Analysis of sources of assets of the national fund of Kazakhstan and assessment of its efficiency

Abstract

The article examines the assets of the national fund of Kazakhstan and its dynamics from 2005 to 2020, analyzes the sources of its formation and evaluates the effectiveness of the use of assets. The main sources for the formation of the fund’s assets are direct taxes from organizations in the oil sector and investment income from management. Since 2016, the funds of the national fund in the form of aggregate transfers have already been used and directed to support the country’s economy in the face of an unfavorable price environment for commodities. To assess the performance of the fund and its effectiveness from 2001 to 2020, we calculated such indicators as accumulated profitability, arithmetic and geometric mean returns, portfolio standard deviation, variation coefficient, average risk premium, Sharpe ratio. The key indicators of risk and return of the fund’s foreign exchange portfolio are also compared with the indicators of the Norwegian oil fund. As a result of the comparison, valuable recommendations and conclusions were made on the structure of the fund’s portfolio. The Fund needs to gradually increase the share of investments in risky financial instruments such as shares of foreign companies in order to increase the overall return of the fund. The total transfers of the fund in relation to GDP for the last 10 years have been estimated and the forecast for the size of the fund at the end of 2022 has been made. The size of the fund is still at a sufficient level and is a reliable safety cushion for the economy of Kazakhstan during periods of adverse external factors