Asset allocation


Discussion paper

National mobilisation during war: past insights, future possibilities

Wars often arrive unexpectedly, and their nature and scope are rarely understood before they start. This paper aims to provide a structured way of thinking about mobilisation policymaking and planning that takes this inherent uncertainty into account.

Improving the performance of sovereign funds in the Pacific

This report summarises the research that has been undertaken on Sovereign Funds in the Pacific and draws out key findings, lessons and opportunities for funds to move closer to “best practice”.

Reference portfolios for sovereign funds in Pacific Island nations

Third in a series of papers on the role of Sovereign Funds (SFs) in the Pacific Islands, this report suggests a 'reference portfolio' approach as a benchmark governance choice for Pacific Island funds

The role of sovereign funds in Pacific Island nations

Sovereign Funds (SFs) are often the largest single asset owner and investor in the Pacific Islands, and the income stream from these funds can also be a large part of fiscal revenues.
Working paper

Capacity management for institutional asset owners

The management of capacity is considered from the perspective of institutional asset owners. How capacity differs across asset classes is outlined. Investment strategies that offer greater capacity are identified. A discussion of capacity management for multi-asset portfolios highlights how asset owners should manage investments according...
Working paper

Are Australian superannuation fees too high?

This report focuses on a sample of Australian superannuation funds to gain a better understanding of the factors that influences the fees that they charge. We examine how fund size, asset allocation, risk category and fund type influence investment, administration and total fees. We find...
Working paper

Superannuation fees and asset allocation

There is considerable debate about the size of fees charged by superannuation funds. This paper investigates both investment fees and administration fees and shows that there are economically valid reasons why most investment fees are set at their current level. Our results show that on...
Working paper

Superannuation fund performance and fund fees

Using a comprehensive dataset of Australian superannuation funds, we examine the relationship between investment fees and fund performance. We find that the most expensive funds produce significantly higher after-fee raw returns than the cheapest funds. The findings suggest that retirement balances will not be worse...
Working paper

Asset price bubbles in the Australian market

A study of market bubbles is generally considered a test of market eciency (or ineciency) since bubbles are concerned with rising prices that are detached from their fundamental values. Verifying the existence of such an ineciency requires us to be able to appropriately formulate fundamental...
Working paper

Global stores of value and the International role of the renminbi

We explore the conditions under which a financial asset emerges as a global store of value and can co-exist with a pre-existing (incumbent) store of value. In our model the acceptability of an asset as a global store is driven by the issuing region’s financial...
Working paper

The size, cost and asset allocation of Australian self-managed superannuation funds

Using proprietary Australian Tax Office (ATO) data, we document the size, asset allocation and expenses for a sample of 209,420 Australian self-managed superannuation funds (SMSFs) for the three years to June 2010. Two recent Government reviews have highlighted a lack of basic knowledge of the...
Working paper

MySuper: a new landscape for default superannuation funds

This report examines the Australian superannuation default fund landscape following the introduction of MySuper. The two main products are outlined – single strategy ‘balanced’ and lifecycle – including their underlying asset allocation and glide path strategies.
Working paper

Dynamic asset allocation when bequests are luxury goods

Luxury bequests impart systematic e ects of age to an investor's optimal allocation: the expected percentage allocation to equities rises throughout retirement. When bequests are luxuries the marginal utility of bequests declines more slowly than the marginal utility of consumption. This is essentially lower risk...