Vienna

1. Current Issues of Science and Research
in the Global World
Antonia FICOVA
Doctoral Student at Faculty of Economics and Business
Pan European University, Bratislava
antonia.ficova@yahoo.com
May 28, 2014
Role of Sovereign Wealth Funds During Crisis:
Statistical Analysis of Their Returns and Equity
Proportions

2. OUTLINE
o Research Methodology,
o Literature Review,
o Categories of SWFs,
o Assets under management of SWFs,
o Sovereign investing in times of crisis,
o Hypotheses,
o Conclusions,
o Future of SWFs.
Antonia Ficova, Department of International Business, Pan European University,
Bratislava, 2014

3. RESEARCH METODOLOGY
oqualitative and quantitative analysis,
ocomparative research,
othe ‘Student’ t-test, TINV
Antonia Ficova, Department of International Business, Pan European University,
Bratislava, 2014

4. LITERATURE REVIEW
Monk (2009) describes SWF´s as:
„they are government-owned and
controlled (directly or indirectly), have no
outside beneficiaries or liabilities and that
invest their assets, either in the short or
long term, according to the interests and
objectives of the sovereign sponsor“
Antonia Ficova, Department of International Business, Pan European University,
Bratislava, 2014

5. LITERATURE REVIEW
Balin, B. J. (2008) presents why countries
establish SWF´s:
„... is that, when the country’s natural
resources are exhausted, therefore, future
generations can continue to live prosperously
using the earnings of their forefathers... when a
country is faced with a competitiveness crisis, it
can call on its swf assets to reinvest in new
sectors of the economy that can revive the
country’s competitive advantages“
Antonia Ficova, Department of International Business, Pan European University,
Bratislava, 2014

6. CATEGORIES OF SWFs
The SWFs may be grouped by Mezzacapo, S. (2009,
p.15) in the following categories:
oStabilisation Funds;
oSavings Funds;
o Reserve Investment Corporations;
o Development Funds;
o Pension Reserve Funds.
Antonia Ficova, Department of International Business, Pan European University,
Bratislava, 2014

7. Assets under management of SWFs
Antonia Ficova, Department of International Business, Pan European University,
Bratislava, 2014
Source: Pregin

8. SOVEREIGN INVESTING IN TIMES OF CRISIS
othe spread of the sub-prime crisis in 2007 SWFs
have invested between 60 billion USD / Asian
SWFs /;
ostabilizing role as significant source of liquidity
in global financial markets;
ostabilizing share prices, SWFs could have
a volatility-reducing impact on markets;
ostabilization funds played prominent roles in
financing government operations.
oRecapitalization of banks.
Antonia Ficova, Department of International Business, Pan European University,
Bratislava, 2014

9. Source: MEZZACAPO, S.
(2009), The so-called
"Sovereign Wealth Funds":
regulatory issues, financial
stability and prudential
supervision, European
Commission, Economic
Papers 378, p. 98-99.

10. Source: Author´s calculations.
N=12 SWFs
The ‘Student’t-test
distribution
with (N−1)
degrees of freedom
Antonia Ficova, Department of International Business, Pan European University, Bratislava,
2014
TESTING HYPOTHESIS I.

11. CONCLUSION FROM TESTING HYPOTHESIS I.
o showed an increase of SWFs in their returns, during
period 2008 and 2010,
o their performances in 2010 could be caused through
changes in their portfolios,
o due the fact of implementing different asset
allocations after 2008,
o as a result of hypothesis, we accepted an alternative
hypothesis,
o that means this method showed an increase, what is a
statistically significant.
Antonia Ficova, Department of International Business, Pan European University,
Bratislava, 2014

12. The reliability is 95% and we determine mean the reliability of proportion equity
in asset allocation in SWFs.
Source: Author´s calculations.
N=12 SWFs
TESTING HYPOTHESIS II. part I.
Antonia Ficova, Department of International Business, Pan European University, Bratislava, 2014

13. Source: Author´s calculations.
  












1
11
1
2
1
1
2
1 n
s
tx
n
s
tx
 





 1
11
44,16
20,208,44
11
44,16
20,208,44
  %9599,5417,33  
The ‘Student’t-test
distribution
with (N−1)
degrees of freedom
Two-sided confidence
  %9521,35
95,0
11
44,16
79,108,44
1
1
1
1















