 01.01.19980.92Last 15 years0.69Last 10 years0.45Last 5 years0.48Last 12 months10.21
Information ratio (IR)3 for fixed-income investmentsSince 01.01.19980.26Last 15 years0.89Last 10 years0.71Last 5 years1.35Last 12 months11.95
* 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

  First half 2024 2023 2022
Return unlisted real estateFirst half 2024-0,502023-12.3720220.07
Funding benchmarkFirst half 20243,4720239.722022-14.54
Return difference funding benchmarkFirst half 2024-3,972023-22.08202214.61
Other return series
FTSE Global All Cap index Real Estate1First half 2024-1,5420238.482022-21.59
Benchmark index fixed incomeFirst half 2024-0,7620235.652022-13.96
Benchmark index equityFirst half 202412.40202320.752022-15.32
Fund benchmark index (equity and fixed income)First half 20248,62202316.322022-14.98

ICB Industry Real Estate. 

Property returns measured against MSCI Property Index

Measured in local currency. Percent

  2023 2022 2021 2020 2019 2018
Property return12023-12.12022-0.4202113.420200.820196.920187.9
MSCI Global Annual Property Index12023-3.920224.0202113.220202.620197.020187.7
Weighted MSCI Annual Property Index1,22023-7.120221.7202114.120202.120196.220187.3
Return difference to MSCI Global Annual Property Index 2023-8.22022-4.420210.22020-1.82019-0.120180.2
Return difference to weighted MSCI Annual Property Index2023-4.92022-2.12021-0.72020-1.320190.720180.6
1 Transaction cost not included
2 Weighted with GPFG’s country and sector weights

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 30 June 2024.

Historic relative return

Annualised figures measured in the fund's currency basket. In percentage points as at 30 June 2024

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 01.01.19980.27Last 15 years0.42Last 10 years0.23Last 5 years0.42Last 12 months0.02
The fund's tracking error (percentage points)1Since 01.01.19980.64Last 15 years0.44Last 10 years0.41Last 5 years0.45Last 12 months0.28
The fund's information ratio (IR)1,2Since 01.01.19980.44Last 15 years0.89Last 10 years0.53Last 5 years0.83Last 12 months0.01

Relative return by management area

In percentage percentage points as at 30 June 2024

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
1H 2024-0.040.310.14-5.05-14.87
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 percentage points as at 31 December 2023.

  Since 01.01.1998 Last 5 years Last 12 months
Management costs of a passive strategy -0.04 -0.02 -0.02
Revenues from securities lending 0.05 0.04 0.03
Transaction costs related to replication of the benchmark index -0.03 -0.02 -0.02
Transaction costs related to inflows and extraordinary benchmark changes -0.04 -0.02 -0.02
Estimated relative return of a passive strategy -0.06 -0.02 -0.03

Cost-adjusted relative return comparison

In percentage points as at 31 December 2023.

Since 01.01.1998Last 5 yearsLast 12 months
The fund's relative return after management costs0.200.38-0.23
Estimated relative return of a passive strategy-0.06-0.02-0.03
Estimated relative return difference0.260.40-0.20

The fund's management costs are driven by the fund's underlying management areas. A breakdown of the 2023 management costs and returns after management cost by management areas is found in the below table.  

Return before and after management costs in 2023

In percentage points as at 31 December 2023.

                            Fund Equity management Fixed-income management Real Estate management Infrastructure management
Return before management costs 16.14 21.35 6.13 -0.15 3.68
Relative returns before management costs -0.18 0.38 0.51 -10.51 -5.67
           
Management costs1 0.05 0.05 0.02 0.06 0.40
           
Return after management costs 16.09 21.30 6.11 -0.21 3.29
Relative returns after management costs -0.23 0.32 0.48 -10.58 -6.07
1 Management cost as a proportion of asset under management.

The benchmark index is made up of global equity and bond indices. Hence, the funds estimated management costs of replicating the funds’ benchmarks are only relevant for the equity and bond indices. A breakdown of the 2023 estimated management costs of the equity and bond indices is found in the below table.

Estimated relative return of a passive strategy. Equity and fixed-income investments.

In percentage points as at 31 December 2023.

  Equity management Fixed income management
Management costs of a passive strategy1 -0.02 -0.02
Revenues from securities lending 0.04 0.02
Transaction costs related to replication of the benchmark index -0.01 -0.03
Transaction costs related to inflows and extraordinary benchmark changes -0.03 -0.01
Estimated relative return of a passive strategy -0.02 -0.04
1 The estimated management cost of a passive strategy is based on replicating the funds' equity and fixed income benchmarks. As unlisted real estate and infrastructure investments is funded by investing less in equities and bonds, the fund is not fully invested in the the equity and fixed income benchmarks. However, the estimated cost of replicating the equity and fixed income benchmarks provides a good cost estimate of a passive strategy.

Cost-adjusted relative return comparison. Equity and fixed-income management areas

In percentage points as at 31 December 2023.

  Equity management Fixed income management
Relative return after management costs 0.32 0.48
Estimated relative return of a passive strategy -0.02 -0.04
Estimated relative return difference 0.34 0.53

Investment outlook

With a large, global fund and a 70 percent allocation to equities, we have to be prepared for considerable fluctuations in the fund’s return and market value. Learn about the factors that may affect the fund and the markets in which we invest.

 

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 2024. Unless otherwise stated, 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: 14/08/2024

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