Portfolio Management Practices in Sovereign Wealth Fund. International Diversification at the Norwegian Government Pension Fund and the Implications for Russia

      Аннотация: The concept of the sovereign fund as strong financial instrument which serves for stability of the country’s financial system is realized in Norway under the framework of the Norwegian Government Pension Fund. The pension oil fund is managed by Norges Bank, the national bank of Norway, and has its own original investment strategy. The author makes the profound research on the investment strategy of pension oil fund, giving the insight on the international portfolio diversification and risk exposure of the investment portfolio. First, the management structure and portfolio diversification of the fund are covered, followed by the insight into the active and passive strategy performance. More detailed analysis is given to understanding of the fund’s risk profile, including the analysis of the risk exposure by means of regression models. As the result of Norwegian experience the unique implications are given to the Russian sovereign wealth fund, the similar fiscal and investment government instrument in Russia.

Ключевые слова: Portfolio Management, Pension fund, international portfolio diversification, active portfolio, passive portfolio, sovereign fund, Norwegian Government Pension Fund, Russian National Wealth Fund, Investment Strategy