The median return across funds in the InvestorForce Plan Universe for the three months ended Sept. 30 was 2.3%, net of fees, according to the company's third-quarter update. The median universe net return over the trailing 12 months was 6.12% while the median trailing five-year return was 6.51%.
Taft-Hartley defined benefit plans led the major subuniverses during the quarter and the year, with a median net return of 2.8% and 7.58%, respectively. Public DB plans also performed well during the quarter and trailing year, with median net returns of 2.71% and 7%, respectively. Corporate defined benefit plans returned a median net 1.82% in the third quarter and 4.74% for the year ended Sept. 30.
Much of the corporate plan universe's relative underperformance can be attributed to high fixed-income allocations, according to data provided by InvestorForce. Many of these plans are managed under liability-matching schemes that rely heavily on using debt securities, and therefore they will underperform other institutional funds in rising equity markets.
A common theme among the allocations of each subuniverse is the positive relationship between alternative allocations, particularly private equity, and total fund performance. InvestorForce reported significant alternatives allocations among Taft-Hartley and public pension plans.
Median Sharpe ratios calculated by InvestorForce show Taft-Hartley plans also had better risk-adjusted returns compared to the other subuniverses. Over both the three- and five-year period, the median Sharpe ratios of the Taft-Hartley universe were 1.7 and 1.4, respectively, while the median Sharpe ratios for the total plan universe were 1.5 and 1.1, respectively.
InvestorForce Plan Universes include more than 2,300 plans representing more than $3 trillion in assets.