 Sovereign pension and social security reserve funds: A portfolio analysisAlberto Dreassi, Stefano Miani and Andrea Paltrinieri Global Finance Journal, 2017, vol. 34, issue C, 43-53 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. Keywords: Sovereign wealth funds; Sovereign pension reserve funds; Social security reserve funds; Asset allocation; Home-bias (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:34:y:2017:i:c:p:43-53 DOI: 10.1016/j.gfj.2017.03.003 Access Statistics for this article Global Finance Journal is currently edited by Manuchehr Shahrokhi More articles in Global Finance Journal from Elsevier |
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