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

Emawtee Bissoondoyal-Bheenick, Robert Brooks and Hung Do ()
Additional contact information
Emawtee Bissoondoyal-Bheenick: RMIT University
Hung Do: Massey University

Annals of Operations Research, 2023, vol. 330, issue 1, No 18, 485-515

Abstract: Abstract We 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.

Keywords: Superannuation investment strategies; Asset allocation; Switching; Performance (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10479-022-04741-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:330:y:2023:i:1:d:10.1007_s10479-022-04741-0

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-022-04741-0

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().