Returns
The fund seeks to achieve the highest possible long-term return with an acceptable risk.
The fund's total return
10,070
billion kroner
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.
6.3 %
annualised return since 1998
The fund has generated a of 6.30 percent between 1 January 1998 and the end of the first half 2024. The fund has outperformed the benchmark index set by the Ministry of Finance by 0.27 percentage point since 1998.
Yearly annual return since 1998
As at 30 June 2024
Percent
Annual return by asset class
As at 30 June 2024.
Percent
Return figures
Measured in the fund's currency basket. Percent
| First half 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|
| Equity part of the fund's benchmark index | 12.4 | 20.8 | -15.3 | 20.0 | 11.7 |
| The fund's equity investments | 12.5 | 21.3 | -15.4 | 20.8 | 12.1 |
| Fixed-income part of the fund's benchmark index | -0.8 | 5.6 | -14.0 | -1.9 | 6.8 |
| The fund's fixed-income investments | -0.6 | 6.1 | -12.1 | -1.9 | 7.5 |
| The fund's unlisted real estate investments | -0.5 | -12.4 | 0.1 | 13.6 | -0.1 |
| The fund's unlisted renewable energy infrastructure investments | -17.7 | 8.0 | 5.1 | 4.2 | |
| Total return on fund | |||||
| Relative return on fund (percentage points) | -0.0 | -0.2 | 0.9 | 0.7 | 0.3 |
| Management costs | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 |
| Return on fund after management costs | 8.6 | 16.1 | -14.2 | 14.5 | 10.8 |
| 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) | 6.30 | 8.55 | 7.07 | 7.99 | 14.65 |
| Relative return on fund (percentage points)1 | 0.27 | 0.42 | 0.23 | 0.42 | 0.02 |
| Annual price inflation (percent) | 2.14 | 2.37 | 2.49 | 3.64 | 2.77 |
| Annual management costs (percent) | 0.08 | 0.06 | 0.05 | 0.05 | 0.04 |
| Net real return on fund (percent) | 4.00 | 5.98 | 4.42 | 4.14 | 11.51 |
| Key figures for risk and risk-adjusted return2 | |||||
| The fund's actual standard deviation (percent) | 8.43 | 9.09 | 9.69 | 11.77 | 9.98 |
| Standard deviation difference. Fund versus benchmark index (percentage points)1 | 0.64 | 0.44 | 0.41 | 0.45 | 0.28 |
| The fund's Sharpe ratio (percent)3 | 0.54 | 0.84 | 0.61 | 0.54 | 0.89 |
| Sharpe ratio3 difference. Fund versus benchmark index (percentage points)1 | 0.02 | 0.04 | 0.03 | 0.04 | 0.02 |
| The fund's tracking error (percentage points)1 | 0.64 | 0.44 | 0.41 | 0.45 | 0.28 |
| The fund's information ratio (IR)1,4 | 0.45 | 0.36 | 0.56 | 0.69 | -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. |
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Equity management - annualised
| Since 01.01.1999 | Last 15 years | Last 10 years | Last 5 years | Last 12 months1 | |
|---|---|---|---|---|---|
| Return on equity management (percent) | 7.01 | 11.32 | 9.56 | 11.53 | 20.03 |
| Return on equity management benchmark index (percent) | 6.53 | 10.93 | 9.20 | 10.88 | 19.52 |
| Relative return on equity management (percentage points) | 0.48 | 0.39 | 0.36 | 0.65 | 0.50 |
| Key figures for risk and risk-adjusted return1 | |||||
| Standard deviation for equity management (percent) | 14.48 | 13.20 | 13.41 | 15.57 | 12.17 |
| Standard deviation for equity management benchmark index (percent) | 14.20 | 13.04 | 13.28 | 15.51 | 12.18 |
| Standard deviation difference. Equity management versus benchmark (percentage points) | 0.27 | 0.16 | 0.12 | 0.07 | 0.00 |
| Sharpe ratio2 for equity management (percent) | 0.42 | 0.81 | 0.64 | 0.65 | 1.13 |
| Sharpe ratio2 for equity management benchmark index (percent) | 0.39 | 0.79 | 0.62 | 0.61 | 1.09 |
| Sharpe ratio2 difference. Equity management versus benchmark (percentage points) | 0.03 | 0.02 | 0.02 | 0.04 | 0.04 |
| Tracking error for equity management (percentage points) | 0.69 | 0.39 | 0.39 | 0.29 | 0.15 |
| Information ratio (IR)3 for equity management | 0.71 | 0.96 | 0.89 | 2.04 | 2.86 |
