Deloitte conducted a survey of the investment performance of the "six major implemented asset consultants" over the five-year period to 30 June 2014.
'Implemented' asset consulting involves offering a multi-manager investment product, going beyond mere investment 'consulting'.
Deloitte declined to name the six asset consultants it surveyed, but Jana, Mercer and Russell Investments all offer implemented consulting.
Towers Watson and Frontier Advisors do not have implemented consulting services, with Frontier (which is owned by several major industry funds) having explicitly spoken out against the practice.
The report found that half of the active managers chosen by implemented consultants did not appear to add any value for superannuation funds, said Deloitte partner Stephen Huppert.
"The results show just how hard it is to beat the market," Mr Huppert said.
"And for those that did exceed the [Vanguard] benchmark, much of the added value would have been eroded through the higher fees paid for active management," he said.
Deloitte superannuation expert Wayne Walker said the survey isolated the impact of manager selection from decisions taken by the consultants around short- and medium-term asset allocation.
"The conclusion was surprising. There was clear evidence that the consultants had added value through manager selection, but that over the period analysed this was largely offset by changes in asset allocation," Mr Walker said.
Mr Huppert said the findings of the survey mean that superannuation trustees must be "vigilant".
"Appointing a firm to look after assets does not abrogate the trustee’s duty to monitor performance and to understand what is being done well, and what can be improved – and to act accordingly," he said.
Trustees are attracted to implemented consultants because they provide 'end-to-end' solutions, Mr Huppert said.
"However, our analysis suggests that there is extra value that can be extracted by focusing each mandate on the specific area where a consultant had demonstrated its ability to deliver added value," he said.
Mr Walker said superannuation funds can, and should, become more involved in decisions about their assets.
"[They must] demand reporting from their advisers that allows them to make informed decisions, and to act in a timely manner," he added.
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