The recent global financial crisis has significantly affected sovereign wealth funds’ (SWFs’) financial performance and their investment activities. The crisis shed a new light on SWFs’ objectives and priorities. SWFs need to review critically their strategic asset allocation (SAA) within a sovereign asset and liability management (ALM) framework, and their assets should be analyzed over complete economic cycles including market turbulences. The crisis raises also the question of whether some of the underlying objectives of the Santiago Principles—maintaining a stable global financial system and maximizing financial returns—are perhaps conflicting. We argue that any conflict was from a wrong interpretation of the principles, not from the principles themselves. Ultimately, stable financial markets are in each SWF’s self interest, also from a narrow financial perspective. In this respect, financial stability and financial risk/return can be mutually reinforcing objectives rather than conflicting.