Trusts in the Wilshire Trust Universe Comparison Service returned a median -4.53% in the third quarter, down from -0.04% the previous quarter.
The third quarter marked the worst-performing quarter in four years. The second and third quarters also marked the first back-to-back negative quarters since the financial crisis in 2008 and 2009.
Taft-Hartley health and welfare funds were the best performers, returning a median -2.79% for the quarter, followed by corporate defined benefit plans at -3.62%; public DB plans, -4.61; Taft-Hartley DB plans, -4.81%; and foundations and endowments, -5.23%.
Falling global equity returns dragged down all plan types. The MSCI ACWI ex U.S. returned -12.17% for the quarter, and the Wilshire 5000 Total Market index, -6.91%, the lowest quarterly return in four years. Plans that diversified their equity exposure from large-cap U.S. equity to either U.S. small-cap or non-U.S. equity suffered more, said Robert J. Waid, managing director at Wilshire Associates, in telephone interview. The Wilshire U.S. small-cap index returned -10.88% in the third-quarter.
Foundations and endowments, the lowest-performing plan type, had median domestic equity and international equity allocations of 32.23% and 12.96%, respectively.
On the flip side, the Barclays U.S. Aggregate Bond index rose 1.23% for the quarter and 2.94% for the year ended Sept. 30. As a result, most plan median returns underperformed the classic 60/40 portfolio, which returned -3.65% for the quarter, Mr. Waid said. Taft-Hartley health and welfare funds and corporate plans were the only funds that outperformed the classic 60/40 portfolio for the quarter.
Taft-Hartley health and welfare funds are “one of the most conservative plan types out there,” Mr. Waid said. Their median U.S. bond allocation is 56.28%.
For the one-, three-, five- and 10-year periods ended Sept. 30, the universe had median returns of -0.42%, 6.63%, 7.53% and 5.71%, respectively. (Figures for more than one year are compound annualized.)
Taft-Hartley health and welfare funds were also the best performers in the 12 months ended Sept. 30, returning a median 0.43%, followed by corporate DB plans at 0.08%; Taft-Hartley DB plans, -0.06%; public DB plans, -0.35%; and foundations and endowments, -1.37%.
As of Sept. 30, 2014, Wilshire TUCS included more than 1,500 plans with more than $3.7 trillion in assets.
