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. [note 1] While sovereign wealth funds are not defined benefit pension plans, they share many characteristics with them.
Chambers, Dimson and Ilmanen
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.
|1996||the fund held only government bonds|
|1998||the fund allocated 40% of the portfolio to equity|
|2000||the fund added some emerging market equity|
|2002||the fund added corporate bonds and mortgage-backed securities|
|2004||the fund added ethical guidelines for investments|
|2005||the fund added inflation linked bonds|
|2007||the fund allocated 60% of the portfolio to equity and added small cap stocks|
|2008||the fund added real estate and now included all emerging market equity|
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. 
Ang, Goetzmann, and Schaefer
Fund returns have modestly exceeded benchmark returns, as the table below indicates. Ang, Goetzmann, 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.[note 2]
|Year||All absolute||All relative||Equity absolute||Equity relative||Fixed absolute||Fixed relative|
- Fund information for the Norwegian Government Pension Fund Global, including annual reports is available at Norges Bank Investment Management (NBIM)
- Ang (2011)
"We recommend that the Fund consider building some of the factors we used for analysis ... and consider the following candidate factors to include in the benchmark:
- Term structure risk
- Credit risk
- FX Carry risk, which could also be folded into a value‐growth factor
- Value‐Growth risk
- Small‐Large risk
- Momentum risk
- Volatility risk
- Chambers, David and Dimson, Elroy and Ilmanen, Antti S., "The Norway Model" (October 10, 2011). Available at SSRN.
- Use of benchmarks in fund management, NIMB . Viewed 9 Jan. 14
- Ang, Andrew, Goetzmann, William,and Schaefer, Stephen , "Evaluation of Active Management of the Norwegian Government Pension Fund–Global" (2011/8/25) Available at Google Scholar.