Sovereign Wealth Fund Asset Allocations—some stylized facts on the Norway Pension Fund Global

摘要

The Markowitz portfolio theory has been used during the past six decades by various institutional investors, including sovereign wealth funds (SWFs), to determine their asset allocations. Our analysis of the strategic asset allocation of the world's largest sovereign wealth fund—The Norway Government Pension Fund Global (GPFG)—demonstrates that it is broadly consistent with that generated by the one-period Markowitz model. GPFG's investment performance critically depends on its permissible asset classes, risk tolerance and strategies mandated in attaining the set portfolio objectives, such as stability of returns over an assumed time horizon. Also, appropriate asset weight rebalancing has allowed for higher returns and achievement of long-term investment objectives. The obtained asset allocation results need to be compared with those for other SWFs so as to determine whether there is a broader conformity of SWF actual allocations with those proposed by the Markowifz model.