An econometric investigation of technical analysis as a portfolio selection strategy in Australia. This project will provide an in-depth analysis of the returns of portfolios of Australian equities formed by using technical trading rules. The research will determine whether or not any abnormal returns earned by these means are attributable to firm-specific or market-wide factors. This project represents the first attempt to interpret technical analysis in a portfolio framework and will provide v ....An econometric investigation of technical analysis as a portfolio selection strategy in Australia. This project will provide an in-depth analysis of the returns of portfolios of Australian equities formed by using technical trading rules. The research will determine whether or not any abnormal returns earned by these means are attributable to firm-specific or market-wide factors. This project represents the first attempt to interpret technical analysis in a portfolio framework and will provide valuable information on the informational efficiency of Australian capital markets. As there is currently no single definitive study of technical analysis in Australia, this project will fill a significant void in the current academic literature and provide evidence of great practical relevance to Australian investment practitioners.Read moreRead less
The Management of Asymmetric Risk in a Modern Investment Portfolio. Due to compulsory superannuation legislation, the future lifestyle of all Australians is dependent upon the successful management of investment funds. A large component of funds management is risk management. This project will generate practical management tools to enable portfolio managers to significantly enhance their risk-management strategies. A direct link between risk management and performance drives funds managers to ....The Management of Asymmetric Risk in a Modern Investment Portfolio. Due to compulsory superannuation legislation, the future lifestyle of all Australians is dependent upon the successful management of investment funds. A large component of funds management is risk management. This project will generate practical management tools to enable portfolio managers to significantly enhance their risk-management strategies. A direct link between risk management and performance drives funds managers to carefully manage their risk exposure. Any developments that reduce the risk of a portfolio will ultimately enhance portfolio returns. Higher returns on superannuation investments will result in an improved future standard of living for all Australians.Read moreRead less
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