Equity Share and the Downside Risk at the Norwegian Government Pension Fund Global (GPF-G)

Abstract

This paper studies the changes in asset and equity allocations across asset classes and markets in the Norwegian Government Pension Fund Global’s (GPF-G or "The Fund") portfolio. It evaluates how the shifts in the investment mandate, primarily the increase in equity investments since The Fund’s creation, have affected downside risk. We aim to assess changes across time and individual risk and set the basis for a global view on the fund’s downside risk.