The Diversification and Performance of Self-Managed Superannuation Funds

P J Phillips; Alex Cathcart; John Teale

doi:10.1111/j.1467-8462.2007.00475.x

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The Diversification and Performance of Self-Managed Superannuation Funds

Journal article

Open access

Peer reviewed

The Diversification and Performance of Self-Managed Superannuation Funds

P J Phillips, Alex Cathcart and John Teale

Australian Economic Review, Vol.40(4), pp.339-352

2007

DOI: https://doi.org/10.1111/j.1467-8462.2007.00475.x

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Abstract

self managed superannuation funds

superannuation

diversification

finance

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-Ã -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.

Details

Title: The Diversification and Performance of Self-Managed Superannuation Funds
Authors: P J Phillips (Author) - University of Southern Queensland
Alex Cathcart (Author) - Queensland Treasury
John Teale (Author) - University of the Sunshine Coast - Faculty of Business
Publication details: Australian Economic Review, Vol.40(4), pp.339-352
Publisher: Wiley-Blackwell Publishing Asia
Date published: 2007
DOI: 10.1111/j.1467-8462.2007.00475.x
ISSN: 0004-9018
Copyright note: Copyright © 2007 Wiley-Blackwell Publishing Asia. This is the accepted version of the following article: Phillips, P. J., Cathcart, A. and Teale, J. (2007), The Diversification and Performance of Self-Managed Superannuation Funds. Australian Economic Review, 40: 339-352. doi:10.1111/j.1467-8462.2007.00475.x, which has been published in final form at http://dx.doi.org/10.1111/j.1467-8462.2007.00475.x
Organisation Unit: University of the Sunshine Coast, Queensland
Language: English
Record Identifier: 99449655402621
Output Type: Journal article

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