Foundations and Endowments See Negative Performance in 2011

The only plan category with a negative median annual return was Foundations and Endowments at -0.73%. Coming in at 4.64%, the category had one of the lowest median fourth-quarter returns. Foundations and Endowments with assets greater than $500 million had a one-year median return of 0.95% and a median quarterly return of 3.60%.

At 2.60%, Taft-Hartley Health and Welfare Funds had the lowest median fourth-quarter return. This can be attributed to their significant exposure to debt with a median allocation to U.S. bonds of 73.73%. On the other side of the scale, Taft-Hartley Defined Benefit Plans were rewarded with a top median fourth-quarter return of 5.94% for their 41.40% and 5.82% exposures to U.S. Equities and Real Estate, respectively. For the year, the plans saw a 0.86% median return.

“The fourth quarter was one where large plan underperformance can be partially explained by the asset allocation difference between U.S. equities and non-U.S. equities,” said Robert J. Waid, managing director of Wilshire Analytics. “Large plans consistently had more equity exposure to non-U.S. equity and less exposure to U.S. equity than other categories in Wilshire TUCS. In a quarter where the Wilshire 5000 Total Market Index rose 12.02% and non-U.S. measures rose less than 4%, this allocation difference cost large plans,” he said.

For all master trusts included in Wilshire TUCS, the annual median return was 1.05%, while master trusts with greater than $1 billion in assets had a one-year median return of 1.61%. The largest plans with $5 billion or more tallied a median 12-month return of 1.45%.

Looking at public pension plans, those with assets of more than $5 billion and those with greater than $1 billion saw median fourth-quarter returns of 4.42% and 4.34%, respectively, and matching 2011 median returns at 0.86%. For the fourth quarter and the year, all public pension funds showed median returns of 5.31% and 1.02%, respectively.

Among corporate plans, the returns by all plans saw median performances of 5.64% for the quarter and 2% for the year. In the category that includes corporate plans with assets greater than $1 billion, the median quarterly and annual returns were 5.17% and 2.68%, respectively.

For more information about the Wilshire Trust Universe Comparison Service, e-mail TUCS@wilshire.com.