主权财富基金绩效评估及影响因素实证分析

Empirical Analysis of Sovereign Wealth Fund Performance and its Influential Factors

主权财富基金已经成为全球最大的单一投资基金,对国家的储备资产管理及金融市场都有重要影响。通过实证分析后发现,主权财富基金绩效从整体上看超越业绩基准,绩效主要来源于管理者的选股能力而不是择时能力。在对主权财富基金绩效影响因素建立多元线性回归模型进行实证分析后发现,基金规模、债券投资比例对主权财富基金的绩效表现有显著的影响。研究结论为主权财富基金投资策略提供了理论依据与参考。

Sovereign wealth funds are now the largest investors in the global financial markets.They have important impacts on the management of state′s reserve assets,attracting worldwide attention.Through empirical analysis,we find that the performance of sovereign wealth funds exceeds the performance benchmark as a whole,and their outstanding performances come from stock-selecting ability rather than timing ability.After analyzing the factors influencing the performance of sovereign wealth funds,we find that the size and proportion of bond investment have a significant impact on the performance of sovereign wealth funds.The conclusion of this paper provides a theoretical basis and reference for the investment strategy of sovereign wealth fund.