The Effect Of Portfolio Asset Size On The Performance Of Australian Superannuation Fund Managers

Overseas studies suggest a correlation between the performance of mutual fund managers and the size of funds under control, with small funds outperforming large funds. This study extends the analysis to Australian superannuation fund managers where industry structure, purpose, asset base and investment strategies are considerably different. It investigates the potential effect of portfolio asset size on quarterly excess and risk adjusted returns and systematic risk profiles from 1977 to 1993. Although overall performance has weakly improved since the 1970's, the results contradict overseas evidence. After allowing for survivorship bias and extreme outliers, variations in asset size are not related to long term return or risk profile differentials between managers Potential reasons include concentration on short term performance, averaging, window dressing.