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The Diversification and Performance of Self‐Managed Superannuation Funds
Author(s) -
Phillips Peter J.,
Cathcart Alex,
Teale John
Publication year - 2007
Publication title -
australian economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.308
H-Index - 29
eISSN - 1467-8462
pISSN - 0004-9018
DOI - 10.1111/j.1467-8462.2007.00475.x
Subject(s) - diversification (marketing strategy) , portfolio , index (typography) , sample (material) , business , economics , actuarial science , financial economics , marketing , computer science , chemistry , chromatography , world wide web
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.