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 2020, the fund has received a total of 3,092 billion kroner, while the fund's cumulative return was 6,427 billion kroner.

The fund has generated an annual return of 6.3 percent between 1 January 1998 and by the end of 2020. The net annual return on the fund is 4.4 percent.

Annual return and accumulated annualised return

In percent as at 31 December 2020

Annual return by asset class

In percent as at 31 December 2020.

    

    

Return figures

Measured in the fund's currency basket. Percent

   2020 2019 2018 2017 2016
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 index 202011.7201925.72018-8.8201718.720168.6
The fund's equity investments 202012.1201926.02018-9.5201719.420168.7
Fixed-income part of the fund's benchmark index 20206.820197.420180.620172.920164.2
The fund's fixed-income investments 20207.520197.620180.620173.320164.3
The fund's unlisted real estate investments 2020-0.120196.820187.520177.520160.8
Total return on fund 202010.92019 20.02018-6.1201713.720166.9
Relative return on fund (percentage points) 20200.320190.22018-0.320170.720160.2
Management costs 20200.120190.120180.120170.0120160.1
Return on fund after management costs 202010.8201919.92018-6.2201713.620166.9

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 01.01.19986.29Last 15 years6.45Last 10 years7.95Last 5 years8.69Last 12 months210.86
Relative return on fund (percentage points)1Since 01.01.19980.25Last 15 years0.10Last 10 years0.16Last 5 years0.19Last 12 months20.27
Annual price inflation (percent)Since 01.01.19981.72Last 15 years1.73Last 10 years1.54Last 5 years1.52Last 12 months20.59
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 01.01.19984.42Last 15 years4.57Last 10 years6.25Last 5 years7.02Last 12 months210.16
Key figures for risk and risk-adjusted return2
The fund's actual standard deviation (percent)Since 01.01.19988.06Last 15 years9.15Last 10 years8.43Last 5 years9.68Last 12 months217.58
Standard deviation difference. Fund versus benchmark index (percentage points)1Since 01.01.19980.34Last 15 years0.42Last 10 years0.13Last 5 years0.13Last 12 months20.23
The fund's Sharpe ratio (percent)3Since 01.01.19980.57Last 15 years0.61Last 10 years0.89Last 5 years0.80Last 12 months20.64
Sharpe ratio3 difference. Fund versus benchmark index (percentage points)1Since 01.01.19980.01Last 15 years-0.01Last 10 years0.01Last 5 years0.01Last 12 months20.01
The fund's tracking error (percentage points)1Since 01.01.19980.66Last 15 years0.76Last 10 years0.36Last 5 years0.34Last 12 months20.34
The fund's information ratio (IR)1,4Since 01.01.19980.40Last 15 years0.18Last 10 years0.46Last 5 years0.56Last 12 months20.83

5 year periods

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. 
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.
  1998-2002 2003-2007 2008-2012 2013-2017 2018-2020
Fund return (percent)1998-20023.192003-20078.922008-20123.142013-20179.262018-20207.68
Relative return on fund (percentage points)11998-20020.412003-20070.402008-20120.012013-20170.292018-20200.04
Annual price inflation (percent)1998-20021.462003-20072.302008-20122.012013-20171.302018-20201.38
Annual management costs (percent)1998-20020.082003-20070.102008-20120.102013-20170.062018-20200.05
Net real return on fund (percent)1998-20021.622003-20076.372008-20121.012013-20177.812018-20206.16
Key figures for risk and risk-adjusted return2
The fund's actual standard deviation (percent)1998-20026.132003-20073.822008-201211.312013-20175.902018-202011.99
Standard deviation difference. Fund versus benchmark index (percentage points)11998-20020.122003-20070.172008-20120.862013-20170.112018-20200.15
The fund's Sharpe ratio (percent)31998-2002-0.122003-20071.512008-20120.302013-20171.502018-20200.56
Sharpe ratio3 difference. Fund versus benchmark index (percentage points)11998-20020.072003-20070.032008-2012-0.012013-20170.022018-20200.00
The fund's tracking error (percentage points)11998-20020.432003-20070.422008-20121.202013-20170.382018-20200.33
The fund's information ratio (IR)1,41998-20020.962003-20070.912008-20120.092013-20170.732018-20200.17

