Role of Sovereign Wealth Funds

1. 1
Paneuropean University
February 15 , 2014
What is the Role of Sovereign Wealth Funds?
Antonia FICOVA
Doctoral Student at Faculty of Economics and Business
Paneuropean University, Bratislava
antonia.ficova@yahoo.com

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Table of Content
1 INTRODUCTION ............................................................................................................ 3
1.1 Structure of the Study .............................................................................................. 3
2 CATEGORIES OF SWFs.................................................................................................. 3
2.1 What are purposes of SWFs?................................................................................... 4
2.2 How big are they?..................................................................................................... 6
2.3 Newly Established SWFs......................................................................................... 7
2.4 Where do SWFs invest? ........................................................................................... 7
3 LITERATURE REVIEW................................................................................................... 8
4 THE OBJECTIVES.......................................................................................................... 14
4.1 Methodology ........................................................................................................... 14
5 HYPOTHESES ................................................................................................................ 14
5.1 Testing hypothesis 1............................................................................................... 14
5.2 Testing hypothesis 2............................................................................................... 16
6 CONCLUSIONS............................................................................................................. 17
7 REFERENCES................................................................................................................. 18

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1 INTRODUCTION
overeign Wealth Funds (SWFs) are defined as sovereign-owned or
sovereign-controlled pools of funds that invest in stocks, bonds, real
estate, and other financial instruments. Funds has primarily focused on their unique
ability to merge the most feared elements of the public and private sectors: the power
of private finance and state coerciveness. More to the point, SWFs were not originally
created to establish the perfect blend of state centric coercive power and market
oriented financial acumen, but to solve very real economic policy dilemmas. In other
words, SWFs increased their importance in the global financial system in the last
decade and especially during the financial crisis period.
Nevertheless, their assets under management reached US $5 trillion in 2013
according to the Sovereign Wealth Fund Institute and will grow to at least $10 trillion
by 2015. This amount can be compared to the amount managed by hedge funds and
private equity markets at the end of 2011, under 4 trillion in total. According to the
Preqin for the first time, assets of these sovereign wealth entities have surpassed the
$5tn mark, with total assets estimated at $5.38tn as of October 2013; SWFs have gained
more than $750bn in additional assets since 2012.
1.1 Structure of the Study
The first chapter includes shortly introduction on the subject. Chapter 2
presents categories of SWFs and a few sections. Section 2.1 answer to the question
what are purposes of SWFs, 2.2 we provide background how big are SWFs, and what
is proportion of SWF Investing in each asset class. Chapter 3 is a review of the
literature from authors well versed on this subject. Chapter 4 includes objectives of
the paper, methodology. The main contribution of this paper is contained in Chapter
5, that includes hypothesis. Chapter 6 concludes the paper.
2 CATEGORIES OF SWFs
SWFs may be grouped by Mezzacapo, S. (2009, p.15) in the following
categories:
S

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1. Stabilisation Funds: countries which are rich in natural resources want to reduce
the impact to their the budget and economy from volatile commodity prices
(usually oil). Otherwise funds build up this assets over the years of ample fiscal
revenues in order to prepare for leaner years.
2. Savings Funds: these funds are mainly intended to share wealth across
generations by transferring non-renewable assets into a diversified portfolio of
(international) financial assets, to provide for future generations. Or other long-
term objectives, for example to prevent the so-called "Dutch disease", it means a
syndrome likely to occur where a large inflow of foreign currency, due to a sharp
surge in prices of commodities exported. After that it is converted into local
currency and spent on domestic non-traded goods, inducing a real exchange rate
appreciation that weakens the competitiveness of the country's exports.
3. Reserve Investment Corporations: established vehicles a separate legal entity
either to reduce the negative cost-of-carry of holding reserves or to pursue
investment policies with higher returns. Often, the assets in such arrangements
are still counted as reserves;
4. Development Funds: these funds provide resources for funding socio-economic
projects, such as allocating for infrastructure;
5. Pension Reserve Funds: having identified pension and/or contingent type
unspecified liabilities on government‟s balance sheet.
2.1 What are purposes of SWFs?
SWFs can be introduced for a number of different reasons and each has
different objectives according to the information from Sovereign Wealth Fund
Institute and Preqin. A number of SWFs are funded through commodity exports and
are set up to provide their countries with a stable level of income in the face of fl
uctuating commodity prices. Other funds funded by natural resources exports are
established with the aim of maximizing returns on the income from exports and
diversifying the economy away from reliance on one source. As a result of these
varying goals, sovereign wealth funds also have widely differing investment policies
and asset allocations. For example, Timor- Leste Petroleum Fund, which manages

