Large master trusts returned a median 11.88% in the quarter ended Sept. 30 in the Trust Universe Comparison Service of Wilshire Associates, while the median plan in the BNY Mellon U.S. Master Trust Universe returned 11.3% for the third quarter.
In the TUCS universe, the larger master trusts beat out their small peers, which returned a median 9.99% for the period. Longer term, however, that “size effect” is less evident, noted Hilarie Green, managing director with Wilshire Associates and head of Wilshire Performance Reporting, a division of Wilshire Analytics.
Large master trusts (those with more than $5 billion) had a median return of 0.51% for the 12 months and an annualized return of 4.35% for the 10 years, both ended Sept. 30. Trusts with less than $1 billion had a median return of 1.14% and an annualized 4.28%, respectively.
Master trust size, more than sponsor type or asset allocation, was the bigger difference in terms of trends during the quarter. “Clearly, the larger, more sophisticated plans did better,” Ms. Green said.
By type of plan, corporate plans were the best for the quarter, with a median 11.76% return, compared with 11.39% for public funds; 10.31% for endowments and foundations; and 8.53% for Taft-Hartley funds.
On the strength of gains in the second and third quarters, institutional investors generally reported positive returns for the year ended Sept 30. The median return for the year for all master trusts was 1.05%. Corporate funds reported a median of 1.08%; public funds, 1.27%; and endowments and foundations, 1.27%. The exception was in the Taft-Hartley universe, where the median return for the year was -1.01%. Ms. Green said Taft-Hartley fund returns were dragged down by their large allocation to real estate. The median allocation to real estate of Taft-Hartley funds in the TUCS universe was 8.18%, compared with 1.62% for public funds.
The BNY Mellon universe median return came on the heels of a 10.8% second-quarter rebound, giving the median plan a year-to-date return of 15.7% and a 1% gain for the 12 months ended Sept. 30, according to a BNY Mellon news release.
For the latest quarter, corporate plans led the way among the 633 institutional plans — with an average plan size of $1.72 billion — in the universe, with a median 12.08% gain for the 232 corporate plans. That was followed by an 11.66% median advance for 106 public plans; an 11.04% gain among 90 foundations; a return of 10.38% among 63 Tart-Hartley plans; a gain of 9.87% among 89 endowments; and a 9.1% return among 25 health-care plans.
Greg Stewart, managing director and regional product manager of BNY Mellon Asset Servicing, said in an interview that endowments' relatively heavy exposure to alternatives, including areas such as real estate that have yet to rebound strongly, could account for those plans' low rankings for the latest quarter.
Still, for the five years through Sept. 30, an annualized median return of 5.2% kept endowments at the head of the pack, with an almost 50-basis-point lead over the next strongest median return of 4.73%, for corporate plans.
For the latest quarter, non-U.S. equities led all asset classes with a median return of 19.47%, followed by U.S. equities, at 16.37%; non-U.S. fixed income, 8.36%; and U.S. fixed income, 6.06%.
For the quarter, the average BNY Mellon U.S. Master Trust Universe allocation to U.S. equity came to 34%, up from 33% for the prior quarter and 32% for the year-earlier quarter. U.S. fixed income claimed an average 27% chunk of portfolios, down from 30% for the prior quarter but unchanged from the year before.
The average allocation to non-U.S. equities came to 17%, up from 15% for the prior quarter and up from 16% for the year-earlier quarter. Non-U.S. fixed income remained at 1%, unchanged from both the previous quarter and the year-earlier quarter.
The average allocation to alternative investments came to 8%, down from 9% for the prior quarter and 11% for the year-earlier quarter. Real estate, at 2%, was unchanged from the prior quarter but only half of the year-earlier allocation. Cash holdings came to 1%, down from 2% for both the prior quarter and the year-earlier quarter. Meanwhile, “other” investments, including investments in oil and gas, came to 10%, up from 8% for the prior quarter and 7% for the year-earlier quarter.