Size does matter — at least in the short term.
Large master trusts returned a median 11.88% in the quarter ended Sept. 30, topping their smaller peers, which returned a median 9.99% for the period, according to the Trust Universe Comparison Service of Wilshire Associates Inc.
Longer term, however, that “size effect” evens out, noted Hilarie Green, managing director with Wilshire Associates and head of Wilshire Performance Reporting, a division of Wilshire Analytics, Santa Monica, Calif.
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. Smaller trusts (those with less than $1 billion) had a median of 1.14% and an annualized 4.28%, respectively.
Size was the bigger difference in terms of trends during the quarter, more than sponsor type or asset allocation. “Clearly, the larger, more sophisticated plans did better,” Ms. Green said.
The impact of asset allocation on performance was lessened in part during the quarter because of the wide range of returns within asset classes depending on style factors. For example, she noted the median return of large-cap growth managers for the quarter was 14% among the full TUCS universe, while small-cap value managers had a median return of 22.61%. Among fixed-income managers, the median return for short-term accounts was 1.4% compared with 11.11% for high yield.
That trend held in almost every asset class in the third quarter, she said. In other quarters, the range of returns among styles within a single class has been much tighter.
Longer term, however, asset allocation made a bigger difference, Ms. Green said. The median total return among all equity managers was -5.42% in the year ended Sept. 30, compared with 11.42% for fixed-income managers.
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.
