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Retail Superannuation Management in Australia: Risk, Cost and Alpha

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  • Michael E. Drew
  • Jon D. Stanford

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://external-apps.qut.edu.au/business/documents/discussionPapers/2003/DP%20No%20126.pdf
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Bibliographic 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/economics/
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Related research

Keywords: Performance Evaluation; Superannuation Funds; Australia.;

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References

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  1. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
  2. 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.
  3. 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.
  4. Michael E. Drew & Jon D. Stanford & Pavlo Taranenko, 2001. "Hot Hands And Superannuation Fund Performance: A Second Note For Trustees," Economic Papers, The Economic Society of Australia, vol. 20(4), pages 18-25, December.
  5. 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.
  6. Michael E. Drew & Jon D. Stanford & Damien Hoffman, 2002. "Assets Under Management And Superannuation Fund Performance: A Third Note For Trustees," Economic Papers, The Economic Society of Australia, vol. 21(1), pages 80-91, 03.
  7. 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.
  8. Michael E. Drew & John Stanford, 2001. "Asset Selection And Superannuation Fund Performance: A Note For Trustees," Economic Papers, The Economic Society of Australia, vol. 20(1), pages 57-65, 03.
  9. 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.
  10. 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.
  11. 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.
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