Master Trusts See 3rd Consecutive Quarter of Gains

May 5, 2011 ( - For the third consecutive quarter Master Trusts added to their performance, returning 3.55% in the March quarter, as measured by the median Wilshire Trust Universe Comparison Service.

Public plans returned 3.80% in the March quarter followed by Taft Harley Defined Benefit plans at 3.73%, Foundations and Endowments at 3.65%, and Corporate plans at 3.52%.   Similarly, Public plans lead in the one year period ending March with a 13.10% return followed by Corporate plans with 13.04%, Taft-Harley Defined Benefit plans with 12.86%, and Foundations and Endowments with 12.78%.  

A Wilshire press release said 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.  Corporate plans had the most risk, as measured by volatility, returning an annualized 4.26% in the five year period, but were bested by Public plans with lower risk and a 4.54% return.    

This plan type phenomenon persists with the Corporate and Public plans over $1 Billion, according to the announcement. The large Corporate plans returned 4.15% in the five year period, while the large Public plans, with lower risk, returned an annualized 4.54% 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% during the five year period.  During the same period, plans over and under $1 Billion returned an annualized 4.31% and 4.26%, 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% whereas the Fixed Income allocation for All Master Trusts over $1 Billion was only 24.8%.  The large plan’s lower Fixed Income allocation gave room for allocations to Real Estate, median commitment of 2.6%, and Alternatives, median commitment of 7.4%, whereas the smaller plans had 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% versus 12.8% for All Master Trusts under $1 Billion.  

Wilshire TUCS includes approximately 900 plans representing $2.9 trillion in assets.