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 2022, the fund has received a net inflow total of 3,994 billion kroner, while the fund's cumulative return was 6,370 billion kroner.
The fund has generated an annual return of 5.70 percent between 1 January 1998 and the end of 2022. The net annual real return on the fund is 3.50 percent. In 2022, the fund's relative return was 0.87 percentage point higher than the benchmark index the fund is measured against. The fund has outperformed the benchmark index by 0.30 percentage point since 1998.
Annual return and accumulated annualised return
In percent as at 31 December 2022
Annual return by asset class
In percent as at 31 December 2022.
Return figures
Measured in the fund's currency basket. Percent
| 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|
| 1 Excluding securities classified as Norwegian and securities denominated in Norwegian kroner, in accordance with equity and bond indices from the Ministry of Finance. | |||||
| Equity part of the fund's benchmark index | 2022-15.3 | 202120.0 | 202011.7 | 201925.7 | 2018-8.8 |
| The fund's equity investments | 2022-15.4 | 202120.8 | 202012.1 | 201926.0 | 2018-9.5 |
| Fixed-income part of the fund's benchmark index | 2022-14.0 | 2021-1.9 | 20206.8 | 20197.4 | 20180.6 |
| The fund's fixed-income investments | 2022-12.1 | 2021-1.9 | 20207.5 | 20197.6 | 20180.6 |
| The fund's unlisted real estate investments | 20220.1 | 202113.6 | 2020-0.1 | 20196.8 | 20187.5 |
| The fund's unlisted renewable energy infrastructure investments | 20225.1 | 20214.2 | |||
| Total return on fund | 2022-14.1 | 202114.5 | 202010.9 | 2019 19.9 | 2018-6.1 |
| Relative return on fund (percentage points) | 20220.9 | 20210.7 | 20200.3 | 20190.2 | 2018-0.3 |
| Management costs | 20220.0 | 20210.0 | 20200.01 | 20190.0 | 20180.1 |
| Return on fund after management costs | 2022-14.2 | 202114.5 | 202010,8 | 201919.9 | 2018-6,2 |
Historical key figures
Annualised data
| 1 Based on aggregated equity and fixed-income investments until end of 2016. 2 Key figures for risk and risk-adjusted return are based on monthly observations. When relatively few observations are used, as for «Last 12 months», the risk estimates have high uncertainty. 3 Sharpe ratio is a measure for risk-adjusted return. 4 The fund's information ratio (IR) is the ratio of the fund's average monthly relative return to the fund's tracking error. The IR indicates how much relative return has been achieved per unit of relative risk. |
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| Since 01.01.1998 | Last 15 years | Last 10 years | Last 5 years | Last 12 months2 | |
|---|---|---|---|---|---|
| Fund return (percent) | Since 01.01.19985.70 | Last 15 years5.50 | Last 10 years6.70 | Last 5 years4.19 | Last 12 months2-14.11 |
| Relative return on fund (percentage points)1 | Since 01.01.19980.30 | Last 15 years0.22 | Last 10 years0.33 | Last 5 years0.37 | Last 12 months20.87 |
| Annual price inflation (percent) | Since 01.01.19982.06 | Last 15 years2.17 | Last 10 years2.26 | Last 5 years3.22 | Last 12 months26.83 |
| Annual management costs (percent) | Since 01.01.19980.08 | Last 15 years0.07 | Last 10 years0.05 | Last 5 years0.05 | Last 12 months20.04 |
| Net real return on fund (percent) | Since 01.01.19983.50 | Last 15 years3.19 | Last 10 years4.29 | Last 5 years0.89 | Last 12 months2-19.65 |
| Key figures for risk and risk-adjusted return2 | |||||
| The fund's actual standard deviation (percent) | Since 01.01.19988.36 | Last 15 years9.96 | Last 10 years9.25 | Last 5 years11.70 | Last 12 months214.16 |
| Standard deviation difference. Fund versus benchmark index (percentage points)1 | Since 01.01.19980.25 | Last 15 years0.31 | Last 10 years-0.01 | Last 5 years-0.07 | Last 12 months2-0.56 |
| The fund's Sharpe ratio (percent)3 | Since 01.01.19980.50 | Last 15 years0.53 | Last 10 years0.68 | Last 5 years0.31 | Last 12 months2-1.10 |
