Are SWFs official mandate informative? Evidence from behavioural clustering across economic regimes

We study the extent to which sovereign wealth funds (SWFs) behave in accordance with their legally stated mandates and how this alignment varies across macroeconomic regimes. We assemble a novel multi-source dataset that matches monthly portfolio equity for 36 SWFs over 2000–2023 with a new text-based classification of de jure mandates. Using laws, charters, reports and websites, we construct a dictionary-driven algorithm that assigns each fund to savings, stabilisation, development or hybrid categories. This data architecture allows the first large-scale comparison between legal mandates and observed investment behaviour. Applying unsupervised clustering to portfolio and activity indicators, focusing on the post-2008 period following the Santiago Principles, we identify stable behavioural groups without imposing prior labels. We document substantial and systematic misalignment between legal mandates and actual behaviour. Misalignment intensifies during economic downturns, consistent with SWFs being repurposed as contingent fiscal or macro-stabilisation instruments when pressures arise. Robustness checks confirm the stability of the behavioural taxonomy. Overall, SWFs appear to operate less as rule-based long-term investors and more as adaptive state instruments, raising new questions about mandate credibility, accountability and the governance of public financial institutions.