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The Investment Strategies of Sovereign Wealth Funds

Risk/return summary information in interactive format requires a standard list of tags. These tags are similar to definitions in an ordinary dictionary, and they cover a variety of concepts that can be read and understood by software applications. For the risk/return summary, a mutual fund will use the most recent list of tags for risk/return summary information released by XBRL U.S. 46 This list of tags contains descriptive labels, authoritative references to Commission regulations where applicable, and other elements, all of which provide the contextual information necessary for interactive data to be recognized and processed by. | HARVARD BUSINESS SCHOOL The Investment Strategies of Sovereign Wealth Funds Shai Bernstein Josh Lerner Antoinette Schoar Working Paper 09-112 Copyright 2009 by Shai Bernstein Josh Lerner and Antoinette Schoar Working papers are in draft form. This working paper is distributed for purposes of comment and discussion only. It may not be reproduced without permission of the copyright holder. Copies of working papers are available from the author. The Investment Strategies of Sovereign Wealth Funds ri-i T l . TIT Shai Bernstein Josh Lerner and Antoinette Schoar This paper examines the direct private equity investment strategies across sovereign wealth funds and their relationship to the funds organizational structures. SWFs seem to engage in a form of trend chasing since they are more likely to invest at home when domestic equity prices are higher and invest abroad when foreign prices are higher. Funds see the industry P E ratios of their home investments drop in the year after the investment while they have a positive change in the year after their investments abroad. SWFs where politicians are involved have a much greater likelihood of investing at home than those where external managers are involved. At the same time SWFs with external managers tend to invest in lower P E industries which see an increase in the P E ratios in the year after the investment. By way of contrast funds with politicians involved invest in higher P E industries which have a negative valuation change in the year after the investment. Harvard University Harvard University and Massachusetts Institute of Technology. Lerner and Schoar are affiliates of the National Bureau of Economic Research. We thank Harvard Business School s Division of Research for financial assistance and various audiences for helpful comments. Chris Allen and Jacek Rycko provided excellent research assistance. All errors and omissions are our own. 1 1. Introduction The role of sovereign wealth funds SWFs in the global .