SANTA MONICA, CA - For the second year in a row, master trusts had a stellar year returning 12.72 percent in 2010 following an 18.29 percent return in 2009, as measured by the median Wilshire Trust Universe Comparison Service® (Wilshire TUCS ®), a cooperative effort between Wilshire Analytics, the investment technology unit of Wilshire Associates, and custodial organizations. Wilshire TUCS, the most widely accepted benchmark for the performance of institutional assets, includes approximately 900 plans representing $2.8 trillion in assets.
The Public, Taft-Hartley Defined Benefit and Endowment and Foundation plans were all top performers posting median returns in a tight range of 6.0, 5.98, and 5.95 percent, respectively, in the fourth quarter. For the year, it was the corporate Defined Benefit plans that came out on top with a median return of 13.19 percent while Public (12.94%), Taft-Hartley Defined Benefit (12.61%), and Endowments and Foundations (12.50%) all trailed behind.
The large plans are once again outperforming the smaller plans as demonstrated by the median Master Trust over One Billion return of 5.86 percent for the quarter and 13.11 percent for the year, while the Master Trusts less than One Billion returned 5.78 and 12.39 percent, respectively. Within the large plans, it was the Taft Hartley Defined Benefit plans that outperformed all others with 5.68 percent for the quarter and 13.71 percent for the year. This can be somewhat explained by their large exposure to equities at 63 percent, as represented by the median allocation to US and International Equity combined.
Drilling down to the asset class level, equity portfolios showed a large spread in median returns for both the fourth quarter and the year ending December 2010 with a strong size effect resulting in small cap significantly outperforming the mid and large cap styles. There was also a large style effect, according to the Wilshire TUCS medians, with growth managers dominating value managers in all capitalization ranges for both the quarter and the year. "Looking at the Small Cap Growth median returns of 16.78 and 28.42 percent for the quarter and the year, as compared with Large Cap Value portfolios which returned 10.28 and 14.69 percent for the same period, really illustrates these points", said Hilarie C. Green, CFA, Managing Director, Wilshire Analytics.
Turning to the fixed income managers, the High Yield managers (3.09%) easily beat the other strategies with the Long Duration managers delivering the weakest performance (-4.39%) as the yield curve adjusted upwards during the quarter. On the other hand, for calendar year 2010, the Long Term duration managers outperformed all others (11.76%), except the High Yield managers which returned a median of 14.47 percent.
For more information about the Wilshire Trust Universe Comparison Service, please e-mail TUCS@wilshire.com.
Click here for this quarters Wilshire TUCS® Universe median rates of return and median asset allocation.
Wilshire Associates, a leading global, independent investment consulting and services firm, provides consulting services, analytics solutions and customized investment products to plan sponsors, investment managers and financial intermediaries. Its business units include Wilshire Analytics, Wilshire Consulting, Wilshire Funds Management and Wilshire Private Markets.
The firm was founded in 1972, revolutionizing the industry by pioneering the application of investment analytics and research to investment management for the institutional marketplace. Wilshire also is credited with helping to develop the field of quantitative investment analysis that uses mathematical tools to analyze market risks. All other business units evolved from Wilshire's strong analytics foundation. Wilshire developed the Wilshire 5000 Total Market IndexSM, the first asset/liability models for pension funds, the first U.S. equity style metrics work and many other "firsts" as the firm grew to approximately 350 employees serving the investment needs of institutional and high net worth clients around the world.
Based in Santa Monica, California, Wilshire provides services to clients in more than 20 countries representing approximately 600 organizations. With ten offices on four continents, Wilshire Associates and its affiliates are dedicated to providing clients with the highest quality counsel, products and services. Wilshire Trust Universe Comparison Service®and Wilshire TUCS® are registered trademarks of Wilshire Associates Incorporated. Wilshire is a registered service mark of Wilshire Associates Incorporated. Please visit www.wilshire.com for more information.