Sovereign pension and social security reserve funds: A portfolio analysis |
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| Institution: | 1. University of Alaska Fairbanks, 303 Tanana Loop, St. 201, Fairbanks, AK 99775, USA;2. East Carolina University, Department of Finance, 3127 Bate Building, Greenville, NC 27858-4353, USA;1. Indiana University South Bend, South Bend, IN, United States;2. University of Texas at San Antonio, San Antonio, TX, United States;3. Elon University, Elon, NC, United States;1. Finance Discipline, UTS Business School, University of Technology Sydney, Australia;2. Department of Econometrics and Business Statistics, Monash University, Australia;3. Accounting and Finance, UWA Business School, The University of Western Australia, Australia;1. Nova Southeastern University, Department of Finance, College of Business and Entrepreneurship, Fort Lauderdale, FL 33314, United States;2. Florida International University, Department of Finance, College of Business Administration, Miami, FL 33199, United States |
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| Abstract: | Sovereign wealth funds (SWFs) have been increasing in numbers and in the global reach of their investment activities. At the same time, they seem to experience the adverse consequences of the financial crisis differently than other financial intermediaries. This paper assesses whether and how a retirement-financing purpose has affected their investment strategies since the global financial crisis, as opposed to the strategies of other public pension entities that do not operate as SWFs. We construct a sample of 12 sovereign pension reserve funds (SPRFs) and social security reserve funds (SSRFs) and analyze the effects of size, operational model, country development, the fund's experience, and quality of disclosures on strategic asset allocation for the period 2007–2014. We also investigate the relevance of “home bias.” Our results show that SPRFs invest more aggressively than SSRFs, but are less exposed to domestic investments. We do not find major shifts in asset allocation induced by the financial crisis, except for a recent decrease of home-country exposures. |
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