Foundations and Endowments Hit Hardest by Q3 Market Decline

Foundations and endowments saw the greatest decline in median performance at -9.24%, while Taft- Hartley health and welfare funds had the best median return at -2.26%.

Foundations and endowments also had the worst median return for the year at 0.71%, but those foundations and endowments with assets greater than $500 million had the best one- year median return at 3.31%and a median quarterly return of -6.95%.

“In a quarter where equity exposure pulled down total plan returns, Taft-Hartley health and welfare funds were rewarded for the large exposure to debt with a median allocation to bonds of 75.66%, which easily outpaced the next largest median bond allocation segment of 36.71% for corporate funds,” said Robert J. Waid, Managing Director, Wilshire Analytics.

“The overall results across Wilshire TUCS are not surprising given the fact that battered by worries over a worldwide economic slowdown, a headline-grabbing downgrade of United States Treasury debt and the ongoing European debt crisis, the global stock markets took a tumble during the third quarter of 2011 with the Wilshire Global Total Market IndexSM falling -20.66%,” added Waid. “Here in the U.S., the stock market fell in all three months of the third quarter, with the Wilshire 5000 Total Market IndexSM returning -15.04% for the three month period.”

For all master trusts included in Wilshire TUCS, the median quarterly and annual median returns were -8.64% and 1.42%, respectively. The master trusts with greater than $1 billion in assets had a quarterly median return of -8.01% and a one-year median return of 2.44%. The largest plans with $5 billion or more tallied a median quarterly return of -8.27%and a 12-month media return of 2.66%.

Among public pension plans, those with assets of more than $5 billion and those with greater than $1 billion both saw median returns of -8.53% for the quarter while all public pension funds showed a median return of -8.94%. The biggest public plans had the best annual median return at 2.38% trailed by those with assets greater than $1 billion with a median return of 1.95$. All public pension plans fared less well coming in with a one-year median return of 1.31%.

Among corporate plans, the best quarterly and annual returns were seen by those with assets greater than $1 billion with median performances of -6.24% and 3.21% respectively. In the category that includes all corporate plans the median returns were -7.94% for the quarter and 1.98% for the year.

Consistent with a double-digit negative quarter for equity managers, all the equity style Wilshire TUCS return medians fell from -15.06% for large growth portfolios to -20.69% for small growth portfolios. For the year ending September 2011, large growth portfolios had the strongest performance, eking out a 1.38%, whereas small value portfolios showed the weakest performance at -4.21%.