1. Australian National University. The authors wish to thank Belinda Pearson for programming assistance and Richard Castanias, Frank Finn, Larry Lookabill, Graeme Rankine, Mark Tippett and an anonymous referee for commenting on previous drafts of this paper. We would also like to thank Campbell and Cook, Consulting Actuaries, Melbourne for supplying the data on the funds and particularly Ross Heenan of this organisation. The data was supplied on the understanding we would maintain the anonymity of the funds...