| 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. |
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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) | 3.79 | 3.05 | 1.60 | -0.18 | 3.15 |
| Return on fixed-income management benchmark index (percent) | 3.55 | 2.43 | 1.29 | -0.82 | 2.73 |
| Relative return on fixed-income management (percentage points) | 0.24 | 0.62 | 0.31 | 0.64 | 0.42 |
| Key figures for risk and risk-adjusted return1 | |||||
| Standard deviation for fixed-income management (percent) | 3.76 | 3.90 | 4.20 | 5.29 | 5.97 |
| Standard deviation for fixed-income management benchmark index (percent) | 3.77 | 4.03 | 4.45 | 5.59 | 6.13 |
| Standard deviation difference. Fixed-income management versus benchmark (percentage points) | 0.00 | -0.13 | -0.25 | -0.30 | -0.17 |
| Sharpe ratio2 for fixed-income management (percent) | 0.50 | 0.54 | 0.06 | -0.40 | -0.35 |
| Sharpe ratio2 for fixed-income management benchmark index (percent) | 0.43 | 0.38 | -0.01 | -0.49 | -0.40 |
| Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points) | 0.06 | 0.17 | 0.07 | 0.09 | 0.06 |
| Tracking error for fixed-income management (percentage points) | 0.92 | 0.67 | 0.42 | 0.42 | 0.19 |
| Information ratio (IR)3 for fixed-income management | 0.26 | 0.89 | 0.71 | 1.47 | 2.08 |
| 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. |
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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) | 6.95 | 11.21 | 9.41 | 11.25 | 19.98 |
| Return on fixed-income management benchmark index (percent) | 6.53 | 10.93 | 9.20 | 10.88 | 19.49 |
| Relative return on fixed-income management (percentage points) | 0.42 | 0.28 | 0.21 | 0.37 | 0.49 |
| Key figures for risk and risk-adjusted return1 | |||||
| Standard deviation for fixed-income management (percent) | 14.48 | 13.22 | 13.43 | 15.64 | 12.25 |
| Standard deviation for fixed-income management benchmark index (percent) | 14.21 | 13.05 | 13.30 | 15.53 | 12.18 |
| Standard deviation difference. Fixed-income management versus benchmark (percentage points) | 0.28 | 0.17 | 0.14 | 0.11 | 0.07 |
| Sharpe ratio2 for fixed-income management (percent) | 0.41 | 0.80 | 0.63 | 0.63 | 1.12 |
| Sharpe ratio2 for fixed-income management benchmark index (percent) | 0.39 | 0.79 | 0.62 | 0.61 | 1.09 |
| Sharpe ratio2 difference. Fixed-income management versus benchmark (percentage points) | 0.02 | 0.01 | 0.01 | 0.02 | 0.03 |
| Tracking error for fixed-income management (percentage points) | 0.70 | 0.42 | 0.43 | 0.39 | 0.27 |
| Information ratio (IR)3 for fixed-income management | 0.62 | 0.67 | 0.48 | 0.91 | 1.55 |
| 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. |
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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) | 3.79 | 3.05 | 1.60 | -0.18 | 3.15 |
| Return on fixed-income benchmark index (percent) | 3.54 | 2.42 | 1.26 | -0.85 | 2.73 |
| Relative return on fixed-income investments (percentage points) | 0.25 | 0.63 | 0.34 | 0.67 | 0.42 |
| Key figures for risk and risk-adjusted return1 | |||||
| Standard deviation for fixed-income investments (percent) | 3.76 | 3.90 | 4.20 | 5.29 | 5.97 |
| Standard deviation for fixed-income benchmark index (percent) | 3.77 | 4.04 | 4.46 | 5.60 | 6.14 |
| Standard deviation difference. Fixed-income investments versus benchmark (percentage points) | -0.01 | -0.14 | -0.26 | -0.32 | -0.18 |
| Sharpe ratio2 for fixed-income investments (percent) | 0.50 | 0.54 | 0.06 | -0.40 | -0.35 |
| Sharpe ratio2 for fixed-income benchmark index (percent) | 0.43 | 0.37 | -0.02 | -0.49 | -0.40 |
| Sharpe ratio2 difference. Fixed-income investments versus benchmark (percentage points) | 0.07 | 0.17 | 0.08 | 0.09 | 0.06 |
| Tracking error for fixed-income investments (percentage points) | 0.92 | 0.69 | 0.45 | 0.48 | 0.21 |
