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Treasury Bills are wholesale debt securities issued by the Crown. They are a measure of the 'opportunity cost' to the Government of contributing capital to the Fund, instead of using the money to pay back debt, and are seen as the least risky asset.

Over time, the Fund is expected to earn more for the Government in investment returns than it would save in debt servicing.

Long-term performance expectation

We expect that, given our growth-oriented mandate, long investment horizon and hence risk appetite, that the Fund will return at least the New Zealand 90-day Treasury Bill return + 2.7% p.a. (before NZ tax) over any 20-year moving average period.

It is important to understand that the Treasury Bill return + 2.7% is not a target that we aim to hit precisely - rather, it is a long-term performance expectation that we aim to exceed by as much as possible.

Working to an expectation rather than a target avoids any short-term incentive to increase risk when returns are least rewarding - and vice versa.

Prior to 1 July 2015 the long-term performance expectation was Treasury Bills + 2.5%.

Monthly updates

While monthly updates on the Fund's performance are provided against the Treasury Bill benchmark, it is important to remember that over short and medium-term periods, there will be times when it is comfortably exceeded and periods when it is not reached.

Since inception the Fund beat the Treasury Bill return by 5.91% p.a. or NZ$26,123 million. See our Annual Reports for audited figures.

Fund returns (after costs, before NZ tax) as at 30 June 2020

Since inception (Sept 2003) Ten Years Five Years  One Year
Actual Fund Returns 9.63% p.a. 12.60% p.a. 8.52% p.a. 1.73%
NZ Treasury Bill (T-Bill) Return 3.72% p.a. 2.24% p.a. 1.73% p.a. 0.89%
Net Return (Actual Return - T-Bill Return) 5.91% p.a. 10.37% p.a. 6.79% p.a. 0.84%
Estimated $ earned relative to T-Bills $26,123 million $27,164 million $15,254 million $1,683 million
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