Attribution of investment performance: An analysis of Australian pooled superannuation funds
نویسنده
چکیده
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. Consistent with prior U.S. literature, the empirical results indicate that funds in general do not exhibit security selection or market timing skill.
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