| Information ratio (IR)3 for fixed-income investments | 0.26 | 0.89 | 0.71 | 1.35 | 1.95 |
| * 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. |
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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 estate | -0.50 | -12.37 | 0.07 |
| Funding benchmark | 3.47 | 9.72 | -14.54 |
| Return difference funding benchmark | -3.97 | -22.08 | 14.61 |
| Other return series | |||
| FTSE Global All Cap index Real Estate1 | -1.54 | 8.48 | -21.59 |
| Benchmark index fixed income | -0.76 | 5.65 | -13.96 |
| Benchmark index equity | 12.40 | 20.75 | -15.32 |
| Fund benchmark index (equity and fixed income) | 8.62 | 16.32 | -14.98 |
|
1 ICB Industry Real Estate. |
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Property returns measured against MSCI Property Index
Measured in local currency. Percent
| 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|
| Property return1 | -12.1 | -0.4 | 13.4 | 0.8 | 6.9 | 7.9 |
| MSCI Global Annual Property Index1 | -3.9 | 4.0 | 13.2 | 2.6 | 7.0 | 7.7 |
| Weighted MSCI Annual Property Index1,2 | -7.1 | 1.7 | 14.1 | 2.1 | 6.2 | 7.3 |
| Return difference to MSCI Global Annual Property Index | -8.2 | -4.4 | 0.2 | -1.8 | -0.1 | 0.2 |
| Return difference to weighted MSCI Annual Property Index | -4.9 | -2.1 | -0.7 | -1.3 | 0.7 | 0.6 |
| 1 Transaction cost not included 2 Weighted with GPFG’s country and sector weights |
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Relative return
Relative return is a measure of how well the fund's investments perform compared to the return of the benchmark index set by the Ministry of Finance. In the first half 2024, the fund's relative return was -0.04 percentage point, equivalent to -5 billion kroner. The fund has outperformed the benchmark index by 0.27 percentage point since 1998.
Annual relative return and accumulated annualised relative return
Calculations based on aggregated equity and fixed-income investments until end of 2016. As at 30 June 2024.
Percentage points
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. |
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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 | 0.27 | 0.42 | 0.23 | 0.42 | 0.02 |
| The fund's tracking error (percentage points)1 | 0.64 | 0.44 | 0.41 | 0.45 | 0.28 |
| The fund's information ratio (IR)1,2 | 0.44 | 0.89 | 0.53 | 0.83 | 0.01 |
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. |
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| Year | Fund1 | Equity management2 | Fixed-income management2 | Real estate management2 | Infrastructure management |
|---|---|---|---|---|---|
| 1H 2024 | -0.04 | 0.31 | 0.14 | -5.05 | -14.87 |
| 2023 | -0.18 | 0.38 | 0.51 | -10.51 | -5.67 |
| 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 | - | - |
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 01.01.1998 | Last 5 years | Last 12 months | |
| The fund's relative return after management costs | 0.20 | 0.38 | -0.23 |
| Estimated relative return of a passive strategy | -0.06 | -0.02 | -0.03 |
| Estimated relative return difference | 0.26 | 0.40 | -0.20 |
The fund's management costs are driven by the fund's underlying management areas. A breakdown of the 2023 management costs and relative returns after management cost by management areas is found in the below table.
Relative return by management area after management costs
In percentage points as at 31 December 2023.
| The fund's relative return after management costs | Equity management | Fixed income management | Real Estate management | Infrastructure management | |
|---|---|---|---|---|---|
| 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 |
| 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. See 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.