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Timor-Leste‟s petroleum resources for the benefi t of current and future generations,
invests solely in equities and fi xed income, whereas Qatar Investment Authority
invests in a variety of asset classes and regions in order to obtain as much diversifi
cation as possible. Funds can also be established in order to assist in the development
of an economy or specifi c industry sector. For example, Latin American Reserve
Fund aims to improve investment conditions within its member states (Bolivia,
Columbia, Costa Rica, Ecuador, Peru, Uruguay and Venezuela) and contribute to the
consolidation of the member countries‟ financial policies.
Fig. 1 shows that there has been a substantial increase in the number of
sovereign wealth funds in operation since 2000. Fiftythree percent of sovereign
wealth funds were launched between 2000 and 2009, a substantially higher
proportion than in all previous decades, and there have already been a number of
new sovereign wealth fund launches since 2010. Hydrocarbon-based funds continue
to make up the largest proportion of sovereign wealth funds in terms of both capital
and numbers, as shown in Fig. 2. However, non-commodity funds have closed the
gap since 2012, with these funds now representing 32% of all funds and 48.4% of all
sovereign wealth fund capital.
Figure 1 SWF by year of establishment Figure 2 SWFs by source of capital
Source: Preqin Sovereign Wealth Fund Review 2014, p.3

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2.2 How big are they?
Preqin data as can be seen in Figure 3 indicates that 63% of SWFs have seen an
increase in assets under management since April 2012. The world‟s largest sovereign
wealth fund, Government Pension Fund – Global in Norway, has continued to grow,
adding more than $185bn in assets over 2012-2013 to reach total assets of $782bn.
Sovereign wealth funds in Asia, in particular, have also seen a rise in assets as
countries in the region look to build up foreign exchange reserves.
If we look at funds by region, The MENA region has a reduced share of total
sovereign wealth fund assets, at 28%, as a result of this increase in aggregate capital
managed by Asia-based sovereign wealth funds. The proportion of capital managed
by Europe-based sovereign wealth funds has shown an increase, from 16% in 2012 to
20% in 2013, largely due to the continued growth of Norway‟s Government Pension
Fund – Global. North America, Latin America and the Caribbean, Africa, and
Australasia each represent 3% or less of total sovereign wealth fund capital, despite
each of these regions being home to at least 6% of all sovereign wealth funds.
Figure 3 Sovereign Wealth Funds by Assets under Management
Source: Preqin Sovereign Wealth Fund Review 2014, p.4

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Figure 4 Sovereign Weath Funds by Region
Source: Preqin Sovereign Wealth Fund Review 2014, p.4
2.3 Newly Established SWFs
The 2014 Preqin Sovereign Wealth Fund Review profiles 72 SWFs, ten more
than last year‟s edition. Over the past year we have seen some notable sovereign
wealth funds come into existence and begin to make investments; for instance,
Western Australian Future Fund, established in December 2012 with AUD 1bn, is
designed to fund future generations of Western Australians by setting aside and
accumulating a portion of the State‟s revenue from mineral resources. Fundo
Soverano Angolano was initially discussed in 2008, but was finally established in
October 2012. In its most recent investment policy announcement in Q2 2013, Fundo
Soverano Angolano stated its intention to build a diversifi ed portfolio, which would
include investment in equities, bonds, real estate and infrastructure.
2.4 Where do SWFs invest?
Alternative assets, as is highlighted in Figure 5, have become an important
part of the portfolio of many sovereign wealth funds over recent years. Infrastructure
investments are the most commonly used asset by these sovereign bodies,
unsurprising given that many sovereign wealth funds are established in order to
build on and improve the existing infrastructure within their country or region. More

