There are multiple types of sovereign wealth fund associated with taxes on resource extraction. The type you see in Norway is used to shelter the economic diversity, currency, and labor force from the steamrolling impact of the extractive industry. The type you see in Saudi Arabia, which has no such diversity and where basically all employment is tied to oil through few degrees of separation, is basically a slush fund for long-term infrastructure projects that would not otherwise be approved because of their size in relation to the secular economy, whether those are profit-generating enterprises like harbors or not-for-profit ones like roads.

Both aim to take today's windfall and spend it on something other than hookers and blow.

Norway still does have some totally unjustifiable passion projects, like the coastal highway it's building, but it's doing this from general funds to keep the wealth fund separately managed as a giant pile of investment money that just happens to belong to an investor called 'Norway', while in Saudi Arabia it is an instrument of policy.

I think the thesis is it's not solely about returns. Get a 7% return investing a dollar domestically, plus add a taxable dollar to economy (and some recurring benefit to tax base) beats getting a 9% one-time return investing internationally.