Institutional investors in the first quarter experienced the worst returns since the onset of the COVID-19 pandemic, data from Wilshire Advisors show.
Plans in the Wilshire Trust Universe Comparison Service posted median returns of -4.9% and 3.5% for the fourth quarter and year ended March 31, respectively. Wilshire previously reported median returns of 4% and 13.3% for the fourth quarter and year ended Dec. 31, respectively.
The first-quarter numbers are the worst in the two years since the COVID-19 pandemic started. The median returns for the first quarter and year ended March 31, 2020, were -11.9% and -3.7%, respectively.
Across all plan types, very large corporate pension plans (with more than $5 billion in assets) had the lowest median return for the quarter at -6.1%, while very large public plans had the least damaging median return at -2.3%.
Jason Schwarz, president and chief operating officer of Wilshire Associates, said larger plans with higher allocations to alternative investments have benefited from more exposure to those asset classes.
"The diversification benefit of alternative investments (has) proven valuable in this market environment," Mr. Schwarz said. "Allocations to real assets such as commodities has also provided a substantial diversification benefit over the trailing one year, as demonstrated by the outperformance of risk parity relative to a 60/40 portfolio."
By plan type, foundations and endowments (with more than $500 million in assets) had the highest median return for the year ended March 31 at 10.5%, while the lowest was for corporate funds at 1.7%.
By asset class, the Wilshire 5000 Total Market index returned -5% and 13.1% for the quarter and year ended March 31, respectively, and the MSCI ACWI ex-U.S. index posted respective quarterly and one-year returns of -5.4% and 7.3%. The Wilshire Bond index, meanwhile, returned a median -6.1% and -2.6% for quarter and year ended March 31, respectively.
