Yes you can, however, there may be draconian tax measures applied.

SMSF must satisfy the definition of an 'Australian superannuation fund' to receive the beneficial tax treatments given to superannuation funds, being:

1. 15% on concessional contributions;

2. 15% on earnings;

3. 15% on capital gains for asset held less than 1 year; and

4. 10% on assets held great than one year or greater.  

Section 295 - 95 of Income Tax Assessment Act 1997 (ITAA 1997) states that a superannuation fund is an Australian superannuation fund at a time, and for the income year in which that time occurs, if:

1.  The fund was established in Australia, or any assets of the fund are situated in Australia at that time; and

2.  At that time, the central management and control of the fund is ordinarily in Australia; and

3.  The active member test is satisfied.  

If the SMSF does not satisfy the definition of the Australian superannuation Fund it may be liable for the following:

1.  45% tax on the total market value of all its assets in the year it ceases to become a non resident fund;

2.  While the fund is a non resident fund the earnings will be taxed at 45% not the normal 15%;

3.  If the fund transfers to an Australian superannuation fund it will again be tax at 45% on its net market assets; and

4.  Employers can not claim a tax deduction for any superannuation contributions into a foreign fund.

Refer to Section 295 - 10 Income Tax Assessment Act 1997 (ITAA 1997) and Section 26 Income Tax Rates 1986.