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to the point, typically these newer sovereign wealth funds will not allocate to
alternative investments, such as hedge funds and private equity funds, for a few
years as they build up their investment teams and accumulate assets; during this
period they tend to focus on investments in traditional funds, and equities and fixed
income securities. Regardless, there has been some significant activity by sovereign
wealth funds in the private equity and hedge fund space over the past 12 months.
Apax VIII closed in June 2013 with €5.8bn in commitments, including investments
from three sovereign wealth funds: China Investment Corporation, GIC and
FutureFund. As well as commitments to the largest funds, sovereign wealth funds
have been active in smaller and more niche vehicles. For example, New Zealand
Superannuation Fund acted as a key investor in the local Pioneer Capital Partners II
vehicle, which opened and closed in 2013. Other sovereign wealth funds have been
particularly active investors over the past 12 months, making a large number of
investments. New Mexico State Investment Council, which has made investments in
at least eight 2013 vintage private equity funds so far in 2013.
Figure 5 Proportion of SWF Investing in each asset class
Source: Preqin Sovereign Wealth Fund Review 2014, p.2
3 LITERATURE REVIEW
Eva Van der Zee (2012) pointed out that SWFs investment policy could
contribute to a positive change in the conduct of companies that violate human rights
or damage the environment. More to the point, SWFs are different than other

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institutional investors, because while they act as private actors, they could also be
considered to be state actors. In her article she provided characteristics of SWFs
support the argument that SWFs should invest socially responsible. First, because most
SWFs are established as savings funds for future generations, SWFs should promote
sustainable development and social justice in order to enable the beneficiaries of the
SWFs, the future generations, to reap the fruits of the investments in the future.
Second, SWFs can be considered to be state organs, and because states have the
obligation to respect human rights and to protect the environment, SWFs, being
owned by the state, should, at least, adopt an SRI policy to discharge their
responsibility to promote social justice and impede environmental damage. In sum,
SWFs may adopt a responsible investment policy and have, arguably, even a higher
responsibility to protect human rights and prevent environmental damage than do
private investors.
Ch. Balding (2012, p. 2) described innovations in Sovereign Wealth Fund
Management. He presented that the most original sovereign wealth funds were making
valuable economic policy innovations to prevent inflation and macroeconomic instability. In
other words, funds are being used to distort markets hindering national
development. Viewed in this light, the highest quality “innovations” in sovereign
wealth funds come from some of the oldest funds but are lessons well learned.
If we look at SWFs especially when linking national development objectives it
is necessary to mention following factors: First, a sovereign wealth fund needs a
predictable and dedicated capital source. Dominated primarily by commodity
dependent countries, most sovereign wealth funds simply receive monetized
national natural resource wealth. The ongoing commodity extraction allows the
sovereign wealth fund to build up a capital base based upon the monetization of
existing natural resource wealth.For example, Mongolia which is currently
experiencing a commodity driven boom would be a prime candidate to consider
allocating a portion of their current windfall towards a sovereign wealth fund.
Singapore, a non-commodity based fund, has had to run long term current account
and government surpluses that regularly top a combined 30% of GDP while also
becoming the 12th most indebted country in the world to endow their funds. Second,

