Median Master Trust Returns Slide 9% in Q3

October 23, 2002 ( - The median US foundation, pension and endowment fund shed more than 9% of its value in the third quarter, according to a new report.

According to results from the Independent Consultants Cooperative (ICC) universe, the median master trust lost 9.1% in the third quarter, resulting in a year-to-date loss of 12.9%.  

The ICC noted that diversification spared the portfolios from potentially larger losses in the US equity markets, where the median US equity portfolio lost 17.2% and the median international equity portfolio lost 19.7%.   On the other hand, the median US bond portfolio gained 3.5%, and rose 7.1% on a year-to-date basis.

Market shifts also trimmed the median master trust’s total equity exposure to 51.9% of total assets at quarter end, down from a recent high of 61.1% in September of 2000. During that same period, the median equity portfolio lost 36.7% cumulatively while the total plan equity exposure fell by only 15.1%.  

Several factors impacted the net equity exposure of plan sponsors in the ICC universe including market losses, asset allocation policy revisions, and rebalancing decisions, according to the report.   

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The range for style return medians narrowed to a 4.3 percentage point high-low spread during the quarter from a striking 13.8 percentage point spread in the second quarter.   Large cap growth was the quarter’s best performing style, but lost 15.4%. In contrast, the third quarter’s worst performer, small cap growth, lost 19.7%.   Mid Cap Value lost just 17.2%, while Mid Cap Growth fell 18.0%.

These observations are based on the Independent Consultants Cooperative database of actual   accounts, which includes over 13,800 portfolios, in all asset classes, with an aggregate market value greater than $660 billion, representing the holdings of some 1,300 plan sponsors.

Sixteen consulting firms belong to the ICC.   Deutsche Bank includes its trust and custody portfolios in the ICC Universe and administers the interactive web-based service.