CIC's Chairman said the fund had changed its tactics in 2012, though he didn't elaborate.
"We had to change our tactics because we observed more volatility in the market - especially volatility that is created by policies and this really hampered the return prospects," Jiwei added.
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The company has also expanded into the private equity sector over the last two years in a strategy to achieve higher returns and take direct stakes in companies. It doubled its investment in private equity, direct investments and hedge funds in 2011 to 43 percent of its portfolio, compared with 2010.
The chief executive said that the U.K and Canada were the most welcoming of Chinese investment, "but the U.S. is not the same."
Europe, which had once "resisted" foreign investment, had changed its tune as its circumstances had worsened, Jiwei told CNBC. Indeed, Europe has assiduously courted Chinese investment of late, with the French finance minister being the latest emissary to Beijing to drum up Chinese investments.
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CIC has invested heavily in Europe but in mid-2012 stopped buying European government debt on concerns over the euro zone financial crisis and began focusing more on private equity and infrastructure projects to boost returns.
According to recent reports, CIC has shown an interest in buying a stake in German carmaker Daimler, though Daimler has refused to comment on "media speculation" over a deal.
Buying a stake in the automobile maker would further solidify CIC's strategy of making direct investments in European companies, rather than invest in the region's sovereign bonds.