MSCI's InvestorForce Plan Universes fell the most in four years during the third quarter as volatility across global capital markets took its toll on institutional portfolios.
The funds had a median net return of -4.89% in the third quarter.
The median return gross of fees for all plans was -4.7% in the three months ended Sept. 30. It was the largest drop since the third quarter of 2011 when the median return was -8.28%.
Annualized net returns for the one-, three- and five-year periods ended Sept. 30 were -1.32%, 5.7% and 6.53%, respectively.
Corporate defined benefit plans fared the best among investor types during the quarter, posting a median return of -4.4% in the quarter, net of fees. Taft-Hartley pension funds were next (-4.71%), followed by public DB plans, with a median net return of -5.2%.
InvestorForce data show that endowments and foundations fared the worst during the quarter, with a median net return of -5.98%.
Global markets were spooked in the third quarter on worries about economic growth in China and its potential impact on the global economy, as well as uncertainty around Federal Reserve monetary policy decisions.
The Russell 3000 fell 7.2% in the third quarter, and the MSCI ACWI ex-U.S. dropped 12.1%.
Corporate pension plans benefited from their derisking profiles as the Barclays Capital U.S. Government/Credit index rose 1.2% during the quarter.