The Impact of Fund Attrition on Superannuation Returns

Michael Drew and Jon Stanford

Economic Analysis and Policy, 2001, vol. 31, issue 1, 25-32

Abstract: 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.

JEL-codes: G23 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:31:y:2001:i:1:p:25-32

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