I'm no expert but I have had a SMSF and closed it down after 5 years. From memory you are required to convert all holdings into cash as a part of the wind down process and then transfer funds into another industry Super. Given your age, there maybe other options.
I was unable to transfer any share holdings into my SMSF when I set up the fund so I'm not sure the reverse would be allowed. I was with e-super, low fees and clear instructions on how to manage, the only catch, you are required to carry out most of the compliance leg work.
