Which of the following is not a benefit of setting up a trust?

Setting up a trust provides several benefits, including control over asset distribution, minimization of estate taxes, and protection against creditors. However, guaranteeing investment returns is not among the advantages of establishing a trust.

The primary purpose of a trust is to dictate how and when assets are distributed to beneficiaries while maintaining the granter's control over those assets. Trusts can also help reduce estate taxes by removing assets from the taxable estate, allowing more of the estate's value to be passed on to beneficiaries. Additionally, certain types of trusts can protect assets from creditors, providing financial security for the grantor and beneficiaries.

In contrast, the performance of investments held within a trust is subject to market conditions and risks, much like any investment outside of a trust. Therefore, while a trust can provide strategic financial benefits, it does not guarantee specific investment returns, which is why this choice is the correct answer.