The New Zealand Superannuation Fund has been named the world's most innovative government-owned investment vehicle at a finance industry event in New York.

The so-called Cullen Fund - named after former finance minster Michael Cullen who established it to pay for the pension funding shortfall as baby boomers hit retirement age - won the Sovereign Wealth Fund category in the 2012 aiCIO Industry Innovation Awards.

The fund's management approach was recognised for its use of a passive reference portfolio, a benchmark the investment team must be certain they can beat before being allowed to buy in to an asset.

It was also commended for its transparency, consensus-based decision-making and shift away from a traditional asset allocation 'bucket' approach to investing.

The Super Fund's most recent reporting statistics show it delivered a total return of 14 per cent in the 12 months ending October 31, excluding foreign currency hedging.

Over the same period its reference portfolio delivered a return of 6.95 per cent.

"It's great as a New Zealand organisation to complete with global peers and win," said chairman Gavin Walker.

The other finalists for the award were the Australian Future Fund, Singaporean fund GIC, Norges Bank Investment Management, and the State Oil Fund of Azerbaijan.

The fund invests in a wide range of assets, and is highly active in the New Zealand sharemarket as well as in international equities, where the portfolio is tipped towards infrastructure assets.

It's also a forestry owner, and holds a 50 per cent stake in Z Energy along with infrastructure investor Infratil.

- © Fairfax NZ News