| Sharpe ratio3 difference. Fund versus benchmark index (percentage points)1 | Since 01.01.19980.02 | Last 15 years0.01 | Last 10 years0.03 | Last 5 years0.03 | Last 12 months20.02 |
| The fund's tracking error (percentage points)1 | Since 01.01.19980.65 | Last 15 years0.76 | Last 10 years0.41 | Last 5 years0.44 | Last 12 months20.73 |
| The fund's information ratio (IR)1,4 | Since 01.01.19980.47 | Last 15 years0.32 | Last 10 years0.77 | Last 5 years0.80 | Last 12 months21.28 |
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. |
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| Since 01.01.1999 | Last 15 years | Last 10 years | Last 5 years | Last 12 months1 | |
|---|---|---|---|---|---|
| Return on equity management (percent) | Since 01.01.19996.07 | Last 15 years5.89 | Last 10 years9.28 | Last 5 years5.73 | Last 12 months1-14.88 |
| Return on equity management benchmark index (percent) | Since 01.01.19995.59 | Last 15 years5.63 | Last 10 years8.88 | Last 5 years5.36 | Last 12 months1-15.40 |
| Relative return on equity management (percentage points) | Since 01.01.19990.48 | Last 15 years0.26 | Last 10 years0.40 | Last 5 years0.38 | Last 12 months10.52 |
| Key figures for risk and risk-adjusted return1 | |||||
| Standard deviation for equity management (percent) | Since 01.01.199914.62 | Last 15 years15.34 | Last 10 years13.08 | Last 5 years16.06 | Last 12 months118.07 |
| Standard deviation for equity management benchmark index (percent) | Since 01.01.199914.34 | Last 15 years15.05 | Last 10 years12.93 | Last 5 years15.93 | Last 12 months118.25 |
| Standard deviation difference. Equity management versus benchmark (percentage points) | Since 01.01.19990.29 | Last 15 years0.29 | Last 10 years0.15 | Last 5 years0.13 | Last 12 months1-0.18 |
| Sharpe ratio2 for equity management (percent) | Since 01.01.19990.37 | Last 15 years0.41 | Last 10 years0.69 | Last 5 years0.36 | Last 12 months1-0.88 |
| Sharpe ratio2 for equity management benchmark index (percent) | Since 01.01.19990.34 | Last 15 years0.40 | Last 10 years0.67 | Last 5 years0.33 | Last 12 months1-0.90 |
| Sharpe ratio2 difference. Equity management versus benchmark (percentage points) | Since 01.01.19990.03 | Last 15 years0.01 | Last 10 years0.02 | Last 5 years0.02 | Last 12 months10.02 |
| Tracking error for equity management (percentage points) | Since 01.01.19990.71 | Last 15 years0.59 | Last 10 years0.41 | Last 5 years0.37 | Last 12 months10.31 |
| Information ratio (IR)3 for equity management | Since 01.01.19990.70 | Last 15 years0.50 | Last 10 years0.94 | Last 5 years1.01 | Last 12 months11.82 |
Fixed-income management - annualised
| 1 Key figures for risk and risk-adjusted return are based on monthly observations. When relatively few observations are used, as for «Last 12 months», the risk estimates have high uncertainty. 2 Sharpe ratio is a measure for risk-adjusted return. 3 The information ratio (IR) is the ratio of average monthly relative return to the tracking error. The IR indicates how much relative return has been achieved per unit of relative risk. |
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| Since 01.01.1998 | Last 15 years | Last 10 years | Last 5 years | Last 12 months1 | |
|---|---|---|---|---|---|
| Return on fixed-income management (percent) | Since 01.01.19983.80 | Last 15 years2.93 | Last 10 years1.48 | Last 5 years0.03 | Last 12 months1-12.11 |
| Return on fixed-income management benchmark index (percent) | Since 01.01.19983.57 | Last 15 years2.61 | Last 10 years1.22 | Last 5 years-0.50 | Last 12 months1-13.79 |
| Relative return on fixed-income management (percentage points) | Since 01.01.19980.23 | Last 15 years0.32 | Last 10 years0.26 | Last 5 years0.54 | Last 12 months11.68 |
| Key figures for risk and risk-adjusted return1 | |||||
| Standard deviation for fixed-income management (percent) | Since 01.01.19983.62 | Last 15 years3.95 | Last 10 years3.73 | Last 5 years4.53 | Last 12 months16.62 |
