Norway's Government Pension Fund Global (GPFG) ("The Oil Fund")

Teaching

• Overview of the fund
  • Lectures
  • Lecture Slides
• Using data from the fund
  • Lectures
  • Lecture Slides

R examples

• read USD returns
• read NOK returns
• cum_wealth_plot_NOK_equity_only.R cumulative wealth plot.
• alpha_estimation_USD.R Alpha estimation
• calculate_treynor.R Treynor
• calculate_sharpe.R Sharpe

Problems

• The fund released its annual report on March 10, 2023. There you will find an updated excel file with data for all of 2022. Redo the analysis examples shown using this updated data.

  Excel file

Literature

• A Review of Norges Bank's Active Management of the Government Pension Fund Global , by Magnus Dahlquist and Bernt Arne Ødegaard
• A Review of the Active Management of Norway's Government Pension Fund Global , by Rob Bauer, Charlotte Christiansen, and Trond Døskeland