Risk Analysis of Pension Fund Investment Choices

35 Pages Posted: 26 Jul 2018 Last revised: 23 May 2019

See all articles by Emawtee Bissoondoyal-Bheenick

Emawtee Bissoondoyal-Bheenick

Monash University; Financial Research Network (FIRN)

Robert D. Brooks

Monash University; Financial Research Network (FIRN)

Hung Xuan Do

Massey University, Albany campus; University of Technology, Sydney

Date Written: November 11, 2018

Abstract

Using a sample of monthly asset classes from January 1990 to December 2016, we provide a comprehensive and more consistent approach to analyse and compare the risk-return relationships of Australian superannuation investment options. In estimating the risk profiles of the investment options, we allow for the movement of the asset classes over time by employing a varying coefficient panel estimation technique. We find that while risk increases across different investment options from moderate to aggressive options, using different percentages of identifying a balance fund does not impact the long-term risk measurement. We equally find that the risk-return relationships of investment options are not sensitive to the modelling framework, except for the crisis analysis, in which the Fama-French five-factor model provides greater sensitivity.

Keywords: Risk, Fama French Five factor model, Australian Superfunds, Investment options, varying coefficient panel data

JEL Classification: G11, C33

Suggested Citation

Bissoondoyal-Bheenick, Emawtee and Brooks, Robert Darren and Do, Hung Xuan, Risk Analysis of Pension Fund Investment Choices (November 11, 2018). 31st Australasian Finance and Banking Conference 2018. Available at SSRN: https://ssrn.com/abstract=3219625 or http://dx.doi.org/10.2139/ssrn.3219625

Emawtee Bissoondoyal-Bheenick

Monash University ( email )

Building H, Level 3
900 Dandenong Road
Caulfield, Victoria 3 145
Australia
+61399032957 (Phone)
+61399032422 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia 4071 Brisbane
Queensland
Australia

HOME PAGE: www.firn.org.au

Robert Darren Brooks

Monash University ( email )

Wellington Road
Clayton, Victoria 3168
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Hung Xuan Do (Contact Author)

Massey University, Albany campus ( email )

Auckland
New Zealand
+64 92136160 (Phone)
+64 92136160 (Fax)

HOME PAGE: http://www.massey.ac.nz/massey/expertise/profile.cfm?stref=972450

University of Technology, Sydney ( email )

PO Box 123
Broadway, 2007
Australia

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