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Retu eturn and risk 2 n and risk 2019 019 Government Pension Fund Global Yngve Slyngstad, Chief Executive Officer, Norges Bank Investment Management Dag Huse, Chief Risk Officer, Norges Bank Investment Management Press conference, 26 March

  1. Retu eturn and risk 2 n and risk 2019 019 Government Pension Fund Global Yngve Slyngstad, Chief Executive Officer, Norges Bank Investment Management Dag Huse, Chief Risk Officer, Norges Bank Investment Management Press conference, 26 March 2020

  2. Annual publication on return and risk Published on our website www.nbim.no. English version only 2

  3. 10,127 billion kroner in the fund Market value as at 25.03.2020. Billions of kroner 12 000 12 000 Value Percentage share 10,127 Equity investments 6,610 65.3 Unlisted real estate investments 327 3.2 10 000 10 000 Fixed-income investments 3,190 31.5 Fixed income 8 000 8 000 Unlisted real estate 6 000 6 000 Equity 4 000 4 000 2 000 2 000 0 0 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 3 3

  4. Return 4

  5. Absolute return – key figures Return. Table 20. Annualised. Percent Since Last Last 2019 2020 YTD 01.01.1998 10 years 5 years Return on equity investments 1 6.21 9.84 8.99 26.02 -22.82 Return on fixed-income investments 4.69 4.05 3.18 7.56 -0.06 Return on unlisted real estate investments 2 - - 6.49 6.84 0.40 Return on fund 6.09 7.83 7.05 19.95 -16.17 1 Since 01.01.1999. 2 Includes listed real estate investments from 1 November 2014 to the end of 2016. 5

  6. -1,330 billion kroner in return Billions of kroner. As at 25.03.2020 1 500 1 500 1 250 1 250 1 000 1 000 750 750 500 500 Krone rate 250 250 Return 0 0 Inflow/withdrawal - 250 - 250 - 500 - 500 Total 2020 YTD 2019 25.03.2020 - 750 - 750 Return 1,692 -1,330 Inflow 13 -1 000 -1 000 Krone rate 127 1,381 -1 250 -1 250 Total 1,832 -1 500 -1 500 Q1 2019 Q2 2019 Q3 2019 Q4 2019 1Q 2020* Source: Norges Bank Investment Management 6

  7. Equity exposure Risk. Chart 21. Percent 75 75 70 70 65 65 60 60 55 55 50 50 45 45 40 40 35 35 30 30 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 7

  8. Equity markets Measured in USD (Stoxx in EUR). As at 25.03.2020 Indexed total return. 31.12.2018 = 100 140 140 FTSE Global All Cap 130 130 (global) S&P 500 (US) 120 120 110 110 Stoxx Europe 600 (Europe) 100 100 MSCI Asia Pacific (Asia) FTSE Global All Cap S&P 500 Stoxx Europe 600 MSCI Asia Pacific 90 90 2019 27.1% 31.5% 27.7% 19.9% 2020 -24.9% -23.0% -24.2% -20.9% 80 80 Jan-19 Apr-19 Jul-19 Oct-19 Jan-20 Source: Bloomberg 8

  9. Number of days from peak to bear market (-20%) S&P500 February 2020 22 September 1929 42 August 1987 55 December 1961 167 February 1966 201 October 2007 274 January 1973 320 March 2000 353 November 1968 426 August 1956 445 November 1980 451 Source: Bloomberg 9

  10. Number of days from peak to -30% S&P500 February 2020 30 September 1929 43 August 1987 55 October 2007 363 November 1968 531 January 1973 540 March 2000 542 Source: Bloomberg 10

  11. 36-month correlation Risk. Chart 25. 10-year US yield changes vs. S&P 500 price returns 1.0 1.0 0.8 0.8 0.6 0.6 0.4 0.4 0.2 0.2 0.0 0.0 -0.2 -0.2 -0.4 -0.4 -0.6 -0.6 -0.8 -0.8 -1.0 -1.0 75 80 85 90 95 00 05 10 15 Source: Bloomberg 11

  12. 10-year government bond yields As at 25.03.2020. Percent 4.0 4.0 US Germany Japan UK Italy 3.5 3.5 31.12.2018 2.7% 0.2% 0.0% 1.3% 2.7% US 31.12.2019 1.9% -0.2% 0.0% 0.8% 1.4% 3.0 3.0 25.03.2020 0.9% -0.3% 0.0% 0.4% 1.5% 2.5 2.5 Germany 2.0 2.0 Japan 1.5 1.5 1.0 1.0 UK 0.5 0.5 Italy 0.0 0.0 -0.5 -0.5 -1.0 -1.0 Jan-19 Apr-19 Jul-19 Oct-19 Jan-20 Source: Bloomberg 12

  13. Rolling return of 70 equity/30 fixed income Risk. Chart 19. 5-year rolling return. Annualised. Measured in dollars. Percent 30 30 25 25 20 20 15 15 Equity contribution 10 10 70 equity/30 fixed 5 5 income 0 0 -5 -5 -10 -10 1900 1920 1940 1960 1980 2000 Source: Dimson-Marsh-Staunton Global Return Data 13

  14. Rolling return of 70 equity/30 fixed income Risk. Chart 20. 10-year rolling return. Annualised. Measured in dollars. Percent 20 20 15 15 10 10 Equity contribution 70 equity/30 fixed 5 5 income 0 0 -5 -5 1900 1920 1940 1960 1980 2000 Source: Dimson-Marsh-Staunton Global Return Data 14

