The diversification and performance of self managed superannuation funds

Article

Phillips, Peter J., Cathcart, Alex and Teale, John. 2007. "The diversification and performance of self managed superannuation funds." The Australian Economic Review. 40 (4), pp. 339-352. https://doi.org/10.1111/j.1467-8462.2007.00475.x
Article Title

The diversification and performance of self managed superannuation funds

ERA Journal ID18190
Article CategoryArticle
AuthorsPhillips, Peter J. (Author), Cathcart, Alex (Author) and Teale, John (Author)
Journal TitleThe Australian Economic Review
Journal Citation40 (4), pp. 339-352
Number of Pages14
Year2007
Place of PublicationMelbourne, Australia
ISSN0004-9018
1467-8462
Digital Object Identifier (DOI)https://doi.org/10.1111/j.1467-8462.2007.00475.x
Web Address (URL)http://onlinelibrary.wiley.com/doi/10.1111/j.1467-8462.2007.00475.x/pdf
Abstract

In this article we examine the diversification and performance of a small preliminary sample of Australian self-managed superannuation (retirement) funds (SMSFs). Using the single index model and traditional (risk-adjusted) performance measures within the context set by modern portfolio theory we find that the SMSFs in our sample exhibit considerable under-diversification. In addition, we find that the SMSFs do not appear to be benefiting from even naive diversification and, unsurprisingly, perform poorly on a risk-adjusted basis vis-à-vis the unmanaged S&P/ASX300 index. This empirical investigation contributes to economists' understanding of the microeconomic structure of this increasingly important component of Australia's retirement income stream.

Keywordsself-managed superannuation funds; SMSF; retirement funds
ANZSRC Field of Research 2020350204. Financial institutions (incl. banking)
520402. Decision making
380107. Financial economics
Public Notes

File reproduced in accordance with the copyright policy of the publisher/author.

Byline AffiliationsSchool of Accounting, Economics and Finance
Queensland Treasury, Australia
University of the Sunshine Coast
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