Portfolio management

ALTERNATIVE LABELS
Portfolio construction
Portfolio holdings
Guide

An Australian social housing best practice asset management framework

This guide provides a simplified generic asset management framework (AMF) intended for use by social housing organisations (SHOs) seeking to bring their asset management into line with best practice.
Report

Towards an Australian social housing best practice asset management framework

Social housing is a distinct asset sub-class with unique asset management (AM) challenges. This research examines social housing asset management in Australia and develops a best practice framework that outlines AM processes and criteria for making decisions.
Working paper

Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

An effective portfolio disclosure regime must balance both its costs and benefits across the entire financial services industry. This study examines a number of disclosure regimes with respect to accuracy and susceptibility to copycat behaviour in an environment absent of mandatory disclosure. We find that...
Working paper

MySuper vs. KiwiSaver: Retirement Saving for the Less Engaged

Australia’s MySuper default superannuation funds are compared against New Zealand’s range of KiwSaver funds. Some key points of contrast include: the relative maturity and larger balances of the Australian system; the majorityof MySuper providers are not for profit, whereas KiwiSaver is dominated by for profit...
Working paper

Performance evaluation for long term investors

A performance evaluation approach is developed to support long-term investment programs, where asset selection is based on the internal rate of return estimated with reference to long-term cash flows.
Working paper

How much does tax erode fund alpha?

We model the tax drag from active funds management by simulating portfolios based on reported monthly holdings of 207 active Australian equity funds between July 2000 and December 2010, and then compare both pre-tax- and after-tax fund returns versus those for passive indices modeled under...
Working paper

Global equity fund performance: an attribution approach

We use portfolio holdings data to examine the performance of 143 global equity funds over the period 2002 to 2012. We find that the average global equity manager outperforms their benchmark by 1.2% to 1.4% per annum before fees. Attribution analysis reveals that the prime...
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...
Report

Wealth holdings and portfolio allocation of older couples: the role of spouses' marital history

Aydogan Ulker analyses the role of the elderly couples' past marital history in determining their current wealth holdings and portfolio allocation using data from the first wave of the Health and Retirement Study. The results suggest that, while the net cost of divorce in terms...