Report: Gulf Sovereign Funds Lost Big

Determining the true value of sovereign funds is difficult because they disclose few details of their holdings.

Setser and Ziemba acknowledge that their calculations -- based on estimates of oil revenue and portfolio holdings -- could be off because of the lack of transparency.

They note, however, that their findings are in line with losses for other large investors, such as Norway's government pension fund and Harvard University's endowment.

"It is hard to see how the Gulf sovereign funds avoided similar losses," they wrote.