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Retail Superannuation Management in Australia: Risk, Cost and Alpha

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Author Info
Michael E. Drew
Jon D. Stanford

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Abstract

In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the relationship between cost (specifically, the management expense ratio) and performance? The answers from this study are as follows: as an industry, managers failed to achieve returns proportionate to the market portfolio for the period 1991 through 1999 on a risk-adjusted basis. The study provides evidence that an inverse relationship between cost and return exists, with funds levying the lowest management expense ratios delivering the highest within sample returns.

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File URL: http://www.bus.qut.edu.au/faculty/schools/economics/documents/discussionPapers/2003/DP%20No%20126.pdf
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Publisher Info
Paper provided by School of Economics and Finance, Queensland University of Technology in its series School of Economics and Finance Discussion Papers and Working Papers Series with number 126.

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Date of creation: 20 Jan 2003
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Handle: RePEc:qut:dpaper:126

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Postal: GPO Box 2434, BRISBANE QLD 4001
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Web page: http://www.bus.qut.edu.au/faculty/schools/economics/
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Related research
Keywords: Performance Evaluation; Superannuation Funds; Australia.;

Find related papers by JEL classification:
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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  1. Brown, Kerry & Gallery, Gerry & Gallery, Natalie, 2002. "Informed Superannuation Choice: Constraints and Policy Resolutions," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 32(1), pages 71-90, March. [Downloadable!]
  2. Bateman, Hazel, 2002. "Retirement Income Strategy in Australia," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 32(1), pages 49-70, March. [Downloadable!]
  3. Drew, Michael E. & Stanford, Jon D., 2001. "The Impact of Fund Attrition on Superannuation Returns," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 31(1), pages 25-32, March. [Downloadable!]
  4. Basu, S, 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis," Journal of Finance, American Finance Association, vol. 32(3), pages 663-82, June. [Downloadable!] (restricted)
  5. Drew, Michael E. & Stanford, Jon D. & Veeraraghavan, Madhu, 2002. "Efficiency with Costly Information: A Study of Australian Wholesale Superannuation Fund Performance," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 32(1), pages 35-47, March. [Downloadable!]
  6. Michael E. Drew & Jon D. Stanford, 2002. "The Economics of Choice of Superannuation Fund," School of Economics and Finance Discussion Papers and Working Papers Series 102, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  7. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March. [Downloadable!] (restricted)
  8. William F. Sharpe, 1965. "Mutual Fund Performance," Journal of Business, University of Chicago Press, vol. 39, pages 119. [Downloadable!]
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