 


 
P
P
n
s
txP
The ‘Student’t-test distribution
with (N−1)
degrees of freedom
Left-sided reliability
n
s
x
t

 86,112
44,16
21,3508,44


=
t crit = 2,20
two-sided t-distribution is
calculated by TINV
TESTING HYPOTHESIS II. part II.
Antonia Ficova, Department of International Business, Pan European University, Bratislava, 2014

14. CONCLUSION FROM TESTING HYPOTHESIS II.
By using Methods Student's t-distribution and TINV
showed:
o that proportion of equity in asset allocations in 12
observed SWFs supposed to be between 33,17 to
54,99 percent of total portfolios at 95 percent
probability,
o by using next hypothesis we may say that deviation
is caused by random selection of funds in observed
file Z,
o therefore we accepted null hypothesis; 44,08=35,21;
o what is not statistically significant.
Antonia Ficova, Department of International Business, Pan European University,
Bratislava, 2014

15. FUTURE OF SWFs
oover the past year AUM of Middle Eastern SWFs have
increased by 6%,
ocompared to the 19% growth in assets of Asia-based
sovereign wealth funds;
oPreqin tracks 27 SWFs in 2014;
ocurrently India, Bolivia and Panama are all undergoing
discussions to form their own SWFs;
othese investors have reached a size comparable to that of
the entire alternative assets industry.
Antonia Ficova, Department of International Business, Pan European University,
Bratislava, 2014

16. REFERENCES
1. Van der Zee, Eva, Sovereign Wealth Funds and Socially Responsible Investing: Do’s and
Don’ts (June 13, 2012). European Company Law, Kluwer Law International, Special Issue on
CSR and SRI, 2012, Volume 9, Issue 2, pp 141-150; University of Oslo Faculty of Law Research
Paper No. 2012-15.
2. Balding, Christopher, Innovations in Sovereign Wealth Funds for National Development (July
27, 2012).
3. In, Francis Haeuck and Park, Raphael Jonghyeon and Ji, Philip and Lee, Bong Soo, Do
Sovereign Wealth Funds Stabilize Stock Markets? (August 30, 2013).
4. Wagner, Daniil, Sovereign Wealth Funds: Investment Objectives and Asset Allocation
Strategies (October 28, 2013).
5. Miracky, W.- Bortolotti, B. (2009), "Braving the New World: Sovereign wealth fund
investment in the uncertain times of 2010", Fondazione Eni Enrico Mattei, Monitor Group, SWF
Annual Report 2010, 78
6. Mezzacapo, S. (2009), "The so-called "Sovereign Wealth Funds": Regulatory issues, financial
stability and prudential supervision", European Economy, Economic Papers 378:106
7. Gugler, P. - Chaisse, J. (2009), "Sovereign Wealth Funds in the European Union General trust
despite concerns", NCCR Trade Regulation Research, No.4
8. Monk, A.H.B. (2009), "Recasting the Sovereign Wealth Fund Debate: Trust, Legitimacy, and
Governance", University of Oxford, 34
9. Balin, B. J. (2008), "Sovereign Wealth Funds: A Critical Analysis", The Johns Hopkins
University School of Advanced International Studies (SAIS), 18
10. JAIN, S., Integrating Hedge Fund Strategies in Sovereign Wealth Portfolios, Citi Capital
Advisors, November 2009, p.3
11. Preqin, available at: https://www.preqin.com/item/2014-preqin-sovereign-wealth-fund-
review/1/7594
12. Sovereign Wealth Fund Institute, available at: http://www.swfinstitute.org/fund-rankings/
13. IMF, available at:
http://www.imf.org/external/pubs/ft/weo/2013/02/weodata/weorept.aspx
Antonia Ficova, Department of International Business, Pan European University,
Bratislava, 2014

17. Thank you for attention!
Antonia FICOVA
antonia.ficova@yahoo.com
Antonia Ficova, Department of International Business, Pan European University,
Bratislava, 2014