Working Paper Investment performance ranking of superannuation firms

نویسندگان

  • Wilson Sy
  • Kevin Liu
چکیده

This work is copyright. You may download, display, print and reproduce this material in unaltered form only (retaining this notice) for your personal, non-commercial use or use within your organisation. All other rights are reserved. or submitted via the copyright request form on the website Disclaimer While APRA endeavours to ensure the quality of this Publication, APRA does not accept any responsibility for the accuracy, completeness or currency of the material included in this Publication, and will not be liable for any loss or damage arising out of any use of, or reliance on, this Publication. The views and analysis expressed in this paper are those of the authors and do not necessarily reflect those of APRA or other staff. The data samples and methods used in this paper are selected for the specific research purposes of this paper and may differ from those used in other APRA publications. APRA does not accept any responsibility for the accuracy, completeness or the currency of the material included in this Publication, and will not be liable for any loss or damage arising out of the use of, or reliance on, this Publication. comments on earlier drafts of this paper. Neil Esho and Chris Inman have participated in the design and collection of the investment performance data used in this paper. Abstract Investment performance studies of pension or mutual funds have overall been too statistically inconclusive to create definitive rankings to help investors make fund selection decisions. This paper presents an alternative approach based on comparing the pension or mutual fund firms themselves which are highly diversified composite portfolios aggregated over all individual portfolios managed by the firms. Performance data of managed fund firms are more useful for investors because we show here that their statistics are more stable and predictable than those of individual portfolios which are subject to more random influences such as selection bias. This paper overcomes the pitfalls of the Sharpe ratio in ex-post performance ranking by using a new metric for the performance of the composite portfolio of a firm. The metric is risk-adjusted by the volatility of the firm's benchmark, defined by the aggregate asset allocation of the firm. In an empirical study using unique data, we measure the performance of 115 major Australian superannuation firms. The results show that using the new metric the investment performance ranking of the firms is persistent. We identify that higher …

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تاریخ انتشار 2009