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A Study On The Impact Of Asset Allocation Of Sovereign Wealth Funds On Yield

Posted on:2018-12-13Degree:MasterType:Thesis
Country:ChinaCandidate:H ChengFull Text:PDF
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Sovereign Wealth Fund is owned by the general government of special purpose investment funds and created by the general government for macroeconomic purposes.It uses a set of investment strategies to govern and manage assets,including investments in foreign financial assets to achieve financial objectives.The establishment of China Investment Corporation marked the birth of the first SWF in China.Its purpose is to realize the diversified investment of state foreign exchange funds to maximize the shareholders’ equity within the acceptable risk range and to serve the national development in macroscopic view and deepening of the financial system reform.Due to the huge capital strength of China Investment Corporation and China’s special political background,China’s SWF has attracted worldwide attention,especially the SWF whose asset allocation is directly related to the level of yield.However,a number of investments come from China Investment Corporation since the establishment are suffering from criticism at home and abroad.The main reason is the lack of understanding of asset allocation.So how to allocate such huge asset has become a key issue.But the research on Sovereign Wealth Fund in China is not that timely.Therefore,this paper focuses on the asset allocation of Sovereign Wealth Fund and asset allocation effect on the rate of return.The paper first introduces the SWF’s background,including the concept,classification,target setting,macro and micro economy effects,scale of sovereign wealth funds around the world and summarizes research results about SWF asset allocation in domestic and foreign.Then the paper introduces two main factors that affect the SWF asset allocation,which are institutional framework and risk management.In the institutional framework,it discusses the SWF governance models and the composition of the governing bodies and supervisory bodies.In the study of risk management,the paper listed the types of risk in the SWF asset allocation,risk management objectives and a variety of risk indicators.Next,it makes a comprehensive analysis of SWF asset allocation from four aspects,including asset categories,industries,regions and cooperative allocation,and explores the reasons behind the deep-seated reason about why SWF make these asset allocation.Finally,it makes empirical analysis of the SWF asset allocation to yield,including the reasons for the selection of variables,data processing,the use of cross-section.The model is analyzed in detail and a conclusion is drawn.Base on the relevant conclusions,people will make some of countermeasures and recommendations about the asset allocation of China Investment Corporation.
Keywords/Search Tags:Sovereign Wealth Funds, asset allocation, yield rate
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