Pension plans, non-profits, foundations and endowments in the Wilshire Trust Universe Comparison Service all posted negative one-year performance as of June 30.
The median performance of all master trusts was -4.49% for the year ended June 30 and -0.74% for the second quarter.
The median performance of corporate pension plans was -5.2% for the year and -0.87% for the quarter; public pension funds, -4.51% for the year and -0.93% for the quarter; foundations and endowments, -4.7% for the year and -0.49% for the quarter; Taft Hartley funds, -3.55% for the year and -0.72% for the quarter; and non-profits, -4.67% for the year and -0.37% for the quarter.
The negative returns were the first across the board since March 2003, Wilshire said in a news release.
Wilshire TUCS also made available for the first time the rates of return for all master trusts and public pension plans with more than $5 billion in assets. Both saw identical median performances of -4.36% for the year and -0.84% for the quarter.
Even the larger plans with a greater allocation to alternatives were not immune from the impact of worldwide market volatility during the past year, Hilarie C. Green, managing director and head of Wilshire Analytics performance reporting division, said in a news release.
The TUCS universe includes more than 1,300 plans with a combined $3.04 trillion in assets.
Separately, Mercers Summary Performance of U.S. Institutional Portfolios survey found that the median corporate plan had a second-quarter loss of 1%, while public plans and foundation/endowment funds lost 0.7% and 0.4%, respectively, during the quarter.
Mercer said the losses were due to declining capital market returns as the subprime crisis, increasing commodity prices and the threat of a U.S. recession weighed on investors.
For the year ended June 30, corporate plans lost 5%, public plans lost 4.4% and foundation/endowment plans lost 3%. For the 10 years ended June 30, all of the plan types averaged gains of between 5.9% and 6.9% on an annualized basis.
Mercer surveyed 263 corporate pension plans, 75 public pension plans and 160 foundations and endowments for the quarter ending June 30.