The diversification and performance of self managed superannuation funds

Phillips, Peter J. and Cathcart, Alex and Teale, John (2007) The diversification and performance of self managed superannuation funds. Australian Economic Review, 40 (4). pp. 339-352. ISSN 0004-9018

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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.

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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Author's final manuscript deposited in accordance with the copyright policy of the publisher. Author Posting. © Phillips, P.J., Cathcart, A. and Teale, J. 2007 This is the author's version of the work. It is posted here by permission of the authors for personal use, not for redistribution. The definitive version was published in Australian Economic Review, Vol.40, Issue 4, pp.339-352.
Faculty / Department / School: Historic - Faculty of Business - School of Accounting, Economics and Finance
Date Deposited: 17 Jan 2008 02:47
Last Modified: 02 Jul 2013 22:57
Uncontrolled Keywords: self-managed superannuation funds; SMSF; retirement funds
Fields of Research : 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150203 Financial Institutions (incl. Banking)
17 Psychology and Cognitive Sciences > 1702 Cognitive Sciences > 170202 Decision Making
14 Economics > 1402 Applied Economics > 140207 Financial Economics
Socio-Economic Objective: B Economic Development > 90 Commercial Services and Tourism > 9001 Financial Services > 900103 Superannuation and Insurance Services
Identification Number or DOI: 10.1111/j.1467-8462.2007.00475.x

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