sw fs ppt
TRANSCRIPT
Sovereign Wealth Funds and
their impact on international finance
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA
Antonia FICOVA
Supervisor: Assoc. Prof. Juraj Sipko
May 23, 2012
• Chapters Layout,
• Research Objectives,
• Research Methodology,
• Literature review,
• Most importants findings of the study,
• Swot Analysis, • Conclusions.
Outline
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
• Chapter 1: Introduction
• Chapter 2: Literature review
• Chapter 3: Analysis of portfolio
• Chapter 4: Swot analysis
• Chapter 5: Hypothesis
• Chapter 6: Conclusion
Chapters layout
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
• What is the impact of growth of SWFs to financial markets, to companies? What is the impact SWF´s for
the development of national economies and host countries?
• Where are SWFs investing? Can governance structures help to explain the differences in investments across SWFs?
• Did SWFs play an important role in the subprime crisis? To what extent, are SWFs accountable for contributing to global imbalances?
Research Objectives
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
• qualitative and quantitative analysis,• comparative research, • analytic, statistical methods, • regression analysis, • SWOT analysis• the ‘Student’ t-test, Chi-test, Pearson´s coeficient,
Cramerovo V, • method of least squares MLS, analysis of variance
ANOVA• data collection instruments: primary source, secondary
source, own observation and personal judgment.
Research Methodology
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
• Deutsche Bank describes SWF´s as
“government-owned investment funds which are commonly funded by the transfer of foreign exchange assets, and which are set up to serve [their] objectives . . . By investing the funds on a long-term basis, often overseas.”
• In the view of The Sovereign Wealth Fund Institute,
SWF can be defined as “a state-owned investment fund composed of financial assets such as stocks, bonds, real estate, or other financial instruments funded by foreign exchange assets.”
Literature review
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Most importants findings of the study I.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Most importants findings of the study II.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Most importants findings of the study III.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Most importants findings of the study IV.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Swot Analysis
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Testing Hypothesis I.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Testing Hypothesis II.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Testing Hypothesis III.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Testing Hypothesis IV.
We examine whether the size of observed funds is closely related to size of investment during crisis, rate of growth of the countries, or both variables together.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Testing Hypothesis V. We examine what is the dependence of the value of observed funds on inflation rate
(quantitatively variables) and year of established, price of crude oil (qualitatively variables).
We identified differences of observed funds:
• whereas savings funds have varying proportions of equities in their portfolios including debt (fixed income),
• cash figures are typically for stabilization SWFs, • funds with stabilization objectives usually do not invest in
alternative assets.
Examples show that research opportunities:
• to try to monitor and determine their investment strategies,• the mean-variance Markowitz model is a good starting point for
deriving a stabilization SWF’s optimal SAA.
Conclusions from investment strategies
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Testing hypothesis 1 of 12 observed SWFs:
• showed an increase of SWFs in their returns during period 2008 and 2010,
• their performances in 2010 could be caused through changes in their portfolios, due the fact of implementing different asset allocations after 2008,
• as a result of hypothesis, we rejected null hypothesis, and accepted an alternative hypothesis, that means this method showed an increase, what is a statistically significant.
Conclusions from testing hypothesis I.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Testing hypothesis 2 by using Methods Student's t-distribution andTINV showed:
• that proportion of equity in asset allocations in 12 observed SWFs supposed to be between 33,17 to 54,99 percent of total portfolios at 95 percent probability,
• by using next hypothesis we may say that deviation is caused by random selection of funds in observed file Z, therefore we accepted null hypothesis, 44,08=35,21; what is not statistically significant.
Conclusions from testing hypothesis II.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Testing hypothesis 3 showed:
• that between the funds and export earnings from commodities is statistical dependence. Chi-test showed, χ2>χ2crit, 255,65>3,84; that is statistical dependence between earnings from sources of the funds and total export of countries is statistical dependence.
• by using Pearson´s coeficient we determined that dependency is 0,210x4=0,84 for our table;
• by using Cramer´s V is 0,215.
• figures confirmed weak intensity of dependence.
Conclusions from testing hypothesis III.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Testing hypothesis 4 showed:
• that by using method MLS 12,04 percent changes of fund value are attributed changes of growth rate,
• by using ANOVA and regression statistics we found that 18,96 percent of changes in value of fund may be caused by changing in growth rate and their investments during crisis.
• coeficient of investments $bn means 2,91 percent impact on value of funds,
• and GDP growth (annual %) has negative percentage of contributions for change value of fund.
Conclusions from testing hypothesis IV.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Testing hypothesis 5 by using regression statistics and ANOVAshowed that 45,35 percent of changes on value of observed funds may
Be caused by 6 variables: • by inflation,• number of years since the establishment (from 1953 to 2011), • price of crude oil (current105,90; future 130, 150), • and 54,65 percent of changes on size of funds may be caused by other variables.
• By example, seventh fund with current value 56,7($bn) supposed to have 104,31 ($bn) due to 45,35 percent impact on funds, 54,65 percent impact may be from other variables.
Conclusions from testing hypothesis V.
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012
Antonia [email protected]
May 23, 2012
Thank you for attention!
Sovereign Wealth Fundsand
their impact on international finance
Department of International Business, Paneuropean University, Bratislava, SLOVAKIA, 2012