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Risk Analysis of Pension Fund Investment Choices |
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| Authors: | Emawtee Bissoondoyal-Bheenick Robert Brooks Hung Xuan Do |
| Affiliation: | 1. School of Economics, Finance and Marketing, College of Business, RMIT University, Melbourne, Australia;2. Department of Econometrics and Business Statistics, Monash Business School, Melbourne, Australia;3. School of Economics and Finance, Massey University, New Zealand International School, Vietnam National University, Hanoi, Vietnam |
| Abstract: | We provide a comprehensive and more consistent approach to analyse and compare the risk-return relationships of Australian superannuation investment options for the period January 1990 to December 2016. 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 balanced 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: | Australian superannuation funds Fama-French Five-factor model Investment options Risk Varying coefficient panel data |