The June 2014 Mercer Investment Survey of fund managers noted 2013/2014 had produced another year of strong share market returns.
"The Australian market returned 17.3 per cent [with] overseas share markets delivering 20.4 per cent on an unhedged basis," Mercer said.
"This follows the formidable returns of 2012/2013, when Australian and overseas shares were up 22 per cent and 33 per cent respectively," the report said.
In addition, most fund managers in the Mercer survey managed to outperform the index.
"Despite these excellent historical returns, Mercer is advising clients to retain a moderate overweight allocation to growth assets, particularly favouring unhedged global shares," the firm said.
"The continuing strong performance means that many equity markets are no longer especially cheap, however with GDP growth across most of the major economies poised to become synchronised for the first time since 2010, the long-awaited recoveries in earnings growth should support returns."
The median Australian shares manager delivered an excess return of one per cent over the year, compared to last year's outperformance of 2.8 per cent, said Mercer.
The long/short manager posted the strongest performance over the last one and five years, while the median absolute return manager underperformed the S&P/ASX300 over the 2013/2014 financial year.
The top performing Australian share manager was Regal Australian Long Short Equity, with a return of 38.8 per cent over 2013/2014.
The worst performers were SGH 20 (returning 10.9 per cent), Russell Australian Shares Enhanced Income (13.4 per cent), Colonial First State Wholesale Equity Income (13.8 per cent) and Bennelong Core Equities (13.9 per cent).
