Report: Gulf Sovereign Funds Lost Big

The UAE's Abu Dhabi-based funds appear to be the biggest losers. Setser and Ziemba estimate that ADIA and a far smaller fund created to focus on domestic investments held a combined $328 billion at the end of 2008 -- a considerable decline from the estimated $453 billion they held a year earlier.

Some widely quoted estimates over the past year and a half have valued ADIA's holdings at up to $875 billion, making it by far the world's biggest sovereign wealth fund.

The emirate's ruler, who is also president of the UAE, has sought to downplay such figures, however, telling a Lebanese newspaper last year that such estimates were exaggerated.

The authors of Wednesday's study agree.

"Published estimates that ADIA ... managed almost $900 billion before the recent market slump almost certainly overstate ADIA's true size," they wrote.

Sovereign wealth funds drew increased scrutiny as their holdings -- until recently -- ballooned on the back of rising energy prices and investment returns. A number of funds from the Gulf and elsewhere stepped in to help ailing banks as the financial crisis picked up steam.

ADIA, for example, agreed to pump $7.5 billion in Citigroup (C Quote) in November 2007. The Kuwait Investment Authority took large stakes in Citi and Merrill Lynch.

Citi is now dismantling itself. Its shares are trading about 80% below where they were when ADIA made its investment. Merrill agreed to sell itself to Bank of America Corp. in September for a fraction of the value it was worth when Kuwait took a stake.