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Industry funds continue risk-adjusted domination

Industry superannuation funds have continued to dominate Rainmaker's league tables for risk-adjusted MySuper returns, despite an ethical retail fund muscling its way into the top 10.

Industry super funds took all but one of the top 10 positions in Rainmaker's latest RMetrics MySuper report, which looks beyond the headline three-year returns of 41 MySuper single strategy- investment options to provide insight into their performance and relationships with volatility risk measures.

The super fund for Western Australia's local government workers, WA Super, took the top combined risk adjusted position in the three years to March 2020, thanks to a 4.6% p.a. three-year return, the lowest minimum monthly return at -6%, and the equal highest Sharpe ratio at 0.6.

The industry fund shared the equal top Sharpe ratio with Australian Ethical, which was the only retail super fund to crack the top 10 by combined risk adjusted rank - a ranking of funds' average percentile scores across the Sharpe, Sortino and Omega risk ratios.

The retail fund achieved the highest three-year returns at 5.7%, and took the second risk-adjusted rank.

After that, it was an industry fund whitewash, with Prime Super, First State Super, BUSSQ, Media Super, AustralianSuper, Cbus, Club Plus and NGS Super taking the remaining eight spots in the top 10.

The sector dominated most of the report, with nine of the top 10 returns on a three-year basis, nine of the 10 lowest standard deviation results, and nine of the top 10 funds with fewest negative returns.

The results continue the sector's domination of the league tables, after industry funds took the top 10 positions late last year, with the $54 billion fund for people working in health and community services, HESTA, ranked highest of all on a risk-adjusted basis.

"Rainmaker's RMetrics report aims to assess MySuper performance the same way many managed funds are assessed, using a selection of strictly defined quantitative measures of volatility against returns," said Alex Dunnin, Rainmaker executive director of research and compliance, at the time.

"There is much more to assessing a MySuper product's risk-adjusted outcome than simply matching its nominal return against a notional asset allocation."

Read more: MySuperRainmakerSharpeAustralian EthicalAustralianSuperBUSSQCbusRisk-adjusted returnsWA Super
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