Master Thesis Online
Performance Attribution of Sovereign Wealth Funds: Quantifying the drivers of performance in Turbulent Markets - Evidence from Norway's Government Pension Fund Global
Najib, Sami 
Promotor(s) :
Hübner, Georges
Date of defense : 20-Jun-2025/24-Jun-2025 • Permalink : http://hdl.handle.net/2268.2/22682
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| Title : | Performance Attribution of Sovereign Wealth Funds: Quantifying the drivers of performance in Turbulent Markets - Evidence from Norway's Government Pension Fund Global |
| Author : | Najib, Sami
|
| Date of defense : | 20-Jun-2025/24-Jun-2025 |
| Advisor(s) : | Hübner, Georges
|
| Committee's member(s) : | Schwarz, Patrick
|
| Language : | English |
| Discipline(s) : | Business & economic sciences > Finance |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[en] This thesis analyzes the performance of Norway’s Government Pension Fund Global (GPFG) from 1998 to 2024 using the BHB model and a factor-based extension. Return-Based Style Analysis (RBSA) identifies market risk and corporate bonds as key return drivers.
The results show that security selection was the main source of excess returns, while allocation effects were slightly negative. Performance varied during crises, with notable underperformance in 2008. The factor model revealed mixed outcomes, with positive selection effects sometimes offset by weak allocation.
The study suggests improving selection strategies, using crisis-responsive benchmarks, and incorporating geopolitical and bond-specific factors. Despite data limitations, it provides a solid framework for evaluating SWF performance across market conditions.
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