Norway's Government Pension Fund Global, Oslo, returned -1.5%, equivalent to a loss of 171 billion kroner ($21.8 billion) in the three months ended March 31, in a quarter "colored by increased volatility in global stock markets," the sovereign wealth fund said.
The fund returned 3.5% in the previous quarter, equivalent to a 337 billion kroner gain; and 3.8% in the three months ended March 31, 2017, or 297 billion kroner.
A financial update Friday showed fund assets fell 4.4% for the quarter, to 8.12 trillion kroner ($1.3 trillion), but grew 3.2% vs. figures as of March 31, 2017.
In local currency terms, the return was -4.2% in the first quarter, compared with 6.9% in the quarter ended Dec. 31 and a 5.1% return for the three months ended March 31, 2017.
The return for the 12 months ended March 31 was 7.9%. The annualized five-year return to that date was 7.8%, and the 10-year return, 6.6%.
The fund has a 66.2% allocation to equities, which returned -2.2% in the first quarter. "Returns in the quarter were colored by growing uncertainty and increased volatility in global stock markets," a report on the quarter said. "The end of the period brought concerns about increased protectionism, and a strong return on technology stocks earlier in the quarter partly reversed."
Fixed-income investments, to which the fund has a 31.2% overall allocation, returned -0.4%. The remaining 2.7% of the fund is invested in unlisted real estate, which returned 2.5% for the quarter.
"The most important expression of the risk in the fund is that the strategic equity share is set to 70%," said Yngve Slyngstad, CEO of Norges Bank Investment Management — which manages the sovereign wealth fund's assets — in a statement accompanying the update. "This means that fluctuations in the fund's value are predominantly determined by the development in global stock markets."
The government withdrew 11 billion kroner from the fund in the first quarter. Also impacting on the fund was kroner appreciation against main currencies, which decreased the value of assets by 183 billion kroner.