The median fourth-quarter returns for endowments and foundations, public plans, corporate plans and Taft-Hartley plans all showed double-digit losses, according to Callan Investments Institutes Capital Market Review.
For the quarter, endowments and foundations returned -13.62%; public plans, -13.08%; corporate plans, -12.88%; and Taft-Hartley plans, -10.78%.
Results for the year ended Dec. 31 were worse, with corporate plan returns down 25.44%, endowments and foundations down 25.38%, public plans down 25.27% and Taft-Hartley plans down 21.97%.
The review which examines the economy and capital market performance in addition to tracking plan returns also found that returns for the median manager in the Callan hedge fund-of-funds database dropped 9.86% in the fourth quarter. For the year ended Dec. 31, the median fund of funds returns fell 20.78%.
The worst performing subindexes of the Credit Suisse/Tremont Hedge Fund index, which was down 10.21% for the quarter, were fixed-income arbitrage (-19.50%),convertible arbitrage (-15.07%) and distressed (-12.66%). Market-neutral equity fell 41.30%, reflecting the losses associated with the alleged Bernard Madoff fraud, the review said.