Hedge Funds in Superannuation Portfolios: Are the Returns Worth the Risks? In recent years superannuation funds have delivered negative returns to members due to poorly performing stockmarkets. In striving to achieve higher rates of return, superannuation trustees have commenced allocating retirement savings to a new type of investment opportunity, termed hedge funds. There is a paucity of research about this new type of investment, particularly relating to the non-linear nature of hedge funds ....Hedge Funds in Superannuation Portfolios: Are the Returns Worth the Risks? In recent years superannuation funds have delivered negative returns to members due to poorly performing stockmarkets. In striving to achieve higher rates of return, superannuation trustees have commenced allocating retirement savings to a new type of investment opportunity, termed hedge funds. There is a paucity of research about this new type of investment, particularly relating to the non-linear nature of hedge funds returns. This study will investigate the risk and return trade-off of including hedge funds in superannuation portfolios and provide trustees with empirical tools to determine the optimal allocation to hedge funds.Read moreRead less
Cycles and Size: Long Term Valuation and Investment Performance. This project will significantly enhance our understanding of the cyclical variation in the returns and volatility of size-related equity classes. A better understanding of these cyclical phenomena may also lead to improvements in the asset allocation process, in particular the investment in medium- and
small-sized enterprise shares. The current neglect by analysts and reluctance of institutional investors to research and invest in ....Cycles and Size: Long Term Valuation and Investment Performance. This project will significantly enhance our understanding of the cyclical variation in the returns and volatility of size-related equity classes. A better understanding of these cyclical phenomena may also lead to improvements in the asset allocation process, in particular the investment in medium- and
small-sized enterprise shares. The current neglect by analysts and reluctance of institutional investors to research and invest in this sizable market segment offers significant opportunities for linkage research. This project will focus on the valuation, (il)liquidity, and macroeconomic sources of momentum profits as they related to the economic cycle, across the size spectrum.
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Developing a robust model for pricing inter-related volatility-based financial derivative contracts. Volatility-based financial contracts were developed in the late 1990s to provide an easy way for investors to gain exposure to the future level of volatility and thus provide a means by which they could speculate on its future levels and also hedge unpredictable volatility risk. This would potentially save them from losing vast quantities of money. However these products can only be efficient pr ....Developing a robust model for pricing inter-related volatility-based financial derivative contracts. Volatility-based financial contracts were developed in the late 1990s to provide an easy way for investors to gain exposure to the future level of volatility and thus provide a means by which they could speculate on its future levels and also hedge unpredictable volatility risk. This would potentially save them from losing vast quantities of money. However these products can only be efficient products for trading and risk management if they are priced correctly. This project will benefit investors by providing empirically viable models that will be able to be easily implemented to provide accurate and fast pricing solutions.Read moreRead less
An Examination of Strategic Investment Arrangements for Institutional Investors: The Case for Centralised Portfolio Management. The aim of this project is to examine the extent to which Australian superannuation funds are able to enhance their overall returns, achieve investment objectives, and minimise operating costs incurred. This will be achieved by examining the benefits of centralised portfolio management for superannuation funds, and consideration of how active and index management can be ....An Examination of Strategic Investment Arrangements for Institutional Investors: The Case for Centralised Portfolio Management. The aim of this project is to examine the extent to which Australian superannuation funds are able to enhance their overall returns, achieve investment objectives, and minimise operating costs incurred. This will be achieved by examining the benefits of centralised portfolio management for superannuation funds, and consideration of how active and index management can be utilised within the overall fund structure. We will show the problems associated with the current portfolio configuration system adopted by super funds, and to identify areas where more optimal investment arrangements can significantly improve overall portfolio returns and reduce expenses.Read moreRead less
Modelling stock market liquidity in Australia and the Asia Pacific Region. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, ....Modelling stock market liquidity in Australia and the Asia Pacific Region. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, and will be calibrated and evaluated statistically. The novel methods will be crucial to market participants and to regulators, who will be able to apply them to assess market depth and liquidity, and reduce trading costs substantially.Read moreRead less
