| As an important investment carrier, Sovereign Wealth Funds has become one of the most influential investors in the international financial market. It grows very rapidly and its scale becomes larger and larger, so it is widely concerned by scholars at home and abroad. China’s foreign exchange reserves have reached＄3.44trillion until March2013. In recent years, the rapid growth of foreign exchange reserves has caused many problems, including the appreciation of RMB, the depreciation of foreign exchange reserves, the super hair monetary, etc. At the same time, the international market fluctuates dramatically and the uncertainty increases. The sovereign wealth fund of China---China Investment Corporation which has short founded time and less experience is faced with greater challenges under this background. Therefore, studying the factors that influence the global sovereign wealth fund investment can help us recognize the value of investment and provide references for the investment of our country’s SWFs, moreover, improve the investment income and using efficiency of our country’s SWFs.In this paper, based on literature review and analysis of the Global Wealth Fund development, the author proposed the factors which affect the investment income of sovereign wealth fund from three angles:the own factors of SWFs, investment strategy and the global economic environment. Then, based on the analysis above, the author developed the empirical research in two aspects. One was to do panel data regression analysis to the annual data of the main twenty global SWFs. The other one was to study a typical case---the socio-economic stabilization fund in Chile, and do the quantile regression analysis with its monthly data of12months. According to the study, we can draw the following conclusions. Firstly, the greater proportion of investment in developed markets, SWFs fund yields the worse performance, indicating that the potential of development and investment in developed market is limited. Because the market is saturated, the income space in developed market is not as good as in emerging market. Secondly, the larger investment scale in SWFs, the better performance SWFs will get in investment income. It means SWFs have the effect of increasing returns to scale which may be promoted by specialization and refinement. Thirdly, the more information disclosed, the worse performance will be got in income of SWFs, indicating the more space giving market speculators to use and dig when the more information is disclosed. A good investment strategy will get little benefit in the international market arbitrage. Fourthly, after controlling the macroeconomic variables, the Global Aggregate Bond Index and the global stock price index of MSCI have a significant positive effect on the yield of SWFs, which means that the market environment is the main factor affecting investment income, and the performance of the bond market and stock market are closely related to the fund return rate of SWFs, due to a large part of SWFs assets is invested in the market of stock and bond. Finally, with the process of the fund return rate rising, the fund scale as the representative of the fund market value increase rate has the promotion effect on the fund return rate which becomes big first and then becomes small.Based on the factors which affect the investment income of SWFs proposed above, the paper summarized the strategies and enlightenment of the investment abroad of our country’s SWFs. Our country’s SWF should select the reasonable transparency within an appropriate range and accelerate the diversification of investment process through establishing mutual trust and alliances with other countries. It should get itself actively involved in investing in emerging markets to ultimately achieve the improvement of SWFs’ efficiency and adapt to the international rules for serving the strategies of our country’s SWFs investment abroad. |
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