Using proprietary Australian Tax Office (ATO) data, we document the size, asset allocation and expenses for a sample of 209,420 Australian self-managed superannuation funds (SMSFs) for the three years to June 2010. Two recent Government reviews have highlighted a lack of basic knowledge of the costs associated with running an SMSF. Our study aims to address this paucity of research in relation to SMSF’s and has two objectives. First, on a descriptive level we provide evidence on the size and asset allocation of SMSF’s. Secondly, on an empirical level, we specify a model of SMSF costs. On a descriptive level we find heterogeneity amongst SMSFs in terms of both size and asset allocation. Further, our empirical analysis suggests cost advantages in running an SMSF. The analysis provides new insights into the fastest growing and largest segment of the Australian $1.83 trillion retirement savings industry and extends prior superannuation studies of both small and large APRA funds to SMSFs.