On March 13, 2009, Sabia was named chief executive of Caisse de dépôt et placement du Québec (CDPQ), succeeding Fernand Perrault. At CDPQ, he was both president and CEO. On February 15, 2017, CDPQ announced that Sabia's mandate as president and CEO was renewed until March 31, 2021. "Bloomberg" said in 2019 that "under Sabia's tenure, the Caisse dove into international markets. About 64% of the fund, which manages the pension savings for the province of Quebec, is now in global markets versus 36% in 2009."