Australian Investment Performance 1959 to 2013 (and Investment Assumptions for Stochastic Models)

Hundreds of articles about investment performance are published regularly in Australia with ever-increasing frequency.  Often they cover share indices or pooled funds or the larger superannuation funds and sometimes they cover a limited range of investment sectors.  The performance usually relates to the last few months or the last year, sometimes the last 3 or 5 years, very occasionally the last 10 or 20 years. 

However, the scope of Colin Grenfell's latest paper  is over twice the depth and many times wider. It covers 54 years (or 216 quarters) of Australian Investment performance for 15 sectors:

 

Growth Securities

Interest Income

Financial Indicators

Australian shares

Australian fixed interest

CPI (price inflation)

Int’l shares (unhedged)

Int’l fixed interest (hedged)

AWOTE(wage inflation)

Int’l shares (hedged)

Government semis (0-3yrs)

90-day bill rates

Property trusts

Inflation-linked bonds

10-year bond rates

Direct property

Loans/credit  (floating rate)

 

 

Cash

 

 

One objective of the paper is to help bridge the gap between the demand from actuaries and consumers for robust assumptions in respect of future investment returns across a broad range of investment sectors, and the limited supply of data readily available for many investment sectors. 


For each of the above 15 sectors, the annualised average results are tabulated and summarised and assumptions are developed for:

·         risk margins (over 10-year bond rates),

·         coefficients of variation,

·         skewness and kurtosis, and

·         cross-correlations and auto-correlations.


The paper and the presentation should provide actuaries and others with valuable inputs and information for the formulation of economic assumptions for a broad range of financial projections, valuations and forecasting/projection models. 

 

Colin Grenfell is a superannuation consultant, an Associate Director of SuperEasy Pty Ltd, a part-time Member of the Superannuation Complaints Tribunal (SCT), a trustee director of the Uniting Church in Australia Beneficiary Fund and a member of the Institute of Actuaries of Australia Superannuation Projections and Disclosure subcommittee.  He has a long-standing passion for stochastic and historical investment simulation modeling and has written five previous actuarial papers about such models.


For a copy of the paper CLICK HERE.

For further information, contact Colin Grenfell on 03 9886 1091 or colin.grenfell@supereasy.com.au