  15. The fund's return Table 24. Measured in various currencies. Annualised. Percent 1998-2002 2003-2007 2008-2012 2013-2017 2018-2019 3.27 13.09 2.50 7.26 4.92 US dollar 4.23 5.84 4.65 9.28 8.52 Euro 1 3.87 8.39 6.74 11.27 6.02 British pound 2.15 7.71 3.01 15.84 8.75 Norwegian kroner 3.19 8.92 3.14 9.26 6.12 Currency basket 1 Euro was introduced as currency on 01.01.1999. WM/Reuters' Euro rate is used as estimate for 31.12.1997. 15

  16. Absolute return – five year buckets Return. Table 21. Annualised. Percent. 1998-2002 2003-2007 2008-2012 2013-2017 2018-2019 Return on equity investments 1 -4.85 16.28 -0.59 12.94 6.80 Return on fixed-income investments 6.26 4.00 5.87 2.96 4.00 Return on unlisted real estate investments 2 8.03 7.18 Return on fund 3.19 8.92 3.14 9.26 6.12 1 Since 01.01.1999. 2 Includes listed real estate investments from 1 November 2014 to the end of 2016. 16

  17. Risk 17

  18. The fund’s expected absolute volatility Risk. Chart 29. Percent 30 30 25 25 20 20 15 15 10 10 5 5 0 0 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 Source: Norges Bank Investment Management 18

  19. Recent and past stressed years Risk. Chart 22. Asset class returns. Measured in dollars. Percent 30 30 20 20 10 10 0 0 -10 -10 Equity Fixed income -20 -20 -30 -30 -40 -40 -50 -50 1920 1931 2002 2008 Source: Dimson-Marsh-Staunton Global Return Data 19

  20. Fund performance in 2008 Risk. Chart 23. Percent 40 40 30 30 20 20 10 10 0 0 -10 -10 -20 -20 -30 -30 -40 -40 Fund, Fund, Fund, NOK/USD NOK/Currency USD Currency basket NOK basket 20

  21. The fund’s expected relative volatility Relative risk. Chart 31. Basis points 160 160 140 140 120 120 100 100 80 80 60 60 40 40 20 20 0 0 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 Source: Norges Bank Investment Management 21

  22. Expected relative volatility for asset classes Relative risk. Chart 32. Basis points 220 220 200 200 180 180 160 160 140 140 120 120 Fixed income 100 100 Equity 80 80 60 60 40 40 20 20 0 0 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 Source: Norges Bank Investment Management 22

  23. The fund’s relative return 5 -year buckets Table 35. Measured in the fund’s currency basket. Annualised. 1998- 2003- 2008- 2013- 2018- 2002 2007 2012 2017 2019 Return on fund (percent) 1 3.19 8.92 3.15 9.25 6.12 Return on fund benchmark (percent) 1 2.78 8.52 3.14 8.96 6.19 Relative return on fund (percentage points) 1 0.41 0.40 0.01 0.29 -0.07 Return on equity management (percent) -4.85 16.28 -0.59 12.95 6.84 Return on equity management benchmark (percent) -5.63 15.37 -0.59 12.52 7.04 Relative return on equity management (percentage points) 0.78 0.90 0.01 0.42 -0.19 Return on fixed-income management (percent) 6.26 4.00 5.87 2.96 4.00 Return on fixed-income management benchmark (percent) 6.09 3.97 5.44 2.98 3.95 Relative return on fixed-income management (percentage points) 0.17 0.03 0.43 -0.02 0.05 Return on real estate management (percent) 6.49 Return on real estate management benchmark (percent) 5.42 Relative return on real estate management (percentage points) 1.08 1 Includes real estate management from 01.01.2017. The fund's relative return prior to 2017 is calculated on equity and fixed-income management only. 23

  24. Cont Contribution ributions to r s to rela elativ tive r e retu eturn 20 n 2019 19 By Strategy. Table 36. Percentage points Equity Fixed-income Real estate management management management Allocation Total Fund allocation 0.02 0.00 -0.16 0.02 -0.12 Reference portfolio -0.07 -0.01 0.01 -0.08 of which systematic factors -0.11 -0.11 Real estate -0.16 -0.16 Unlisted real estate -0.19 -0.19 Listed real estate 0.04 0.04 Allocations 0.09 0.01 0.00 0.01 0.11 of which environment- related mandates 0.08 0.00 0.08 Security selection 0.19 -0.03 0.16 Internal security selection 0.16 -0.03 0.13 External security selection 0.03 0.03 Asset management 0.13 0.06 0.00 0.19 Asset positioning 0.08 0.05 0.00 0.13 Systematic factors 0.00 0.00 Securities lending 0.05 0.01 0.06 24 Total 0.33 0.03 -0.16 0.02 0.23

  25. Cont Contribution ributions to r s to rela elativ tive r e retu eturn 20 n 2013 13-2019 2019 By Strategy. Table 37. Annualised. Percentage points Equity Fixed-income Real estate management management management Allocation Total Fund allocation -0.06 -0.08 0.01 0.02 -0.10 Reference portfolio -0.02 -0.08 0.00 -0.10 of which systematic factors -0.01 -0.01 Real estate 0.01 0.01 Unlisted real estate 0.02 0.02 Listed real estate 0.00 0.00 Allocations -0.04 0.00 0.00 0.02 -0.01 of which environment- related mandates 0.01 0.00 0.01 Security selection 0.11 0.00 0.11 Internal security selection 0.02 0.00 0.02 External security selection 0.09 0.09 Asset management 0.10 0.07 0.00 0.18 Asset positioning 0.06 0.07 0.00 0.13 Systematic factors -0.01 0.00 -0.01 Securities lending 0.05 0.01 0.06 25 Total 0.15 -0.01 0.01 0.03 0.19

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