I would be very careful about investing in this area through a self-managed super fund, particularly now that the tax office have indicated an eagerness to monitor compliance with superannuation legislation. A big no-no for super funds is to breach the "sole purpose test", which basically requires an investment to be solely for the purpose of providing retirement benefits for the members. An investment in racehorses (aside from the fact that it is a very risky class of investment, probably not appropriate for super) provides benefits to the members in the form of attendance at the races and pure enjoyment, which is likely to breach the sole purpose test and result in the fund being non-complying. Non compliance can mean that you send 47% of the value of your fund to the tax office. I suggest you discuss your plans with your accountant before making any investment.