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Investment Objectives of Sovereign Wealth Funds—A Shifting Paradigm

This environment could change if the downward shift of yield curve continues. Anecdotal evidence suggests that institutional investors are becoming more sensitive to changes in financial market conditions and therefore are increasingly interested in higher-return generating assets and more sophisticated styles in fund management. Indeed, the fall in the short term interest rate since last August appears to have been gradually affecting investors’ behavior. Clients’ requests for daily liquidity have decreased at the margin. . | WP 11 19 Investment Objectives of Sovereign Wealth Funds A Shifting Paradigm Peter Kunzel Yinqiu Lu Iva Petrova and Jukka Pihlman INTERNATIONAL MONETARY FUND 2010 International Monetary Fund WP 11 19 IMF Working Paper Monetary and Capital Markets Department Investment Objectives of Sovereign Wealth Funds A Shifting Paradigm1 Prepared by Peter Kunzel Yinqiu Lu Iva Petrova and Jukka Pihlman Authorized for distribution by Udaibir S. Das January 2011 Abstract This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author s and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author s and are published to elicit comments and to further debate. While SWF investment objectives to some extent reflect inherent characteristics notable differences in strategic asset allocation SAA exist even amongst SWFs of similar types. Even so this paper shows that the global crisis may have changed SWF s asset allocations in ways that may not be ideal or justified in all cases and that a review of investment objectives may be warranted. It also argues for regular macro-risk assessments for the sovereign the continued importance of SWFs as a stabilizer in international capital markets as well as the active role they could play in international regulatory reform. JEL Classification Numbers F30 G11 G15 G18 Keywords Sovereign Wealth Funds Portfolio Choice Investment and Risk Management Government Policy and Regulation Author s E-Mail Address pkunzel@imf.org ylu@imf.org ipetrova@imf.org ipihlman@imf.org 1 The IMF is source and copyright holder of this work. The authors thank Robert Sheehy Udaibir S. Das Jennifer Elliott Alessandro Gullo Joonkyu Park and Han van der Hoorn for their useful suggestions. This Working Paper was published as Chapter 11 of the book Economics of Sovereign Wealth Funds Issues for Policymakers IMF 2010 . 2 Contents Page I. .