Attribution of investment performance: An analysis of Australian pooled superannuation funds

David R. Gallagher

Research output: Contribution to journalArticlepeer-review

21 Citations (Scopus)

Abstract

This paper evaluates the market timing and security selection capabilities of Australian pooled superannuation funds over the eight-year period from January 1991 to December 1998. Evaluation of both components of investment performance is surprisingly scarce in the Australian literature despite active investment managers engaging in both market timing and security selection. The paper also evaluates performance for the three largest asset classes within diversified superannuation funds and their contribution to overall portfolio return. The importance of an accurately specified market portfolio proxy in the measurement of investment performance is demonstrated. This paper employs performance benchmarks that account for the multi-sector investment decisions of active investment managers in a manner that is consistent with their unique investment strategy. Consistent with U.S. literature, the empirical results indicate that Australian pooled superannuation funds do not exhibit significantly positive security selection or market timing skill.

Original languageEnglish
Pages (from-to)41-62
Number of pages22
JournalAccounting and Finance
Volume41
Issue number1-2
DOIs
Publication statusPublished - Jul 2001
Externally publishedYes

Keywords

  • Benchmarks
  • Market timing
  • Performance attribution
  • Security selection

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