SANTA MONICA, CA All Master Trusts reversed course during the second quarter falling 4.74 percent and resulting in a one year return of 12.53 percent according to the 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 $2.6 trillion in assets.
Public plans underperformed the other plan sponsor types returning -5.38 percent for the quarter compared to Corporate plans at -4.84 percent and Endowments and Foundations at -4.75 percent. Public plans had the largest allocation to equity which had a very negative quarter with the Wilshire 5000 returning -11.19 percent and the MSCI EAFE (net) returning -13.97 percent.
Most of the larger plan sponsor types appeared to benefit from some diversification out of equity with the lower allocations leading to slightly better returns. The Public Funds over One Billion bested the broad Public fund universe with the median returning -5.07 percent versus -5.38 percent. A similar pattern occurs in both the Corporate plan universe (large plans, -4.41%; broad, -4.84%) and the Endowment and Foundation universe (large plans, -3.52; broad, -4.75).
For both the quarter and the year, small capitalization portfolios outperformed their large cap counterparts within their respective Wilshire TUCS Equity Style medians. Within the large styles, Large Value managers outperformed Large Growth managers for the quarter ( -11.68% and -12.12%, respectively) and the year (15.69% and 12.35%, respectively), while within the small styles, it was Small Growth that outperformed for the quarter (-8.79%) and Small Value that had the best showing for the year (28.27%). "According to the Wilshire TUCS medians, allocation within equity style made a measurable difference in return for the year ending June with Large Growth managers showing the weakest return of 12.35 percent and Small Value managers outperforming all others with a median return of 28.27 percent", said Hilarie C. Green, CFA, managing director and head of Wilshire Analytics' Performance Reporting division.
Not surprising considering the falling bond yields last quarter, those managers with longer durations, Long Term Fixed Income managers, outperformed the Short Term Fixed Income managers 7.61 percent to 0.63 percent. This phenomenon has persisted for the entire year ending June 2010 with Long Term managers returning 17.91 percent to the Short Term managers 3.24 percent. Although rather anemic for the quarter at 0.36 percent, High Yield managers also had an impressive year, returning a median of 22.06 percent. "Once again, style exposure within the fixed income asset class had a major impact on plan performance", Green added.
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.