Abstract: The rate of return on investment of Norway Sovereign Wealth Fund was taken as research goal; the multiple linear regression model was built basing on the data from 2001 to 2009 of Norway Sovereign Wealth Fund with mathematical statistics theory and approach，and the influence factors were further discussed according to the analysis results. The analysis results indicate that the proportion of fixed income security investment are the most influential. Therefore we have to enhance its investment proportion，and reduce the investment on bond and Asian market，increase the control and management of market risks，then the rate of return on investment can be increased. The research results can supply theoretical support to the Sovereign Wealth Fund investment strategy.