CONTACT: Michael Kennedy
Lead by Large Plans, Master Trusts Returned more than One Percent in the June Quarter and over 20 Percent for the Year
SANTA MONICA, Calif., August 8, 2011 - Gaining a median return of 20.12 percent, institutional investors defined as "Master Trusts" had their best July to June one-year performance since 1986, according to the Wilshire Trust Universe Comparison Service® (Wilshire TUCS®). Wilshire TUCS, a cooperative effort between Wilshire Analytics, the investment technology unit of Wilshire Associates Incorporated, and custodial organizations. Wilshire TUCS, the most widely accepted benchmark for the performance of institutional assets, includes approximately 900 plans representing $2.92 trillion in assets.
For the year ending June, public plans outperformed all other plan types returning 21.11 percent followed by Corporate plans with 20.41 percent, Non-Profits with 20.00 percent, and Taft-Hartley defined benefit plans at 19.94 percent. Corporate plans returned 1.27 percent in the June quarter, edging out the Public plans with a median return of 1.23 percent. All Master Trusts gained 1.10 percent while Non-profits lagged with a quarterly return of 0.98 percent.
The 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 percent, besting the broader Public Fund universe return of 1.23 percent. Similarly, Large Corporate plans outperformed the broad corporate universe (1.58 percent vs. 1.27 percent) and large Non-Profits returned 1.94 percent beating the broader Non-Profit universe which returned 0.98 percent.
"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.
In a less than stellar quarter for equity managers, the Equity Style Wilshire TUCS return medians ranged from 0.62 percent for Large Growth portfolios to -2.61 percent for Small Value portfolios. For the year ending June 2011, Small Growth portfolios had the strongest performance, returning an impressive 43.10 percent, whereas Large Value portfolios showed the weakest performance at 29.86 percent. 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 percent. However, it was the High Yield portfolios that delivered the best performance for the year returning 15.20 percent and easily outpacing all other fixed income style performance which ranged from 2.09 percent for Short Term to 6.52 percent for the Interest Rate Anticipators.
For more information about the Wilshire Trust Universe Comparison Service, please e-mail TUCS@wilshire.com.