| Standard deviation for fixed-income management benchmark index (percent) | Since 01.01.19983.60 | Last 15 years3.90 | Last 10 years3.99 | Last 5 years4.81 | Last 12 months17.21 |
| Standard deviation difference. Fixed-income management versus benchmark (percentage points) | Since 01.01.19980.02 | Last 15 years0.04 | Last 10 years-0.26 | Last 5 years-0.28 | Last 12 months1-0.59 |
| Sharpe ratio2 for fixed-income management (percent) | Since 01.01.19980.57 | Last 15 years0.60 | Last 10 years0.23 | Last 5 years-0.23 | Last 12 months1-2.13 |
| Sharpe ratio2 for fixed-income management benchmark index (percent) | Since 01.01.19980.51 | Last 15 years0.53 | Last 10 years0.15 | Last 5 years-0.32 | Last 12 months1-2.21 |
| Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points) | Since 01.01.19980.06 | Last 15 years0.07 | Last 10 years0.08 | Last 5 years0.10 | Last 12 months10.08 |
| Tracking error for fixed-income management (percentage points) | Since 01.01.19980.94 | Last 15 years1.19 | Last 10 years0.46 | Last 5 years0.45 | Last 12 months10.65 |
| Information ratio (IR)3 for fixed-income management | Since 01.01.19980.24 | Last 15 years0.26 | Last 10 years0.53 | Last 5 years1.17 | Last 12 months12.85 |
Equity investments - annualised data*
| * The definition of asset classes and benchmark indices follows mandate given by the Ministry of Finance 1 Key figures for risk and risk-adjusted return are based on monthly observations. When relatively few observations are used, as for «Last 12 months», the risk estimates have high uncertainty. 2 Sharpe ratio is a measure for risk-adjusted return. 3 The information ratio (IR) is the ratio of average monthly relative return to the tracking error. The IR indicates how much relative return has been achieved per unit of relative risk. |
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| Since 01.01.1999 | Last 15 years | Last 10 years | Last 5 years | Last 12 months1 | |
|---|---|---|---|---|---|
| Return on equity investments (percent) | Since 01.01.19996.02 | Last 15 years5.81 | Last 10 years9.16 | Last 5 years5.51 | Last 12 months1-15.36 |
| Return on equity benchmark index (percent) | Since 01.01.19995.60 | Last 15 years5.64 | Last 10 years8.90 | Last 5 years5.40 | Last 12 months1-15.32 |
| Relative return on equity investments (percentage points) | Since 01.01.19990.42 | Last 15 years0.17 | Last 10 years0.25 | Last 5 years0.10 | Last 12 months1-0.04 |
| Key figures for risk and risk-adjusted return1 | |||||
| Standard deviation for equity investments (percent) | Since 01.01.199914.63 | Last 15 years15.35 | Last 10 years13.09 | Last 5 years16.08 | Last 12 months118.11 |
| Standard deviation for equity benchmark index (percent) | Since 01.01.199914.35 | Last 15 years15.06 | Last 10 years12.95 | Last 5 years15.96 | Last 12 months118.29 |
| Standard deviation difference. Equity investments versus benchmark (percentage points) | Since 01.01.19990.28 | Last 15 years0.29 | Last 10 years0.15 | Last 5 years0.12 | Last 12 months1-0.17 |
| Sharpe ratio2 for equity investments (percent) | Since 01.01.19990.36 | Last 15 years0.41 | Last 10 years0.69 | Last 5 years0.34 | Last 12 months1-0.91 |
| Sharpe ratio2 for equity benchmark index (percent) | Since 01.01.19990.34 | Last 15 years0.40 | Last 10 years0.67 | Last 5 years0.34 | Last 12 months1-0.90 |
| Sharpe ratio2 difference. Equity investments versus benchmark (percentage points) | Since 01.01.19990.02 | Last 15 years0.01 | Last 10 years0.01 | Last 5 years0.00 | Last 12 months1-0.01 |
| Tracking error for equity investments (percentage points) | Since 01.01.19990.72 | Last 15 years0.60 | Last 10 years0.44 | Last 5 years0.42 | Last 12 months10.50 |
| Information ratio (IR)3 for equity investments | Since 01.01.19990.62 | Last 15 years0.34 | Last 10 years0.58 | Last 5 years0.28 | Last 12 months1-0.16 |
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. |