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 01.01.19996.51Last 15 years7.29Last 10 years9.80Last 5 years10.83Last 12 months112.75
Return on equity management benchmark index (percent)Since 01.01.19996.04Last 15 years7.04Last 10 years9.54Last 5 years10.54Last 12 months111.77
Relative return on equity management (percentage points)Since 01.01.19990.46Last 15 years0.24Last 10 years0.25Last 5 years0.29Last 12 months10.98
Key figures for risk and risk-adjusted return1
Standard deviation for equity management (percent)Since 01.01.199914.65Last 15 years14.75Last 10 years12.86Last 5 years14.06Last 12 months124.55
Standard deviation for equity management benchmark index (percent)Since 01.01.199914.33Last 15 years14.40Last 10 years12.63Last 5 years13.81Last 12 months124.20
Standard deviation difference. Equity management versus benchmark (percentage points)Since 01.01.19990.32Last 15 years0.35Last 10 years0.23Last 5 years0.25Last 12 months10.35
Sharpe ratio2 for equity management (percent)Since 01.01.19990.39Last 15 years0.48Last 10 years0.75Last 5 years0.73Last 12 months10.59
Sharpe ratio2 for equity management benchmark index (percent)Since 01.01.19990.36Last 15 years0.47Last 10 years0.74Last 5 years0.72Last 12 months10.56
Sharpe ratio2 difference. Equity management versus benchmark (percentage points)Since 01.01.19990.03Last 15 years0.01Last 10 years0.01Last 5 years0.01Last 12 months10.03
Tracking error for equity management (percentage points)Since 01.01.19990.74Last 15 years0.66Last 10 years0.44Last 5 years0.43Last 12 months10.46
Information ratio (IR)3 for equity managementSince 01.01.19990.66Last 15 years0.43Last 10 years0.59Last 5 years0.70Last 12 months12.09

Equity management - 5 year periods

  1999-2002 2003-2007 2008-2012 2013-2017 2018-2020
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 equity management (percent)1999-2002-4.852003-200716.282008-2012-0.592013-201712.952018-20208.78
Return on equity management benchmark index (percent)1999-2002-5.632003-200715.372008-2012-0.592013-201712.522018-20208.59
Relative return on equity management (percentage points)1999-20020.782003-20070.902008-20120.012013-20170.422018-20200.19
Key figures for risk and risk-adjusted return1
Standard deviation for equity management (percent)1999-200216.882003-20079.242008-201219.112013-20179.262018-202017.13
Standard deviation for equity management benchmark index (percent)1999-200216.552003-20079.002008-201218.602013-20179.062018-202016.85
Standard deviation difference. Equity management versus benchmark (percentage points)1999-20020.332003-20070.242008-20120.512013-20170.202018-20200.27
Sharpe ratio2 for equity management (percent)1999-2002-0.442003-20071.382008-20120.052013-20171.352018-20200.49
Sharpe ratio2 for equity management benchmark index (percent)1999-2002-0.502003-20071.322008-20120.042013-20171.332018-20200.49
Sharpe ratio2 difference. Equity management versus benchmark (percentage points)1999-20020.062003-20070.052008-20120.002013-20170.012018-20200.00
Tracking error for equity management (percentage points)1999-20021.002003-20070.762008-20120.842013-20170.452018-20200.44
Information ratio (IR)3 for equity management1999-20020.872003-20071.072008-20120.132013-20170.882018-20200.50

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.
Return on fixed-income management (percent)Since 01.01.19984.81Last 15 years4.29Last 10 years4.38Last 5 years4.61Last 12 months17.46
Return on fixed-income management benchmark index (percent)Since 01.01.19984.64Last 15 years4.17Last 10 years4.28Last 5 years4.33Last 12 months16.70
Relative return on fixed-income management (percentage points)Since 01.01.19980.17Last 15 years0.12Last 10 years0.09Last 5 years0.28Last 12 months10.76
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income management (percent)Since 01.01.19983.31Last 15 years3.39Last 10 years2.84Last 5 years3.11Last 12 months14.13
Standard deviation for fixed-income management benchmark index (percent)Since 01.01.19983.20Last 15 years3.22Last 10 years3.00Last 5 years3.21Last 12 months14.11
Standard deviation difference. Fixed-income management versus benchmark (percentage points)Since 01.01.19980.11Last 15 years0.17Last 10 years-0.16Last 5 years-0.10Last 12 months10.02
Sharpe ratio2 for fixed-income management (percent)Since 01.01.19980.88Last 15 years0.93Last 10 years1.33Last 5 years1.12Last 12 months11.66
Sharpe ratio2 for fixed-income management benchmark index (percent)Since 01.01.19980.86Last 15 years0.94Last 10 years1.23Last 5 years1.00Last 12 months11.49
Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points)Since 01.01.19980.02Last 15 years-0.01Last 10 years0.10Last 5 years0.12Last 12 months10.16
Tracking error for fixed-income management (percentage points)Since 01.01.19980.97Last 15 years1.18Last 10 years0.41Last 5 years0.33Last 12 months10.25
Information ratio (IR)3 for fixed-income managementSince 01.01.19980.17Last 15 years0.10Last 10 years0.21Last 5 years0.81Last 12 months12.85

