Asset allocation of Australian superannuation funds: a markov regime switching approach
研究了不同规模的澳大利亚养老基金在资产类别间的转换行为，发现小基金更倾向激进配置，大基金在波动期反而追求风险，且国内股市表现优于国际股市。
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.