Government Pension Fund Global:

Expert group to assess the fixed-income investment framework

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The Ministry of Finance has today appointed an expert group to review the fixed income investment framework of the Government Pension Fund Global (GPFG).

In conjunction with the decision to increase the equity portion in the Fund, a review of the fixed-income benchmark index was announced in the white paper to parliament on the management of the Fund in the spring of 2017. As part of the ongoing review, advice and assessments have been obtained from Norges Bank. The Ministry has decided to appoint an expert group in order to facilitate a broad decision-making basis.

Letters from Norges Bank

The expert group shall draft a report containing analyses and assessments of inter alia principles for composition of the fixed-income benchmark index, choice of currencies and segments to be included in the index as well as maturity and interest rate sensitivity (duration). The expert group is also to consider the appropriate investment framework for risk premia not captured through the benchmark index. The report shall be submitted by 1 October 2018. The Ministry intends to present its assessments in the white paper to parliament in the spring of 2019.

Terms of reference for the expert group

The expert group consists of Professors Ralph Koijen and Jules van Binsbergen.

  • Ralph Koijen is a Professor of Finance at New York University (NYU) Stern School of Business. Koijen has published several research papers in leading economics and finance journals. Prior to joining NYU Stern, Koijen was Professor of Finance and an Assistant and Associate Professor of Finance at London Business School and University of Chicago, respectively. Koijen is also a member of the Ministry of Finance Expert Panel for the GPFG. 
  • Jules van Binsbergen is a Professor of Finance at Wharton School, University of Pennsylvannia. He has published several research papers in leading international journals. Binsbergen has also research experience from National Bureau of Economic Research, Stanford University and Kellogg School of Management (Northwestern University).