Norway’s Ministry of Finance is to review the active management of its NOK4.76trn (€586bn) Government Pension Fund Global (GPFG) by Norges Bank Investment Management (NBIM), the resulting report being presented to the Storting, Norway’s Parliament, in spring next year.

A panel of three experts has been asked to review NBIM’s historical performance, assessing options on how it might improve the fund’s expected return and risk, over and above the current benchmark.

The panel will not, however, review the choice of benchmark indices.

The panel members are professor Andrew Ang of Columbia Business School, professor Michael Brandt of Duke University and David Denison, former head of the Canada Pension Plan Investment Board.

Their brief includes appraising possible investment opportunities and strategies, with an assessment of the theoretical and empirical rationale for these opportunities, which could improve the trade-off between expected return and risk.

The panel will then suggest potential implications for the ministry’s mandate to NBIM.

This will include a discussion of benchmarking, relevant risk measures and risk budgets and reporting requirements, and how other funds have implemented comparable strategies.

The fund’s strategic benchmark is made up 60% of equities, with the rest in fixed income instruments and real estate.

The geographical distribution of the fund’s equity portfolio is largely based on global market weightings, although it is moderately overweight Europe.

Government bond investments are allocated according to the size of each country’s economy (GDP weighting).

Corporate bond investments are based on market weightings.

The ministry said the fund had outperformed its benchmark by an average of 24 basis points per year for the past 10 years, as of 30 June.

However, the fund’s actual real rate of return is an average 3.4% per year between 1997 and the second quarter of 2013.

This compares with a government estimate of expected real return over the long run of 4%.

The ministry said the review to be carried out was simply a follow-up from the decision in 2010 to undertake regular reviews.

It added that, in due course, a review would also be performed on the GPFG’s much smaller sister fund, the Government Pension Fund Norway (GPFN), run by asset managers Folketrygdfondet and invested largely in domestic securities.

GPFN’s average actual real rate of return between 1998 and 2012 was 4.5% per year.