That's despite the most popular reason given for leaving a large super fund to start their own fund being "improved returns", followed by "control of investment risk and "decide asset allocation".

A study by the Centre for International Finance and Regulation of the experiences of those running their own funds finds they check whether their account balances go up or down but are not comparing their funds' performance with super returns generally or with a return objective.

Susan Thorp, Professor of Finance at the University of Sydney, who led the study, says poor performance is the cause of fewer than 10 per cent of wind-ups of self-managed super funds.

However, people who use net returns as the key performance indicator have a significantly higher probability of winding-up their funds, she says.

It's surprising that so few seem interested in their funds' performance relative to a performance objective or don't have it top-of-mind.

The study says not having a clear measure or benchmark is likely to be giving fund trustees "illusory superiority" about the performance of their funds.

Large super funds will state a performance objective, usually given as a certain return in excess of inflation over a longish period of time.

Most DIY fund trustees will know what returns they are getting. They will usually have an accountant or a fund administrator with software that that work out the return of the fund after the end of each financial year.

While fund trustees are required to have a written investment strategy that includes, among other things, asset allocation, diversification, cash flow, and "risks" – such as the fluctuations in investment returns – it's not mandatory to state an explicit performance objective.

However, a trustee of a DIY fund trustee is taking the role of investment manager at a large super fund and should be carefully tracking performances against a benchmark.

Philip La Greca, an executive with DIY super fund administrator SuperConcepts, says many don't set the asset allocation in terms of the long-term investment returns that the allocation is likely to generate.

"Sometimes people go the wrong way around, with asset allocation being the prime element," he says.

La Greca says trustees should be thinking about what sort of returns their funds' asset allocations will generate while they are still working and what sort of income their funds will provide in retirement.

They should not just be setting an asset allocation and hoping for the best, La Greca says.

Twitter: @jcollett_money