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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 [Working Paper] (Unpublished)

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.

Impact and interest:

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487 since deposited on 05 Jan 2005
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ID Code: 317
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 Email: a.worthington@qut.edu.au
Keywords: Performance Evaluation, Superannuation Funds, Australia
ISSN: 1324-5910
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
Last Modified: 11 Aug 2011 03:36

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