Pragmatic review of the globe’s largest sovereign wealth fund management prudence : empirical analysis of Norway’s the Government Pension Fund Global (“the oil fund”) management

Abstract

There exists a possibility that the management of Norway’s the Government Pension Fund Global (“the Oil Fund”) is not doing its job well due to the fund’s large size and a number of other challenges. The fund’s historic data were tested for opportunistic conduct and examined for the diligence of execution of the strategy assigned by the fund’s investment mandate. Firstly, the performance results disclosed for 2001-2012 were tested for excessively high returns around reporting dates. Then, the data were tested for probability of buying stocks due to stocks’ earlier performance, characteristics of size, investment style, sector, economy of origin, and previous decision to buy. The dynamics of odds for buying and selling stocks were also compared over time. No evidence for the fund’s management window-dressing the results of their performance or deviating from the investment mandate was found.