Australian Ethical, Aware Super and BUSSQ are the top three performers in MySuper, when risk adjusted returns are considered.
Rainmaker calculated a combined risk-adjusted rank for MySuper options, incorporating their average percentile scores in Sharpe, Sortino and Omega risk ratios to December end.
Sharpe ratio is a measure of return per unit of risk; Sortino ratio is returns per unit of downside risk; and Omega ratio is probability-weighted ratio of gains over losses for a given level of expected returns.
The best performers on the risk-adjusted basis differed slightly from winners on headline return basis.
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For example, Australian Ethical was the second-best on headline returns with 8.5% p.a. but took the top spot in risk-adjusted returns. It had an Omega ratio of 1.7, Sortino ratio of 0.4 and Sharpe ratio of also 0.4.
Aware Super was the fifth-best by returns but the second-best on the combined risk adjusted rank. Aware's MySuper option had Omega ratio of 2.2, Sortino ratio of 0.8 and Sharpe ratio of also 0.9.
Similarly, BUSSQ was the 16th by returns but third by combined risk adjusted rank.