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few SWFs have laid out clear and defined rules for withdrawal of fund capital. The absence
of clear and predictable rules have relegated sovereign wealth funds to little more
than political slush funds. For example, Russia created its first sovereign wealth fund
with clear rules for fund capital accrual when oil surpassed $28 a barrel and strict
limits on withdrawal. However, as oil floated around $100 a barrel, Russian
politicians chafed at the restrictions that allowed their sovereign fund to accrue so
much so fast, growth doubling since 2007 and growing 950% since 2000. Other case is
Norway which limits is non-oil budget deficit to 4% of GDP. Third, a SWFs demand
the highest degree of independence possible while remaining technically a state linked entity.
In other words, Sovereign wealth funds must be profit motivated investors free from
political winds and capriciousness.
He also pointed out that funds can promote national development objectives by
stimulating domestic spillovers. In short, funds occupy a unique position as guardians
of national wealth. Because of this, they can stimulate the development objectives by
stimulating human capital development and external service providers.
A.Cappelen; R. Urheim (2012, p. 2) analyzed in their research paper that there
are two reasons why the increasing size of pension funds and SWFs are important for
intergenerational justice. more to the point, there is a direct link between
intergenerational justice and the size of these funds because these funds represent
private and national savings. On the other hand, future generations benefit from high
savings today because high savings imply less consumption by the current generation and
more investment that will benefit the future generation. They pointed out that the growth
of pension funds and sovereign-wealth funds means that these funds potentially get
more influence as owners, i.e., that their ability to affect the corporations of which
they are owners increases. How these funds use this influence will in turn affect the
development of the world economy. In particular, we shall argue that these funds
will contribute to reducing one important source of intergenerational injustice, which
we might refer to as intergenerational externalities.
Francis In , Raphael Jonghyeon Park, Philip Inyeob Ji and Bong Soo Lee (2013)
examined the behaviour of SWFs with different objectives and whether SWF
investments have a destabilizing effect on the market. Their major findings can be

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summarized as follows. First, by considering the different styles of SWFs, they found
that SWFs have distinctive behaviours. The CAR analysis shows that stabilization SWF
characteristics improve firm value, while the cross-border investments of reserve funds have
a large negative impact on target firm performance. Possible explanations include
information asymmetry between local and foreign investors and market perceptions
about SWF commitment in possible repercussions of balance of payment risks. It is
also noted that the value of target firms receiving SWF investments during the crisis did
not change from that in normal periods, which suggests that SWFs do not improve firm value
significantly in crisis periods. Second, they found evidence of a destabilizing effect for
SWF investments in general for six-, 12-, and 24-month periods. Third, industrialized
stock markets do not seem less affected by SWF investments than Asian markets and
that SWFs with oil money deliver more destabilizing effects than other SWFs.
Regarding the effects of the recent crisis, in the crisis period we observe a greater tail
risk contribution of SWFs in all categories except for reserve funds. Their results
provide insights to policy makers considering regulation or actions on foreign SWFs.
B. Bortolotti, V. Fotak, W. L. Megginson (2013) examined 1,018 Sovereign
Wealth Fund (SWF) equity investments in publicly traded firms and a control sample
of 5,975 transactions by private-sector financial institutions over 1980-2012. They
found that announcement-period abnormal returns of SWF investments are positive, but
lower than those of comparable private-sector investments by approximately 2.67
percentage points. More to the point, their findings show significant differences
among SWFs which are only partially captured by the short-term market reaction:
firms acquired by passive funds tend to underperform over the following three
years, while positive abnormal returns are associated with actively monitoring SWFs.
They concluded that SWFs‟ corporate governance role tends to affect the value of
target firms.
SWF Classification Approach
W., Daniil (Oct 2013, p.10) developed an SWF classification that encompasses
their common characteristics and investment objectives. We can say that SWF
funding therefore represents the first level of the analysis as can be seen in Figure 6.

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The second question is whether a country should invest its assets directly or
indirectly. In this context 'indirectly' would mean the use of an SWF while 'direct'
investments could be conducted by any other state-owned company or authority.
Direct investments would be better suited to more opportunistic single engagements.
They are rarely advisable for a large scale of diversified portfolio holdings and state-
of-the-art investment management strategies. An example of a direct investment is
the recent 29% engagement of Qatar Solar, a holding company owned by one of
Qatar's manifold government-backed investment vehicles, in the German solar
technology firm Solarworld.
Figure 6 The classification approach for SWFs based on their investment objectives
and strategies
Source: W., Daniil, Sovereign Wealth Funds: Investment Objectives and Asset Allocation
Strategies (October 28, 2013).

