BERLIN, GERMANY - FEBRUARY 07: German Chancellor Angela Merkel in the course of a special faction meeting, on February 07, 2018 in Berlin, Germany.

Where are we headed? Thousands of politicians and business leaders will address this question as they attend this year's World Economic Forum (WEF) in Davos, Switzerland.

Next week's gathering is taking place at a time of heightened trade disruptions, shifts in foreign policy and a climate emergency — just to name some of the main challenges facing global leadership. In the words of Davos attendee and the former Prime Minister of Finland, Alexander Stubb, there's a "new world disorder" that needs to be addressed.

"Right now, the U.S. has left power vacuums, on trade, climate, security; world leadership in general. Who's going to fulfil those vacuums?" Stubb asked during a phone interview with CNBC Monday.

The European Union (EU) has tried to be a mediator between the United States and the Middle East, attempted leadership on climate aims, and despite a more protectionist tone out of the White House, continued to back multilateral trade. However, internal divergences within the 28-member union, including on security policy, has not enabled it to drive the global agenda.

"The U.S. is playing a different power game than what we were used to," Stubb told CNBC, before adding, "I will be looking very closely to the geopolitics at Davos."