Fixed-income management - 5 year periods

  1998-2002 2003-2007 2008-2012 2013-2017 2018-2020
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 fixed-income management (percent)1998-20026.262003-20074.002008-20125.872013-20172.962018-20205.14
Return on fixed-income management benchmark index (percent)1998-20026.092003-20073.972008-20125.442013-20172.982018-20204.86
Relative return on fixed-income management (percentage points)1998-20020.172003-20070.032008-20120.432013-2017-0.022018-20200.28
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income management (percent)1998-20023.062003-20073.042008-20124.272013-20172.672018-20203.35
Standard deviation for fixed-income management benchmark index (percent)1998-20023.052003-20073.102008-20123.622013-20172.922018-20203.39
Standard deviation difference. Fixed-income management versus benchmark (percentage points)1998-20020.012003-2007-0.052008-20120.642013-2017-0.242018-2020-0.04
Sharpe ratio2 for fixed-income management (percent)1998-20020.672003-20070.362008-20121.272013-20171.032018-20201.08
Sharpe ratio2 for fixed-income management benchmark index (percent)1998-20020.622003-20070.342008-20121.382013-20170.952018-20200.99
Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points)1998-20020.052003-20070.022008-2012-0.112013-20170.082018-20200.09
Tracking error for fixed-income management (percentage points)1998-20020.312003-20070.372008-20121.962013-20170.472018-20200.33
Information ratio (IR)3 for fixed-income management1998-20020.522003-20070.082008-20120.222013-2017-0.062018-20200.80

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.
Return on equity investments (percent)Since 01.01.19996.48Last 15 years7.24Last 10 years9.72Last 5 years10.68Last 12 months112.14
Return on equity benchmark index (percent)Since 01.01.19996.04Last 15 years7.04Last 10 years9.54Last 5 years10.53Last 12 months111.74
Relative return on equity investments (percentage points)Since 01.01.19990.43Last 15 years0.20Last 10 years0.18Last 5 years0.15Last 12 months10.40
Key figures for risk and risk-adjusted return1
Standard deviation for equity investments (percent)Since 01.01.199914.65Last 15 years14.75Last 10 years12.86Last 5 years14.06Last 12 months124.62
Standard deviation for equity benchmark index (percent)Since 01.01.199914.33Last 15 years14.40Last 10 years12.64Last 5 years13.83Last 12 months124.25
Standard deviation difference. Equity investments versus benchmark (percentage points)Since 01.01.19990.32Last 15 years0.34Last 10 years0.22Last 5 years0.23Last 12 months10.37
Sharpe ratio2 for equity investments (percent)Since 01.01.19990.39Last 15 years0.48Last 10 years0.75Last 5 years0.72Last 12 months10.56
Sharpe ratio2 for equity benchmark index (percent)Since 01.01.19990.36Last 15 years0.47Last 10 years0.74Last 5 years0.72Last 12 months10.55
Sharpe ratio2 difference. Equity investments versus benchmark (percentage points)Since 01.01.19990.02Last 15 years0.01Last 10 years0.00Last 5 years0.00Last 12 months10.01
Tracking error for equity investments (percentage points)Since 01.01.19990.74Last 15 years0.66Last 10 years0.44Last 5 years0.44Last 12 months10.52
Information ratio (IR)3 for equity investmentsSince 01.01.19990.62Last 15 years0.36Last 10 years0.44Last 5 years0.38Last 12 months10.85

Equity investments - 5 year periods*

* 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.
  1999-2002 2003-2007 2008-2012 2013-2017 2018-2020
Return on equity investments (percent)1999-2002-4.852003-200716.282008-2012-0.592013-201712.942018-20208.55
Return on equity benchmark index (percent)1999-2002-5.632003-200715.372008-2012-0.592013-201712.522018-20208.59
Relative return on equity investments (percentage points)1999-20020.782003-20070.902008-20120.012013-20170.422018-2020-0.04
Key figures for risk and risk-adjusted return1
Standard deviation for equity investments (percent)1999-200216.882003-20079.242008-201219.112013-20179.262018-202017.12
Standard deviation for equity benchmark index (percent)1999-200216.552003-20079.002008-201218.602013-20179.062018-202016.88
Standard deviation difference. Equity investments versus benchmark (percentage points)1999-20020.332003-20070.242008-20120.512013-20170.202018-20200.24
Sharpe ratio2 for equity investments (percent)1999-2002-0.442003-20071.382008-20120.052013-20171.342018-20200.48
Sharpe ratio2 for equity benchmark index (percent)1999-2002-0.502003-20071.322008-20120.042013-20171.332018-20200.49
Sharpe ratio2 difference. Equity investments versus benchmark (percentage points)1999-20020.062003-20070.052008-20120.002013-20170.012018-2020-0.01
Tracking error for equity investments (percentage points)1999-20021.002003-20070.762008-20120.842013-20170.452018-20200.44
Information ratio (IR)3 for equity investments1999-20020.872003-20071.072008-20120.132013-20170.862018-20200.01

