Category Archives: Finans

UPDATE: RISK ADJUSTED PERFORMANCE MEASUREMENT OF THE STOCK PICKING-ACTIVITY WITHIN THE GPFG

 

We show that with updated data covering the period 2013-2019, the risk adjusted return before costs from the stock picking-activity in the Government Pension Fund Global (GPFG) is zero for all practical purposes, and thus not significantly different from zero. The costs of managing this part of the portfolio appears to amount to about 20 bp per annum. After costs the return is thus negative

For explanation on methodology and factors, please see previous editions of this exercise.

Sources:

  • Prof. Richard Priestley Head of Department – Department of Finance – BI Norwegian Business School
  • Halvor Hoddevik, Executive Chairman, Rann Rådgivning AS

Underlying data:
201215_data

Update: RISK ADJUSTED PERFORMANCE MEASUREMENT OF THE STOCK PICKING-ACTIVITY WITHIN THE GPFG

28 August 2019

We show that with updated data covering the period 2013-2018, the risk adjusted return before costs from the stock picking-activity in the Government Pension Fund Global (GPFG) is negative, and not significantly different from zero. The costs of managing this part of the portfolio appears to amount to about 20 bp per annum. After costs the return is thus negative.

190828_Update_Report