An Empirical Analysis Of Sovereign Wealth Fund Performance Evaluation And Factors Affecting Return

In recent years,the strong development momentum of sovereign wealth funds has attracted worldwide attention.The total size of the world has reached 7.65 trillion U.S.dollars,becoming the largest single investment fund in the world,which has an important impact on the nation's reserve asset management and global financial markets.Studying the performance of sovereign wealth funds and the factors affecting the return of sovereign wealth funds can help guide the investment and operational decisions of administrative departments,promote the effective use of national sovereign wealth,and safeguard the healthy development of the national economy.At the same time,the current research of performance evaluation and elements influencing return are mainly concentrated on mutual fund.Due to the low transparency,information of sovereign wealth funds is scattered,bring difficulty to collect data,related research are rare.The research in this paper plays a complementary role in the quantitative research field of sovereign wealth funds,and is highly innovative.At the same time,this article also enriches the empirical research content of portfolio performance evaluation.Sovereign wealth funds do not have mandatory requirements of information disclosure.At present,the degree of disclosure of sovereign wealth funds varies greatly.In order to ensure the breadth and effectiveness of this study,in the empirical process of this paper,The author spend a lot of effort to manually collect all relevant data in the annual reports and monthly reports disclosed on the official website of the 80 sovereign wealth funds in the world,and then combine the data to determine the objects of this paper.Afterwards,the empirical study is divided into two parts.Firstly,Sharpe index,Jensen index,T-M model and H-M model are used to evaluate the performance of sovereign wealth funds.The research shows that the performance of sovereign wealth funds as a whole exceeds the market benchmark and their own performance benchmarks,which shows that the investments sovereign wealth funds are prominent.After analyzing,it is found that their performance is derived from the fund manager's stock selection ability rather than timing ability.The second part is to carry out a multiple linear regression analysis on the factors affecting the sovereign wealth fund's return.After studying the impact of scale,age,transparency and the proportion of bond investment on the sovereign wealth fund's return,it shows that the fund size and bond investment ratio have a significant effect the performance of sovereign wealth funds..The conclusion of this study provides a theoretical basis and reference for the investment strategy of sovereign wealth funds.