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 01.01.19984.81Last 15 years4.29Last 10 years4.38Last 5 years4.61Last 12 months17.46
Return on fixed-income benchmark index (percent)Since 01.01.19984.64Last 15 years4.16Last 10 years4.28Last 5 years4.31Last 12 months16.77
Relative return on fixed-income investments (percentage points)Since 01.01.19980.17Last 15 years0.13Last 10 years0.10Last 5 years0.29Last 12 months10.69
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income investments (percent)Since 01.01.19983.31Last 15 years3.39Last 10 years2.84Last 5 years3.11Last 12 months14.13
Standard deviation for fixed-income benchmark index (percent)Since 01.01.19983.20Last 15 years3.21Last 10 years2.99Last 5 years3.19Last 12 months13.97
Standard deviation difference. Fixed-income investments versus benchmark (percentage points)Since 01.01.19980.11Last 15 years0.17Last 10 years-0.15Last 5 years-0.08Last 12 months10.16
Sharpe ratio2 for fixed-income investments (percent)Since 01.01.19980.88Last 15 years0.93Last 10 years1.33Last 5 years1.12Last 12 months11.66
Sharpe ratio2 for fixed-income benchmark index (percent)Since 01.01.19980.86Last 15 years0.94Last 10 years1.23Last 5 years1.01Last 12 months11.56
Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points)Since 01.01.19980.02Last 15 years-0.01Last 10 years0.10Last 5 years0.12Last 12 months10.10
Tracking error for fixed-income investments (percentage points)Since 01.01.19980.97Last 15 years1.19Last 10 years0.43Last 5 years0.37Last 12 months10.39
Information ratio (IR)3 for fixed-income investmentsSince 01.01.19980.17Last 15 years0.11Last 10 years0.22Last 5 years0.77Last 12 months11.69

Fixed-income investments - 5 year periods*

  1998-2002 2003-2007 2008-2012 2013-2017 2018-2020
* 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 fixed-income investments (percent)1998-20026.262003-20074.002008-20125.872013-20172.962018-20205.14
Return on fixed-income benchmark index (percent)1998-20026.092003-20073.972008-20125.442013-20172.972018-20204.85
Relative return on fixed-income investments (percentage points)1998-20020.172003-20070.032008-20120.432013-2017-0.022018-20200.29
Key figures for risk and risk-adjusted return1
Standard deviation for fixed-income investments (percent)1998-20023.062003-20073.042008-20124.272013-20172.672018-20203.35
Standard deviation for fixed-income benchmark index (percent)1998-20023.052003-20073.102008-20123.622013-20172.922018-20203.36
Standard deviation difference. Fixed-income investments versus benchmark (percentage points)1998-20020.012003-2007-0.052008-20120.642013-2017-0.242018-2020-0.01
Sharpe ratio2 for fixed-income investments (percent)1998-20020.672003-20070.362008-20121.272013-20171.032018-20201.08
Sharpe ratio2 for fixed-income benchmark index (percent)1998-20020.622003-20070.342008-20121.382013-20170.952018-20200.99
Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points)1998-20020.052003-20070.022008-2012-0.112013-20170.082018-20200.09
Tracking error for fixed-income investments (percentage points)1998-20020.312003-20070.372008-20121.962013-20170.472018-20200.39
Information ratio (IR)3 for fixed-income investments1998-20020.522003-20070.082008-20120.222013-2017-0.052018-20200.72

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

Measured in the fund's currency basket. Percent

  Half year 2020 2020 2019
Return unlisted real estateHalf year 2020-2.002020-1.6320196.84
Funding benchmarkHalf year 20206.2320202.00201913.02
Return difference funding benchmarkHalf year 2020-8.232020-3.632019-6.18
Other return series
FTSE Global All Cap index Real Estate1Half year 202011.672020-16.23201925.21
Benchmark index fixed incomeHalf year 20203.2220204.7620197.35
Benchmark index equityHalf year 202017.842020-6.64201925.65
Fund benchmark index (equity and fixed income)Half year 202012.912020-3.29201919.72
ICB Supersector 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.

  2019 2018 2017 2016 2015
Property return unlisted real estate investments20196.920187.920178.420165.6201510.6
MSCI Global120197.020187.820178.320167.7201510.9
MSCI Global. Portfolio weights120196.220187.420178.620166.9201511.6
Return difference to MSCI Global 20190.020180.120170.12016-2.12015-0.3
Return difference to MSCI Global. Portfolio weights20190.820180.52017-0.22016-1.32015-1.0
1 Adjusted for transaction costs

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 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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