SANTA MONICA, CA - For the third consecutive quarter, Master Trusts added to their performance returning 3.55 percent in the March quarter, as measured by the median Wilshire Trust Universe Comparison Service® (Wilshire TUCS®). Wilshire TUCS, the most widely accepted benchmark for the performance of institutional assets, includes approximately 900 plans representing $2.9 trillion in assets.
Public plans returned 3.80 percent in the March quarter followed by Taft Harley Defined Benefit plans at 3.73 percent, Foundations and Endowments at 3.65 percent, and Corporate plans at 3.52 percent. Similarly, Public plans lead in the one year period ending March with a 13.10 percent return followed by Corporate plans with 13.04 percent, Taft-Harley Defined Benefit plans with 12.86 percent, and Foundations and Endowments with 12.78 percent.
A look at the longer, five year period ending March 2011 reveals that the plan types with greater risk were not necessarily rewarded with greater return according to the Wilshire TUCS risk and return medians. Corporate plans had the most risk, as measured by volatility, returning an annualized 4.26 percent in the five year period, but were bested by Public plans with lower risk and a 4.54 percent return. This plan type phenomenon persists with the Corporate and Public plans over $1 Billion. The large Corporate plans returned 4.15 percent in the five year period, while the large Public plans, with lower risk, returned an annualized 4.54 percent in the period.
In the Wilshire TUCS All Master Trusts universe, the larger plans were rewarded for risk. Plans over $5 Billion outperformed all others while carrying the most risk, returning an annualized 4.64 percent during the 5 year period. During the same period, plans over and under $1 Billion returned an annualized 4.31 percent and 4.26 percent, with decreasing risk, respectively.
The Wilshire TUCS asset allocation analyses once again show differences in asset allocation by plan size. The median commitment to Fixed Income for All Master Trusts under $1 Billion is 31.9 percent whereas the Fixed Income allocation for All Master Trusts over $1 Billion was only 24.8 percent. The large plan's lower Fixed Income allocation gave room for allocations to Real Estate, median commitment of 2.6 percent, and Alternatives, median commitment of 7.4 percent, whereas the smaller plans had a zero allocations at the median. Within the equity asset class, All Master Trusts over $1 Billion had a larger allocation to International Equity at 15.3 percent versus 12.8 percent for All Master Trusts under $1 Billion. "These seemingly small differences in allocation can make a difference in the long run as seen by comparing the ten year annualized returns for plans over one billion at 5.95 percent versus the plans under one billion at 5.45 percent", said Hilarie C. Green, CFA, Managing Director, Wilshire Analytics.
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