Asset allocation of Australian superannuation funds: a markov regime switching approach

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dc.citation.issue1-2
dc.citation.volume330
dc.contributor.authorBissoondoyal-Bheenick E
dc.contributor.authorBrooks R
dc.contributor.authorDo H
dc.date.accessioned2024-04-17T01:48:51Z
dc.date.accessioned2024-07-25T06:41:35Z
dc.date.available2022-05-05
dc.date.available2024-04-17T01:48:51Z
dc.date.available2024-07-25T06:41:35Z
dc.date.issued2023-11-01
dc.description.abstractWe extend an observable Markov Regime Switching framework to assess the switching behaviour of asset classes of Australian superannuation funds across different fund sizes. We identify the most prominent asset class which contributes to the performance of the investment options and what factors trigger funds’ decisions on rebalancing their portfolio. We find that smaller funds tend to be more active in switching to aggressive options and the larger funds are more conservative. However, in periods of volatility, the large funds are the risk seekers and tend to switch their asset classes and hence their investment strategies. The asset classes whose values add to the performance of the investment options are equity markets and bond markets with the domestic equity market having better performance than international equity market. The switch for the larger funds is driven by volatility of the equity market.
dc.description.confidentialfalse
dc.edition.editionNovember 2023
dc.format.pagination485-515
dc.identifier.citationBissoondoyal-Bheenick E, Brooks R, Do H. (2023). Asset allocation of Australian superannuation funds: a markov regime switching approach. Annals of Operations Research. 330. 1-2. (pp. 485-515).
dc.identifier.doi10.1007/s10479-022-04741-0
dc.identifier.eissn1572-9338
dc.identifier.elements-typejournal-article
dc.identifier.issn0254-5330
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/70693
dc.languageEnglish
dc.publisherSpringer Nature
dc.publisher.urihttps://link.springer.com/article/10.1007/s10479-022-04741-0
dc.relation.isPartOfAnnals of Operations Research
dc.rightsCC BY 4.0
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectSuperannuation investment strategies
dc.subjectAsset allocation
dc.subjectSwitching
dc.subjectPerformance
dc.titleAsset allocation of Australian superannuation funds: a markov regime switching approach
dc.typeJournal article
pubs.elements-id453339
pubs.organisational-groupOther
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