Purpose The purpose of this paper is to explore and evaluate the main segments of existing empirical literature related to Sovereign Wealth Funds (SWFs) and provide a thorough investigation of their research questions, theoretical frameworks, data selections and research methodologies. Design/methodology/approach The literature on SWFs has been split into three main streams: qualitative studies with theoretical contributions aiming to conceptualize the phenomenon of SWFs; normative assessments of the optimal asset allocations of SWFs; and empirical works that aim to investigate different perspectives of SWFs. The paper attempts to review the state of existing literature relating to these areas by answering specific questions. Findings Despite their significant size and potential impact, the literature on SWFs seems to be still in its infancy. The paper collects insights from previous literature, addresses its difficulties and challenges. Research limitations/implications The characteristics of the previous empirical literature and the challenges facing this line of research offer an insightful thought for the future research works in this topic. Originality/value The paper offers a thorough assessment of the existing empirical research on SWFs and shade some light on the techniques and procedures used.