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Unlisted assets deliver modest returns

New research reveals that MySuper products with high weightings to unlisted assets provide modest returns but contribute lower volatility and higher autocorrelation.

Rainmaker's latest RMetric report sought to find out if the performance of MySuper products with high weightings to unlisted assets is distorted and ultimately lowers volatility.

The research house found that MySuper funds invested in unlisted assets did not deliver a performance premium.

"This is demonstrated by the correlation matrix that shows that MySuper investment returns across the group to have very little relationship with their volatility, the proportion of unlisted assets, autocorrelation, skewness and kurtosis," the report read.

Autocorrelation, or serial correlation, is the degree to which future returns are predicted by past returns.

The analysis covered five years of monthly returns data to the end of January 2021 for 46 MySuper products. Of the sample, six had no exposure to unlisted assets, while nearly half had unlisted exposure between 20% and 30%.

One area of focus was the relationship between unlisted assets and volatility. Rainmaker found this to be "highly significant", registering a correlation of -0.56, which in practical terms meant that the more unlisted assets in a portfolio, the lower its volatility.

Overall, the proportion of unlisted assets in MySuper portfolios delivered "mild impact on returns".

The research also ranked the performance of super funds' property allocation based on a combined risk-adjusted basis.

It found that Tasplan, CareSuper, TelstraSuper and Prime Super came out on top in the three years to September 2020.

Looking at returns alone, Prime Super (7.9%), TelstraSuper (7.1%), AMP Signature Super (6.6%) and CareSuper (6.6%) were the top performers for the period.

This story was updated at 4pm.

Read more: MySuperCareSuperPrime SuperRainmakerTelstraSuperAMP Signature SuperTasplan