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| Since 01.01.1998 | Last 15 years | Last 10 years | Last 5 years | Last 12 months1 | |
|---|---|---|---|---|---|
| Return on fixed-income investments (percent) | Since 01.01.19983.80 | Last 15 years2.93 | Last 10 years1.48 | Last 5 years0.03 | Last 12 months1-12.11 |
| Return on fixed-income benchmark index (percent) | Since 01.01.19983.56 | Last 15 years2.59 | Last 10 years1.19 | Last 5 years-0.55 | Last 12 months1-13.96 |
| Relative return on fixed-income investments (percentage points) | Since 01.01.19980.24 | Last 15 years0.34 | Last 10 years0.29 | Last 5 years0.59 | Last 12 months11.85 |
| Key figures for risk and risk-adjusted return1 | |||||
| Standard deviation for fixed-income investments (percent) | Since 01.01.19983.62 | Last 15 years3.95 | Last 10 years3.73 | Last 5 years4.53 | Last 12 months16.62 |
| Standard deviation for fixed-income benchmark index (percent) | Since 01.01.19983.61 | Last 15 years3.91 | Last 10 years4.00 | Last 5 years4.82 | Last 12 months17.22 |
| Standard deviation difference. Fixed-income investments versus benchmark (percentage points) | Since 01.01.19980.02 | Last 15 years0.04 | Last 10 years-0.27 | Last 5 years-0.29 | Last 12 months1-0.60 |
| Sharpe ratio2 for fixed-income investments (percent) | Since 01.01.19980.57 | Last 15 years0.60 | Last 10 years0.23 | Last 5 years-0.23 | Last 12 months1-2.13 |
| Sharpe ratio2 for fixed-income benchmark index (percent) | Since 01.01.19980.51 | Last 15 years0.53 | Last 10 years0.15 | Last 5 years-0.33 | Last 12 months1-2.23 |
| Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points) | Since 01.01.19980.06 | Last 15 years0.08 | Last 10 years0.08 | Last 5 years0.11 | Last 12 months10.11 |
| Tracking error for fixed-income investments (percentage points) | Since 01.01.19980.95 | Last 15 years1.19 | Last 10 years0.49 | Last 5 years0.50 | Last 12 months10.68 |
| Information ratio (IR)3 for fixed-income investments | Since 01.01.19980.25 | Last 15 years0.28 | Last 10 years0.56 | Last 5 years1.15 | Last 12 months13.02 |
Return on unlisted real estate, funding return, and other return series
Measured in the fund's currency basket. Percent
| 2022 | 2021 | 2020 | |
|---|---|---|---|
| Return unlisted real estate | 20220,07 | 202113.64 | 2020-0.08 |
| Funding benchmark | 2022-14,54 | 20217.33 | 20208.74 |
| Return difference funding benchmark | 202214,61 | 20216.31 | 2020-8.82 |
| Other return series | |||
| FTSE Global All Cap index Real Estate1 | 2022-21.59 | 202115.24 | 2020-7.50 |
| Benchmark index fixed income | 2022-13,96 | 2021-1.91 | 20206.77 |
| Benchmark index equity | 2022-15,32 | 202119.98 | 202011.74 |
| Fund benchmark index (equity and fixed income) | 2022-14,98 | 202113.76 | 202010.60 |
|
1 ICB Industry Real Estate. |
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Property returns measured against MSCI Global
Measured in local currency. Percent. Will be updated in April when the MSCI Global Index is released.
| 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|
| Property return unlisted real estate investments | 202113.4 | 20200.8 | 20196.9 | 20187.9 | 20178.4 |
| MSCI Global1 | 202113.3 | 20202.6 | 20197.0 | 20187.8 | 20178.3 |
| MSCI Global. Portfolio weights1 | 202114.2 | 20202.1 | 20196.2 | 20187.4 | 20178.6 |
| Return difference to MSCI Global | 20210.2 | 2020-1.8 | 20190.0 | 20180.1 | 20170.1 |
| Return difference to MSCI Global. Portfolio weights | 2021-0.8 | 2020-1.3 | 20190.8 | 20180.5 | 2017-0.2 |
| 1 Adjusted for transaction costs |
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Relative return
Relative return is when the fund achieves a higher return than the fund's benchmark index from the Ministry of Finance. In 2022, the fund's relative return was 0.87 percentage point, equivalent to 117 billion kroner. The fund has outperformed the benchmark index by 0.30 percentage point since 1998.