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The Manager model
Abdullah Al-Hassan, Michael Papaioannou, Martin Skancke, and Cheng Chih
Sung presented in November 2013, p.10 manager model and the investment
company model. More to the point, they are the two dominant forms of institutional
setup for SWFs. The models are illustrated in Figure 7. In the manager model, the
legal owner of the pool of assets constituting the SWF (usually the ministry of
finance) gives an investment mandate to an asset manager. Within this model, there
are three main sub-categories:
First, the central bank manages the assets under a mandate given by the ministry of
finance (e.g., Norwegian Government Pension Fund Global, Botswana, and Chile).
Second, a separate fund management entity, owned by the government, is set up to
manage assets under a mandate given by the ministry of finance, such as the
Government Investment Corporation (GIC) of Singapore. Third, the ministry of
finance gives mandates directly to one or more external (private) fund managers. This
model is generally not recommended, since awarding contracts to external fund
managers is in itself an investment decision that should be carried out at arm•es
length from a political body, and the evaluation, monitoring and termination of
management contracts requires specialized skills more likely to be found in a
dedicated investment organization. In other words, this model is typically employed
when the investment strategy implies more concentrated investments and active
ownership in individual companies (Temasek, Singapore), or the fund has a
development objective in addition to a financial return objective.
Figure 7 Investment Model; Manager Model
Source: Al-Hassan, Abdullah and Papaioannou, Michael G. and Skancke, Martin and Sung, Cheng
Chih, Sovereign Wealth Funds: Aspects of Governance Structures and Investment Management
(November 2013). IMF Working Paper No. 13/231.

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4 THE OBJECTIVES
The research objectives of this paper are: 1. Will SWFs play an important role
in international finance in the future? 2. What kind of countries set up SWFs? Either
with low debt or high debt?
4.1 Methodology
The paper is descriptive and uses investigative data. Our research
methodology focuses on two main objectives: first, comprehensiveness of research
and second accuracy of information. We rely on data from Sovereign Wealth Fund
Institute, International Monetary Fund and World Economic Outlook Database.
The methods to be deployed in this paper are qualitative and quantitative
analysis, we also use analytic, statistical methods, regression analysis, moving
average, the „Student‟ t-test.
5 HYPOTHESES
In this section we examine following hypotheses. Data calculations are the best
estimation of author.
5.1 Testing hypothesis 1
We formulate next hypothesis in terms AUM of 74 observed funds, and we
will be using quarterly data from website of Sovereign Wealth Funds Institute.
H0: SWFs will play an important role in international finance in the future.
H1: SWFs will NOT play important role in international finance in the future.
If we look at on moving average, one of the basic tools of technical analysis,
was based on the fact that determining the trend from the graph can be quite difficult
and inaccurate, due to cyclical fluctuations. We used functions of a moving average
for identifing trends and measure the strength of an AUM of SWFs. Moving averages
can be beneficial in setting stop-losses.

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Table 1: Moving averages
Year Season ID Value
y*
Moving
average
Central
moving
average
Coeficient
(y/CMA)
2007 Q1 1
Q2 2
Q3 3
Q4 4 3,209 3,484 3,6165 0,887321996
2008 Q1 5 3,377 3,749 3,867833333 0,873098634
Q2 6 3,866 3,986666667 3,958833333 0,97655033
Q3 7 4,004 3,931 3,887 1,030100334
Q4 8 4,09 3,843 3,805333333 1,074807288
2009 Q1 9 3,699 3,767666667 3,813166667 0,97005988
Q2 10 3,74 3,858666667 3,902333333 0,958400957
Q3 11 3,864 3,946 3,978166667 0,971301688
Q4 12 3,972 4,010333333 4,032333333 0,985037613
2010 Q1 13 4,002 4,054333333 4,113333333 0,972933549
Q2 14 4,057 4,172333333 4,246333333 0,955412513
Q3 15 4,104 4,320333333 4,4165 0,929242613
Q4 16 4,356 4,512666667 4,580166667 0,951057094
2011 Q1 17 4,501 4,647666667 4,69 0,959701493
Q2 18 4,681 4,732333333
Q3 19 4,761
Q4 20 4,755
Source: AUM according to the SWF Institute, last updated October 2012.
*AUM trillion $.
The number of periods for moving average is K=3 constant. A simple moving
average is calculated as the sum of values in a given time period divided by the
number of values.
Figure 8: Moving averages
Figure 8 shows that the
coefficient of correlation is
positive and the coefficient of
determination is R2=0,8327; what
means that 83,3 percent changes
in assets under management of
SWFs can be attributed to changes
(investments) in each future
y = 0,0715x + 3,2808
R2
= 0,8327
$3,00
$3,20
$3,40
$3,60
$3,80
$4,00
$4,20
$4,40
$4,60
$4,80
$5,00
1 3 5 7 9 11 13 15 17 19 21
SWFs Moving average Linear trend

