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Wilshire TUCS® Reports Foundations and Endowments Hit Hardest by 3rd Quarter Market Decline



CONTACT:  Kim Shepherd



Performance of Institutional Assets Negative for the Third Quarter; 
One, Three and Five-Year Returns Stay Positive

SANTA MONICA, Calif., November 7, 2011 - Among institutional asset owners, not one category reported positive median returns during the third quarter with foundations and endowments seeing the greatest decline in median performance at -9.24 percent, while Taft-Hartley health and welfare funds had the best median return at -2.26 percent, according to the Wilshire Trust Universe Comparison Service® (Wilshire TUCS®). Wilshire TUCS is a cooperative effort between Wilshire Analytics, the investment technology unit of Wilshire Associates Incorporated (Wilshire®), and custodial organizations.

Foundations and endowments also had the worst median return for the year at 0.71 percent, but those foundations and endowments with assets greater than $500 million had the best one-year median return at 3.31 percent and a median quarterly return of -6.95 percent. 

"In a quarter where equity exposure pulled down total plan returns, Taft-Hartley health and welfare funds were rewarded for the large exposure to debt with a median allocation to bonds of 75.66 percent which easily outpaced the next largest median bond allocation segment of 36.71 percent for corporate funds," said Robert J. Waid, Managing Director, Wilshire Analytics.

"The overall results across Wilshire TUCS are not surprising given the fact that battered by worries over a worldwide economic slowdown, a headline-grabbing downgrade of United States Treasury debt and the ongoing European debt crisis, the global stock markets took a tumble during the third quarter of 2011 with the Wilshire Global Total Market IndexSM falling -20.66 percent," said Waid. "Here in the U.S., the stock market fell in all three months of the third quarter, with the Wilshire 5000 Total Market IndexSM returning -15.04 percent for the three month period."

For all master trusts included in Wilshire TUCS, the median quarterly and annual median returns were -8.64 percent and 1.42 percent, respectively.  The master trusts with greater than $1 billion in assets had a quarterly median return of -8.01 percent and a one-year median return of 2.44 percent.  The largest plans with $5 billion or more tallied a median quarterly return of -8.27 percent and a 12-month media return of 2.66 percent.

Among public pension plans, those with assets of more than $5 billion and those with greater than $1 billion both saw median returns of -8.53 percent for the quarter while all public pension funds showed a median return of -8.94 percent.  The biggest public plans had the best annual median return at 2.38 percent trailed by those with assets greater than $1 billion with a median return of 1.95 percent.  All public pension plans fared less well coming in with a one-year median return of 1.31 percent.

Among corporate plans, the best quarterly and annual returns were seen by those with assets greater than $1 billion with median performances of -6.24 percent and 3.21 percent respectively.  In the category that includes all corporate plans the median returns were -7.94 percent for the quarter and 1.98 percent for the year.

"Typically, much of the large plan effect can be explained by asset allocation differences between plan sizes.  However, drilling down to the asset class level continues to reveal that large plans delivered superior returns in all of the major asset classes," added Waid. 

"In the all master trusts universe, the U.S. equity return universe median is -15.79 percent for the broad universe, but -15.41 percent for the large plans," he noted.  "Likewise, the international equity return for the broad universe is -20.15 percent, while the large plans outperformed at -19.68 percent. "There are similar results in the U.S. fixed income return universe where the median return for all master trusts is 1.79 percent, but 2.21 percent in the plans with assets greater than $1 billion.  These superior asset class returns in the large plan universe persists for the longer cumulative time periods of one, five and ten year ending September 2011," Waid concluded.

Consistent with a double-digit negative quarter for equity managers, all the equity style Wilshire TUCS return medians fell from -15.06 percent for large growth portfolios to -20.69 percent for small growth portfolios.  For the year ending September 2011, large growth portfolios had the strongest performance, eking out a 1.38 percent, whereas small value portfolios showed the weakest performance at -4.21 percent.  Wilshire TUCS uses the Wilshire Analytics' six-factor holdings-based proprietary model for determining portfolio style.

Wilshire TUCS, the most widely accepted benchmark for the performance of institutional assets, includes approximately 900 plans representing nearly $3 trillion in assets.

For more information about the Wilshire Trust Universe Comparison Service, please e-mail TUCS@wilshire.com.

About Wilshire Associates

Wilshire Associates, a leading global independent investment consulting and services firm, provides consulting services, analytics solutions and customized investment products to plan sponsors, investment managers and financial intermediaries. Its business units include Wilshire Analytics, Wilshire Consulting, Wilshire Funds Management and Wilshire Private Markets.

The firm was founded in 1972, revolutionizing the industry by pioneering the application of investment analytics and research to investment management for the institutional marketplace. Wilshire is credited with helping to develop the field of quantitative investment analysis that uses mathematical tools to analyze market risks. All other business units evolved from Wilshire's strong analytics foundation. Wilshire developed the Wilshire 5000 Total Market IndexSM and became an early innovator in creating the industry's integrated asset/liability analysis/simulation models as well as the industry's practical models in risk budgeting through beta and active risk analysis. Wilshire has grown to a firm of more than 300 employees serving the investment needs of institutional clients around the world.

Based in Santa Monica, California, Wilshire provides services to clients in more than 20 countries representing approximately 600 organizations. With eleven offices on four continents, Wilshire Associates and its affiliates are dedicated to providing clients with the highest quality counsel, products and services. Wilshire is a registered service mark of Wilshire Associates Incorporated. Please visit http://www.wilshire.com/.


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