Skriftlig spørsmål fra Jørund Rytman (FrP) til finansministeren

Dokument nr. 15:630 (2009-2010)
Innlevert: 08.02.2010
Sendt: 08.02.2010
Besvart: 12.02.2010 av finansminister Sigbjørn Johnsen

Jørund Rytman (FrP)

Spørsmål

Jørund Rytman (FrP): I sitt arbeide for Finansdepartementet, fikk Ang, Goetzmann og Schaefer tilgang på alle dataene de spurte om, og hvis ikke, hvilken data var det de ba om men ikke fikk, og hva var begrunnelsen for å ikke gi dem det?

Sigbjørn Johnsen (A)

Svar

Sigbjørn Johnsen: Spørsmålet har vært forelagt de tre professorene Ang, Goetzmann og Schaefer, som har gitt følgende uttalelse:

“We found NBIM to be responsive to our data requests and prompt in answering both technical questions and more general questions relating to strategy, risk, reporting, and the use of external and internal managers. In some sections of the report we chose not to include analysis of more detailed data to which we were provided access. These decisions are highlighted in the report and have no effect on our analysis or conclusions.

We believe that the data we analyzed from NBIM was more than sufficient for our mandate. In particular, in the “Evaluation of NBIM’s Historical Track Record” we analyzed Fund-level returns; distinguished between the asset classes fixed income and equities; included a breakdown of performance by main active strategies; and analyzed internally versus externally managed funds. NBIM supplied the data sufficient for us to address our requests in a complete and timely manner. In our more general assessment of the strategic plans, the risk budgeting process, analysis of external and external active reporting, and specific strategies used by NBIM, we had productive, direct conversations with senior NBIM management necessary for us to support the opinions expressed in the report. Given the sensitive nature of the data, we did not detail all of this strategic, internal information and reported some of it only on a generalized or aggregated basis. In the report we detail where the limitations of the data impact our analysis, but in no case do these limitations change our conclusions.

We did not analyze any trade-level or micro-level data in the report. In any empirical analysis, more data are always better, but more detailed data in this case does not mean that the conclusions would be any different. For example, the finding that the Fund’s active returns have large exposure to systematic factors and exposure to these factors is responsible for most of the active losses at the portfolio, asset-class, and internal and external fund levels would be the same if factor exposures were first estimated from more granular information and then aggregated to the portfolio level. Certain questions could have been addressed with more granular data, such as a more thorough investigation of the high correlation of the fixed income returns, which are most likely due to the smoothed valuations of certain fixed income instruments for which there was little information on market values during the financial crisis. These issues are tangential to the overall, aggregate performance and understanding the key, salient factors affecting the active returns of the Fund.”

Finansdepartementet mener på denne bakgrunn at det ikke er grunnlag for å hevde at forskerne ikke har fått tilgang til data som de har bedt om.