Norwegian Government Pension Fund Global performance

The Norwegian Government Pension Fund Global is a sovereign wealth fund. It is the largest investment fund in the world, and is the only sovereign wealth fund that is transparent. While sovereign wealth funds are not defined benefit pension plans, they share many characteristics with them.

Performance
The Government Pension Fund Global was established in 1990, when it was known as the Petroleum Fund. The fund's primary goal is to manage Norway’s resource wealth in a long-term and sustainable manner by diversifying into a broad portfolio of international securities. A second goal is to use the Fund as a device to insulate the domestic economy from the resource curse of inflated domestic prices and exchange rates, de-industialization, and a disincentivized populace.



Over time, the fund has expanded its allocation of assets and experienced an evolving benchmark. Below is a timeline for the evolution of benchmarked assets.

The fund allocates 7% of the portfolio to 44 external managers. Expenses are very low, ranging from 8 to 14 basis points over the life of the fund.

Fund returns have modestly exceeded benchmark returns, as the table below indicates. Ang, Goetsmann, and Schaefer (2011) finds that the excess return from active management is due to capturing factor returns, and recommends that the fund consider using these factors in benchmarking the portfolio and, where practical and cost efficient, and taking into account the constraints imposed the fund's size, in portfolio asset allocation.