The Impact of Fund Attrition on Superannuation Returns

This paper investigates the impact of fund attrition on returns from a sample of superannuation fund managers (specialising in the management of domestic stock portfolios) for the period 1991 through 1999, using a four-factor asset pricing model. Survivorship bias is estimated at 23 basis points per annum. The evidence presented in this study is consistent with recent international evidence that suggests that a sampling technique that excludes terminated funds would result in an overestimation of fund manager performance. Moreover, fund attrition has a material negative impact on the ability for superannuation fund members to obtain their retirement income objectives.