Retail Superannuation Management in Australia: Risk, Cost and Alpha
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.
|Date of creation:||20 Jan 2003|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.bus.qut.edu.au/faculty/economics/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
When requesting a correction, please mention this item's handle: RePEc:qut:dpaper:126. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Fletcher)
If references are entirely missing, you can add them using this form.