Master Trusts Notch Best Year Since 1986

Those institutional investors defined as “Master Trusts” earned a median return of 20.12%, according to a press release. 

For the year ending June, public plans outperformed all other plan types returning 21.11%, followed by:

• 20.41% – Corporate plans
• 20.00% – Non-Profits
• 19.94% – Taft-Hartley defined benefit plans

Corporate plans returned 1.27% in the June quarter, edging out the Public plans with a median return of 1.23%.  All Master Trusts gained 1.10%, while Non-profits logged a quarterly return of 0.98%.

According to the announcement, large plans, as represented by All Master Trusts with assets greater than $1 billion, outperformed the broader plan universes for each plan type category in the June quarter.  Large Public plans returned 1.38%, outpacing the broader Public Fund universe return of 1.23%.  Similarly, Large Corporate plans outperformed the broad corporate universe (1.58% vs. 1.27%) and large Non-Profits returned 1.94%, leading the broader Non-Profit universe which returned 0.98%.

“Typically, much of the large plan effect can be explained by asset allocation differences between plan sizes.  However, drilling down to the asset class level reveals that large plans delivered superior returns in all the major asset classes,” said Hilarie C. Green, CFA, Managing Director, Wilshire Analytics.   

“In the All Master Trusts universe, the U.S. Equity Return universe median is 0.04 percent for the broad universe, but 0.13 percent for the large plans,” she noted.  “Likewise, the International Equity return for the broad universe is 1.04 percent, while the large plans outperformed at 1.13 percent. “There are similar results in the U.S. Fixed Income Return universe where the median return for All Master Trusts is 2.09 percent, but 2.22 percent in the Plans with assets greater than $1 billion.  These superior asset class returns in the large plan universe persists for the longer cumulative time periods of one, five and ten year ending June 2011,” Green concluded.

The Equity Style Wilshire TUCS return medians ranged from 0.62% for Large Growth portfolios to a loss of 2.61% for Small Value portfolios.  For the year ending June 2011, Small Growth portfolios had the strongest performance, returning 43.10%, whereas Large Value portfolios showed the weakest performance at 29.86%.  Wilshire TUCS uses the Wilshire Analytics’ six-factor holdings-based proprietary model for determining portfolio style.

Among fixed income styles in Wilshire TUCS, it was the Long Term portfolios that had the best June quarter performance, returning 3.30%, however Wilshire noted that it was the High Yield portfolios that delivered the best performance for the year, returning 15.20%.  That was better than all other fixed income style performance, which ranged from 2.09% for Short Term to 6.52% for the Interest Rate Anticipators.

The Wilshire Trust Universe Comparison Service (Wilshire TUCS®) is a cooperative effort between Wilshire Analytics, the investment technology unit of Wilshire Associates Incorporated, and custodial organizations. Wilshire TUCS, a benchmark for the performance of institutional assets, includes approximately 900 plans representing $2.92 trillion in assets.