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The Risk-adjusted Performance of KiwiSaver Funds

Xiong, Xueshan
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Dissertation (644.0Kb)
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http://hdl.handle.net/10292/10483
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Abstract
The New Zealand government introduced a national superannuation scheme named KiwiSaver to its citizens on 1 July 2007. However, until now, KiwiSaver funds’ performance is still an under-researched topic.

This study investigates the risk-adjusted performance of KiwiSaver growth and balance funds, where 3 models (Capital Asset Pricing Model, Fama and French 3-factor model, and Carhart 4-factor model) are applied to the KiwiSaver growth funds and 1 model (Balance fund 4-factor model) is applied to the KiwiSaver balance funds. I observe significant evidence of outperformance for some KiwiSaver growth funds and balance funds. Further, most growth funds are relatively more exposed to large companies and growth stocks. However, once I control for the momentum strategy much of the outperformance disappears, suggesting a lot of fund managers are employing a momentum strategy. I also observe 2 superior KiwiSaver funds based on its outperformance with all methods, and they are Aon KiwiSaver Milford and Milford Active Growth KiwiSaver fund.
Keywords
KiwiSaver; Mutual Funds; Performance Measurement; Risk-adjusted Performance
Date
2016
Item Type
Dissertation
Supervisor(s)
Gilbert, Aaron
Degree Name
Master of Business
Publisher
Auckland University of Technology

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