Retail Superannuation Management in Australia: Risk, Cost and Alpha, Discussion Paper No 126
Drew, Michael E. & Stanford, Jon D. (2003) Retail Superannuation Management in Australia: Risk, Cost and Alpha, Discussion Paper No 126. . [Working Paper] (Unpublished)
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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|Item Type:||Working Paper|
|Additional Information:||All correspondence to:
Associate Professor Andrew Worthington
Editor, Discussion Papers in Economic, Finance and International Competitiveness
School of Economics and Finance, Queensland University of Technology
GPO Box 2434, BRISBANE QLD 4001, Australia
|Keywords:||Performance Evaluation, Superannuation Funds, Australia|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2003 (Please consult author)|
|Deposited On:||05 Jan 2005 00:00|
|Last Modified:||10 Aug 2011 17:36|
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