Calculations based on aggregated equity and fixed-income investments until end of 2016. In percentage points as at 31 December 2022.
By asset class
In percentage percentage points as at 31 December 2022
|
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. |
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| Year | Fund1 | Equity management2 | Fixed-income management2 | Real estate management2 | Infrastructure management |
| 2022 | 0.87 | 0.52 | 1.68 | 0.22 | 25.09 |
| 20213 | 0.75 | 0.78 | -0.04 | 7.36 | 8.04 |
| 2020 | 0.27 | 0.98 | 0.76 | -13.81 | - |
| 2019 | 0.23 | 0.51 | 0.11 | -3.89 | - |
| 2018 | -0.30 | -0.69 | -0.01 | 5.49 | - |
| 2017 | 0.70 | 0.79 | 0.39 | 0.70 | - |
| 2016 | 0.15 | 0.15 | 0.16 | - | - |
| 2015 | 0.45 | 0.83 | -0.24 | - | - |
| 2014 | -0.77 | -0.82 | -0.70 | - | - |
| 2013 | 0.99 | 1.28 | 0.25 | - | - |
| 2012 | 0.21 | 0.52 | -0.29 | - | - |
| 2011 | -0.13 | -0.48 | 0.52 | - | - |
| 2010 | 1.06 | 0.73 | 1.53 | - | - |
| 2009 | 4.13 | 1.86 | 7.36 | - | - |
| 2008 | -3.37 | -1.15 | -6.60 | - | - |
| 2007 | -0.24 | 1.15 | -1.29 | - | - |
| 2006 | 0.14 | -0.09 | 0.25 | - | - |
| 2005 | 1.06 | 2.16 | 0.36 | - | - |
| 2004 | 0.54 | 0.79 | 0.37 | - | - |
| 2003 | 0.55 | 0.51 | 0.48 | - | - |
| 2002 | 0.30 | 0.07 | 0.49 | - | - |
| 2001 | 0.15 | 0.06 | 0.08 | - | - |
| 2000 | 0.27 | 0.49 | 0.07 | - | - |
| 1999 | 1.23 | 3.49 | 0.01 | - | - |
| 1998 | 0.18 | - | 0.21 | - | - |
Historic relative return
Annualised figures measured in the fund's currency basket. In percentage points as at 31 December 2022
| 1 Based on aggregated equity and fixed-income investments until end of 2016. 2 The fund's information ratio (IR) is the ratio of the fund's average monthly relative return to the fund's tracking error. The IR indicates how much relative return has been achieved per unit of relative risk. |
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| Since 01.01.1998 | Last 15 years | Last 10 years | Last 5 years | Last 12 months | |
|---|---|---|---|---|---|
| Relative return on fund (percentage points)1 | Since 01.01.19980.30 | Last 15 years0.22 | Last 10 years0.33 | Last 5 years0.37 | Last 12 months0.87 |
| The fund's tracking error (percentage points)1 | Since 01.01.19980.65 | Last 15 years0.76 | Last 10 years0.41 | Last 5 years0.44 | Last 12 months0.73 |
| The fund's information ratio (IR)1,2 | Since 01.01.19980.47 | Last 15 years0.32 | Last 10 years0.77 | Last 5 years0.80 | Last 12 months1.28 |
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 2022. Unless otherwise stated in the text, results are measured in this currency basket.
Relative and risk-adjusted return
In decomposing the fund's relative return and risk-adjusted return we distinguish between the terms equity investments and equity management. Equity investments is the total holding of listed stocks measured against the strategic equity benchmark from the Ministry of Finance. Equity management is our holding of listed stock excluding listed real estate that is managed together with unlisted real estate in the overall real estate management, measured against a benchmark adjusted for funding of listed and unlisted real estate investments. The same goes for fixed income.
Methodology for the calculations of returns
The methodology for calculating returns on the funds managed by Norges Bank Investment Management is based on the international standard Global Investment Performance Standards (GIPS®). This is GIPS reports and the GIPS compliance manual, including formulae for calculating returns.
Last saved: 07/03/2023
