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Investing

Wilshire TUCS, BNY Mellon universes record first quarterly loss in more than 2 years

Institutional investors lost about 0.4% in the first quarter, according to recent data from BNY Mellon and Wilshire Associates.

Plans in the Wilshire Trust Universe Comparison Service returned a median -0.47% in the first quarter, down from a median 3.59% in the fourth quarter. This marks the first negative quarter since the third quarter of 2015. Plans in the BNY Mellon U.S. Master Trust Universe returned a median -0.39% in the quarter.

Public defined benefit plans posted the highest median quarterly return in Wilshire's universe at -0.23%; followed by Taft-Hartley health and welfare funds, -0.25%; Taft-Hartley DB plans, -0.34%; foundations and endowments, -0.37%; and corporate DB plans, -0.78%.

"In first quarter, median returns for all plan types outperformed the 60/40 portfolio, which returned -1.18%," said Jason Schwarz, president, Wilshire Analytics and Wilshire Funds Management, in a news release on the results. "The only plan types to deliver positive median returns for the quarter were large public funds with assets greater than $1 billion and large foundations and endowments with assets greater than $500 million."

For the year ended March 31, the TUCS universe returned a median 9.51%. Public DB plans posted the highest median return for the 12-month period at 10.44%, followed by foundations and endowments, 10.03%; Taft-Hartley DB plans, 9.59%; corporate DB plans, 8.63%; and Taft-Hartley health and welfare funds, 6.55%.

By asset class, the Wilshire 5000 Total Market index posted the quarterly and one-year returns of -0.76% and 13.69%, respectively. The MSCI World ACWI ex-U.S., meanwhile, returned -1.18% and 16.53% over those periods, respectively, and the Wilshire Bond index, -1.82% and 1.63%.

Longer term, for the three, five and 10 years ended March 31, the TUCS universe returned a median annualized 5.89%, 7.26% and 6.5%, respectively.

Meanwhile, plans in the BNY Mellon U.S. Master Trust Universe returned a median -0.39% in the quarter, marking the first negative result in 10 quarters for the fund-level tracking service.

By plan type, endowments posted the highest median quarterly return in BNY Mellon's universe at 0.52%, followed by foundations, -0.12%; public plans, -0.14%; Taft-Hartley plans, -0.19%; health-care plans, -0.71%; and corporate DB plans, -1.14%.

"Endowments benefited from higher allocations to alternatives and lower allocations to U.S. fixed-income investments vs. other plan types. These plans overweighted alternatives at a 44% allocation vs. 21% for the master trust universe as a whole and underweighted U.S. fixed income at 9% vs. 27% for the whole," said Frances Barney, managing director and head of global risk solutions at BNY Mellon, in a news release on the results.

Real estate posted a quarterly median return of 2.06%; non-U.S. fixed income, 1.29%; U.S. equities -0.4%; non-U.S. equities, -0.4%; and U.S. fixed income, -1.12%, according to BNY Mellon.

For the 12 months ended March 31, the BNY Mellon U.S. Master Trust Universe returned a median return of 10.13%. Public DB plans posted the highest median return for the year at 10.64%, followed by endowments, 10.61%; foundations, 10.14%; corporate plans, 9.79%; Taft-Hartley plans, 9.33%; and health-care plans, 9.06%.

Non-U.S. equities were the top-performing asset class for the year, returning a median 17.58% for the universe, followed by U.S. equities, 13.85%; and non-U.S. fixed income, 8.57%.

For the three, five and 10 years ended March 31, BNY Mellon's universe returned a median annualized 6.37%, 7.64% and 6.32%, respectively.

The BNY Mellon U.S. Master Trust Universe consists of 626 corporate, foundation, endowment, public, Taft-Hartley and health-care plans with an average plan size of more than $6 billion.

Wilshire TUCS includes more than 1,000 plans with more than $3.6 trillion in assets combined.