We examine the asset allocation, returns and expenses of superannuation funds whose assets are mainly invested in default investment options. A majority of these funds fail to earn returns commensurate with their asset allocation policy. It appears that much of the variation in returns between these funds is a result of engaging in significant active management of assets. Our results indicate that the returns from active management of retail funds are negatively related to expenses, whereas the relationship is positive for industry funds. We also find strong evidence of economies of scale existing in superannuation funds across different size categories.