The median public, corporate and foundation/endowment plans in the Mellon Analytical Solutions universe lost 0.8%, 0.7% and 0.2%, respectively, in the quarter ended Dec. 31, according to a new report from Mercer. Foundations and endowments returned 10.2% on average in 2007, while public and corporate plans gained 8.3% and 8.1% respectively.
The best quarterly returns were in emerging market equities, which rose a median 4%. Even emerging markets managers in the 95th percentile showed slightly positive returns. The MSCI Emerging Market benchmark returned 3.7% for the quarter.
The worst returns for the quarter came from domestic small-cap value managers, where the median return was -6.6%, compared with the Russell 2000 Value index return of -7.3%; the median annual return was -2.9% vs. -9.8% for the benchmark.
Core and opportunistic fixed-income managers quarterly median returns were 2.6% and 2.2%, respectively, trailing the Lehman Brothers Aggregate index by 40 and 80 basis points, respectively. The median international growth equity manager earned 0.2%, beating its Citigroup BMI ex-U.S. Growth benchmark by 150 basis points. Annual returns were 19.7% vs. 13.4% for the benchmark.