In a statement, the risk profiling firm said SMSF net assets fell 3.2 per cent to $557.2 billion in the September quarter of 2015, down from $575.4 billion in the June quarter.
SMSF Australian shareholdings plunged 8.8 per cent to $167 billion, down from $183.2 billion in the June quarter and down from as high as $195 billion in the March quarter. However, local equity market holdings still represent about 30 per cent of all SMSF assets.
FinaMetrica director and co-founder Paul Resnik said the dip could be due to the fact that SMSFs are mostly invested in Australia.
"Yet while close to one third of SMSFs are invested in Australian shares, SMSFs had invested just $1.8 billion in international shares in the September 2015 quarter if you can believe the ATO numbers," he said.
"That allocation has fallen from $2.1 billion in the March 2015 quarter and is now its lowest level since the December 2012 quarter despite the fact that share markets in many developed countries have outperformed the Australian share market this year."
In contrast, SMSFs' holdings of cash and term deposits rose to another record of $156.4 billion in the September quarter, up from $155.6 billion in the June quarter, with cash investments now representing 28 per cent of SMSF assets, the statement said.
Mr Resnik added that SMSF investors need to have their risk tolerance measured by financial advisers in order to better understand which investments suit their needs. Others also need advice on diversifying their investment risks away from local assets.
"Risk profiling and, in particular, the accurate assessing of risk tolerance is a basic step towards identifying suitable investments...People are far more likely to stick to their financial plan through market highs and lows if they are comfortable with the risk levels they have taken and understand at the outset their financial plan, and the risks it entails," he said.
"My New Year message to SMSFs is to make sure you or your adviser has undertaken a robust, defensible risk profiling process that protects your interests. Don't be surprised by the next market downturn. It's far better to know now the risks in your portfolio and whether you can in fact live with your asset allocation."