The killing of Saudi journalist Jamal Khashoggi is "a terrible tragedy," the chief executive of Russia's $10 billion sovereign wealth fund told CNBC, but added that it should be separated from the Saudi leadership and the kingdom's economic potential.

"There is an investigation and the responsible people will, I'm sure, be punished," Kirill Dmitriev, CEO of the Russia Direct Investment Fund (RDIF), told CNBC's Hadley Gamble in Riyadh Tuesday.

"But for us, it's important to recognize that Saudi Arabia has made a great transformation over the last three, four years under the leadership of the King (Salman) and Crown Prince Mohammed bin Salman," he said.

Dmitriev said RDIF supported the crown prince's economic reform program, Vision 2030, and said he thought it was "important to send a supportive message" to the reforms and to the kingdom.

"Yes, it was a terrible tragedy but we need to separate one from another," he said, speaking to CNBC from the Future Investment Initiative (FII) in the capital of Saudi Arabia. The investment forum kicked off on Tuesday despite a large number of high profile delegates pulling out from the event following the death of Jamal Khashoggi on October 2.

The Saudi journalist was a well-known critic of Saudi Crown Prince Mohammed bin Salman and died within the Saudi consulate in Istanbul.