The New Zealand Superannuation Fund has delivered excellent returns over the past five years, but should expect those to decline in the next decade, says an independent review.

Global advisory firm Willis Towers Watson gave the Guardians of New Zealand Superannuation - who manage the fund - a glowing report in the five-yearly review of the scheme, saying it applies best practice and is "more capable of achieving high performance than the vast majority of its peers." The $43.1 billion fund returned 7.02 per cent after costs and before tax in the June year and has delivered an annual 11.6 per cent return during the past five years.

"Overall, the fund's performance both in absolute and in relative terms - i.e. the value added - is very impressive. The fund stands out amongst leading asset owners on the basis of its strong performance," authors Roger Urwin and Tim Unger said in their report.

"This is partly due to the high risk profile that the Guardians have intentionally adopted."

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However, they see more uncertainty on the horizon with returns from all asset classes likely to be lower during the coming decade. That means the fund's high allocation to equities leaves it exposed if stock markets disappoint for a prolonged period.

The report recommends the Super Fund make greater use of a risk factor framework to help in building the investment portfolio. The Super Fund said it's looked at those frameworks but decided they didn't add much insight relative to its risk budgeting process. In saying that, the fund said macro risk factor work has been helpful and it will build on that.

Willis Towers Watson said the fund's high weighting to equities meant that it could under-perform against its reference portfolio in a downturn and that reverse stress testing could help with planning in the event of a slump.

The report said the Super Fund has carried out a stress test re-running the effects of the global financial crisis on the portfolio and is very aware of the risk. The fund said it will make more use of that testing in the future.

Its 5 per cent overweight position in New Zealand equities was deemed to be "sound and pragmatic" by the report's authors, given a ministerial directive to seek and consider local investments.

However, the case to be fully-hedged in New Zealand dollars was weaker and the report suggested it be reviewed. The Super Fund agreed and said will be done in the current portfolio reference review due to be completed by June. The cost of hedging accounted for about half of the fund's estimated cost of managing the portfolio, which the report said added weight for a reassessment.

The report also recommended more resourcing for responsible investing, something the fund agreed with and is currently reviewing.

Finance Minister Grant Robertson welcomed the report and said he looked forward to engaging with the fund on ways to improve its management.

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He also reappointed chair Catherine Savage for 18 months and board member Stephen Moir for 12 months.