Attribution of investment performance: an analysis of Australian pooled superannuation funds*

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.

Performance Evaluation of Mutual Funds in Indonesia

“…Several empirical studies in the United States proves that the strategy of active management is not able to beat the market (Jensen, 1968;Grinbalt and Titman, 1989;Elton et al, 1993;Gallagher, 2001). Some research also shows that mutual funds not managed to "timing the market" (Treynor and Mazuy, 1966;Henriksson, 1984;and Becker et al, 1999).…”

An empirical analysis of the performance of pension funds: evidence from UK

“…Gallagher (2001) argues that the use of the models proposed by Sharpe (1966) and Treynor and Mazuy (1966) have caused controversy as they may not have the ability to fully capture crucial risk factors. Thus, this has led to the use of extended models that control for stock market anomalies.…”

Analysing the performance of managed funds using the wavelet multiscaling method

“…Sawicki and Ong (2003) applying the Ferson and Schadt (1996) methodology on 97 wholesale Australian superannuation funds, from 1983-1995, found that the negative market timing reported in earlier studies will disappear after controlling for changing market conditions, similar to Ferson and Schadt (1996). Gallagher (2001) evaluated the market timing and selection skills of 33 wholesale superannuation fund managers from 1992-1998 and found no evidence of superior timing and selection skills. Holmes and Faff (2004) found negative performance for Australian multi-sector funds.…”