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quarters. In short, we may say that SWF will be bigger in terms Source: Author´s
estimation. AUM than today, more highly liquid, and focus long-term, less sensitive
than for example Hedge Funds, Private Equity.
5.2 Testing hypothesis 2
We formulate next hypothesis in terms debt of countries that set up SWFs. We
observe 25 countries with higher and lower debt as 60 percent of GDP. The optimal
debt is considered 60 percent of GDP. At 0,05 significance level we want to to test the
significance of deviations and value 60.
H0: Countries with low public debt set up SWFs; m=60.
H1: Countries with higher public debt do set up SWFs; m>60.
Indicates significance at the 5% level, =0,05, n=25 and 80 60.
Table 2 Gross debt as percent of GDP /continued on the next page/
Country Gross debt as percent of
GDP*
United Arab Emirates 18,49
Norway 55,42
Saudi Arabia 7,09
China 26,88
Kuwait 8,05
Singapore 93,47
Russia 11,68
Qatar 27,85
Australia 22,81
Algeria 10,65
Kazakhstan 12,9
South Korea 32,02
Malaysia 55,12
Azerbaijan 10,67
Ireland 109,27
France 86,81
Chile 10,49
New Zealand 35,31
Canada 84,11
Brazil 64,98
Bahrain 34,15
Oman 4,01
Botswana 15,68
Mexico 42,89
Italy 121,06
AM 40,0744

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STDV 34,62956325
VAR 1199,206651
TINV for /2 1,710882067←Critical value for
one-sided alternative
hypothesis
Source: International Monetary Fund, World Economic Outlook Database, September 2013,
data estimates for 2013
* Figures are for gross general government debt, as opposed to net federal debt, gross general
government debt includes both intra-government debt and the debt of public entities at the sub-
national level.
(1)
We use TINV function that returns the value of t Student's t-distribution as a
function of the probability. The significance level of 0,05 and 24 degrees of freedom,
the inverse one-sided t-distribution is calculated by TINV(2*0,05;24) is 1,71.
In sum, results coming out from Table 2 and formula (1) : t< tcrit → we accept
null hypothesis, -2,87<1,71 and deviation or difference between value m and 80 is
caused by random selection of countries in Table 2, what is not a statistically
significant difference. In sum, we can say that countries mainly with low public debt
usually set up SWFs.
6 CONCLUSIONS
In sum, SWFs have recently drawn a great deal of attention, both in the
popular press and academic research. Some of the attention is based on world
leaders‟ and policy makers‟ discomfort with the unknown, as SWFs often fail to
disclose their investment objectives. However, we can say that SWFs will play
important role in future as a global investors.
Testing hypothesis 1 showed that 83,3 percent changes in assets under
management of SWFs can be attributed to changes (investments) in each future
quarters. Results coming out from testing hypothesis 2 showed difference between
value m and 80 is caused by random selection of countries in Table 2, what is not a
statistically significant difference. In short, we can say that countries mainly with low
public debt usually set up SWFs.
87,225
62,34
6007,40




 n
s
x
t


18. 18
7 REFERENCES
1. Al-Hassan, Abdullah and Papaioannou, Michael G. and Skancke, Martin and
Sung, Cheng Chih, Sovereign Wealth Funds: Aspects of Governance
Structures and Investment Management (November 2013). IMF Working
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Soo, Do Sovereign Wealth Funds Stabilize Stock Markets? (August 30, 2013).
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19. 19
141-150; University of Oslo Faculty of Law Research Paper No. 2012-15.
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