What Is the Optimal Level of Transparency and Should Off-Market Block Trading exist in Futures Markets? The aims of this project are twofold; to assess (i) what level of transparency is optimal and (ii) whether off-market block trading should be allowed in futures markets. Transparency refers to how much of the trading process is made visible to participants. The issue has been researched only very recently and findings have been limited. Off-market block trading procedures allow large trades ....What Is the Optimal Level of Transparency and Should Off-Market Block Trading exist in Futures Markets? The aims of this project are twofold; to assess (i) what level of transparency is optimal and (ii) whether off-market block trading should be allowed in futures markets. Transparency refers to how much of the trading process is made visible to participants. The issue has been researched only very recently and findings have been limited. Off-market block trading procedures allow large trades to be executed away from the market. This project will undertake the first study of large trades on futures markets and will also compare the impact of large trades on market quality when executed on- and off-market.Read moreRead less
Integrated Financial Fraud Detection in Enterprise Applications. Fraud costs the Australian economy at least $3 billion per year. The incidence of fraud within the Australian economy is increasing. Australian entities are ill-prepared to detect and prevent fraud against their businesses with very few developing or implementing any form of fraud control strategy (AS 8001-2003). The growing use of the Internet by organisations for electronic commerce increases their exposure to fraudulent activiti ....Integrated Financial Fraud Detection in Enterprise Applications. Fraud costs the Australian economy at least $3 billion per year. The incidence of fraud within the Australian economy is increasing. Australian entities are ill-prepared to detect and prevent fraud against their businesses with very few developing or implementing any form of fraud control strategy (AS 8001-2003). The growing use of the Internet by organisations for electronic commerce increases their exposure to fraudulent activities. Inevitably much of the cost of fraud is passed on to the customers and the community at large. By providing large organisations with an approach to assist in detecting fraudulent behaviour in accounting systems, it is envisaged that this research will assist in reducing the impact of fraud on society.Read moreRead less
Risk Measurement for Large Portfolios under the Benchmark Approach. The measurement of risk for large portfolios, consisting of basic assets and derivatives, will play a key role in future risk management systems. Based on a new characterization of asymptotic portfolios this project proposes the development, implementation and testing of highly efficient new risk measurement methodologies suitable for portfolios with hundreds or thousands of instruments. Comparisons with standard and new simulat ....Risk Measurement for Large Portfolios under the Benchmark Approach. The measurement of risk for large portfolios, consisting of basic assets and derivatives, will play a key role in future risk management systems. Based on a new characterization of asymptotic portfolios this project proposes the development, implementation and testing of highly efficient new risk measurement methodologies suitable for portfolios with hundreds or thousands of instruments. Comparisons with standard and new simulation methods will demonstrate their superiority. The outcomes of this project will give the Australian industry and the industry partner a competitive advantage in the measurement and management of risk for large portfolios as superannuation funds or portfolios of banks.Read moreRead less
The contribution of the private equity and venture capital industry to the Australian economy and society. This study enables the priority goal of promoting an innovation culture and economy through research, by assessing the contribution of private equity investment in dynamic firms and evaluating industry practices. It guides the industry body (AVCAL) and the Government in formulating private equity and venture capital policy and initiatives to stimulate innovation and success in the Australia ....The contribution of the private equity and venture capital industry to the Australian economy and society. This study enables the priority goal of promoting an innovation culture and economy through research, by assessing the contribution of private equity investment in dynamic firms and evaluating industry practices. It guides the industry body (AVCAL) and the Government in formulating private equity and venture capital policy and initiatives to stimulate innovation and success in the Australian economy. The results allow the assessment of the success of the government programs and assists the private equity industry in quantifying its effectiveness in stimulating economic growth. Further, the study assists entrepreneurial firms developing innovative concepts, in understanding the benefits of seeking venture capital support in Australia.Read moreRead less
Experiments in the Dynamics of Preference and Choice in an Evolving Social Network. This project offers revolutionary insight into the process by which social leaders emerge and leadership evolves over time. The project improves the understanding of how decisions are made individually and at group levels with important implications for commerce, marketing, and policy. Project results foster managing network development and evolution, allowing firms and government agencies to understand how they ....Experiments in the Dynamics of Preference and Choice in an Evolving Social Network. This project offers revolutionary insight into the process by which social leaders emerge and leadership evolves over time. The project improves the understanding of how decisions are made individually and at group levels with important implications for commerce, marketing, and policy. Project results foster managing network development and evolution, allowing firms and government agencies to understand how they can use networks to disseminate information to consumers and individual citizens. The results will also inform the development of regulations targeting reductions in herding where such behaviour can cause harmful market disruptions.Read moreRead less