The performance evaluation of sovereign wealth funds in different countries from 2006 to 2011

Abstract

The purpose of this study is to provide a comprehensive empirical analysis of the performance of SWFs in several countries, explain why they are different, and compare three measures of performance evaluation. The three basic models are Treynor Index, Sharp Index, and Jensen Index. 19 funds are selected compared to the market performance. The period under this study was from 2006 to 2011. The evidence obtained from the analysis of this study suggests that part of the funds outperformed the market significantly.