Alternative assets – a new challenge to property? An analysis of superannuation funds

IF 0.8 Q3 Economics, Econometrics and Finance Pacific Rim Property Research Journal Pub Date : 2016-05-03 DOI:10.1080/14445921.2016.1203722
W. Reddy
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引用次数: 4

Abstract

Abstract Leading Australian superannuation funds now have major exposure of approximately 20% to a sector classified as alternative assets. Within this sector, there are infrastructure products, which have similar characteristics to property. Thus, an ongoing debate on whether alternatives can replicate the performance of property in mixed-asset portfolios. This research examines the diversification benefits of property, infrastructure, private equity, hedge funds and commodities within two-asset and multi-asset optimisation portfolios. It uses ex-post data (1995–2015), from A$431 billion industry superannuation funds balanced portfolio. The methodology also involves substituting smoothed with desmoothed property data to detect any subsequent change in property allocation levels. The results from the two-asset portfolios illustrate that including infrastructure, hedge funds and private equity in the direct property portfolio provides high risk-adjusted returns (.45–.51), although portfolio weight is dominated by direct property. Analysis on multi-asset portfolios clearly shows that substituting smoothed property with desmoothed property data is insignificant to both industry fund performance and its weighting to property. Despite similar asset allocation range assigned to property and infrastructure (0–20%), infrastructure allocation was 3%, lower than property (13%). Strong allocations to property highlight its significance in institutional portfolios, even with the availability of similar alternative assets. For industry superannuation funds, the empirical results show that allocation to property can be higher than current 10%, backed by improved portfolio risk-adjusted returns. The research contributes to both practical and academic fields as it offers a methodological approach on how allocation to property assets can be improved using a series of asset allocation strategies.
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另类资产——对房地产的新挑战?对退休基金的分析
澳大利亚领先的养老基金现在有大约20%的主要风险敞口被归类为另类资产。在这个行业中,有基础设施产品,与房地产具有相似的特征。因此,关于另类投资是否可以复制混合资产投资组合中房地产的表现的争论正在进行。本研究考察了房地产、基础设施、私募股权、对冲基金和大宗商品在双资产和多资产优化投资组合中的多元化效益。它使用了事后数据(1995-2015),来自4,310亿澳元的行业养老基金平衡投资组合。该方法还涉及将平滑的财产数据替换为平滑的财产数据,以检测财产分配水平的任何后续变化。两种资产组合的结果表明,在直接房地产投资组合中包括基础设施、对冲基金和私募股权提供了高的风险调整回报(0.45 - 0.51),尽管投资组合权重主要由直接房地产主导。对多资产组合的分析清楚地表明,用平滑的房地产数据代替平滑的房地产数据对行业基金的业绩和其在房地产中的权重都不显著。尽管分配给房地产和基础设施的资产配置范围相似(0-20%),但基础设施的配置比例为3%,低于房地产(13%)。对房地产的大量配置凸显了其在机构投资组合中的重要性,即使存在类似的另类资产。对于行业养老基金而言,实证结果表明,在投资组合风险调整后回报率提高的支持下,房地产配置可以高于目前的10%。该研究对实践和学术领域都有贡献,因为它提供了一种方法方法,说明如何使用一系列资产配置策略来改善房地产资产的配置。
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来源期刊
CiteScore
1.10
自引率
0.00%
发文量
6
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