Major asset classes negative for quarter
Santa Monica, Calif., November 9, 2023 – Institutional assets tracked by Wilshire Trust Universe Comparison Service® (Wilshire TUCS®) posted an all-plan median gross return of -2.42% for the third quarter and 10.19% for the year ending September 30, 2023. Wilshire TUCS, a cooperative effort between Wilshire and custodial organizations, is widely considered the definitive benchmark for U.S. institutional plan assets performance and allocation.
“The strength of the U.S. economy in the face of materially higher interest rates has led to ongoing recalibration of interest rate expectations, fueling a continued rise in bond yields,” said Jason Schwarz, President of Wilshire. “All plan types outperformed a traditional 60/40 portfolio, while smaller plans with higher allocations to public markets generally under performed larger plans by approximately 50-75 basis points,” Schwarz added.
U.S. equities, represented by the FT Wilshire 5000 Index℠, fell -3.28% in the third quarter and rose 20.48% for the 12 months ending in September; meanwhile, international equities, represented by the MSCI AC World ex U.S., returned -3.77% in the third quarterand 20.39% for the past year. U.S. bonds, represented by the Wilshire Bond Index℠, fell -3.99% in the third quarter with a gain of 1.16% for the one-year.
Across all plan types, quarterly median losses ranged from -0.95% to -3.41% for large foundation and endowment funds (assets above $500 million) and large corporate funds (assets above$1 billion), respectively. One-year median returns ranged from 5.82% to 12.49% for large corporate funds and small foundation and endowment funds (assets below $500 million), respectively.
For the quarter, nearly all plan medians outperformed the 60/40 portfolio loss of -3.31%. Additionally, all plan medians outperformed the -5.82% loss for the multi-asset Wilshire Risk Parity – 12% Target Volatility Index. Large foundation and endowment funds outperformed all other sizes and plan types in the third quarter due mostly to a larger (> 50%) exposure to alternatives. Allocation trends continue to show significant exposure for large foundations and endowments to alternatives, with a median third quarter allocation above 50%. Large corporate and public funds had median third quarter allocations to alternatives of 23.9% and 21.6% respectively.
For the year, all large and most small plan groups underperformed the 12.49% gain for the 60/40 portfolio while most plans outperformed the 6.15% gain for the multi-asset Wilshire Risk Parity– 12% Target Volatility Index. Large plans underperformed small across all plan types for the one-year, due mostly to smaller allocations to public equities.
Large plans (assets above $1 billion) overall posted losses of -2.05% for the quarter and gains of 9.03% for the year ending September 30, 2023; meanwhile small plans (assets less than $1 billion) underperformed large for the quarter but outperformed for the year with returns of -2.58% and 10.60%, respectively.
Wilshire is a leading global financial services firm and trusted partner to a diverse range of approximately 500 leading institutional investors and financial intermediaries. Our clients rely on us to improve investment outcomes for a better future. Wilshire advises on over $1.3 trillion in assets and manages $88 billion in assets as of June 30, 2023. Wilshire is headquartered in the United States with offices worldwide.
More information on Wilshire can be found at www.wilshire.com.
FT Wilshire US 5000 Index – The FT Wilshire US 5000 Index is abroad-based market capitalization-weighted index that aims to capture 100% of the US investible market capitalization.
MSCI ACWI ex USA Index – The MSCI ACWI ex USA Index captures large- and mid-cap representation across developed markets countries (excluding the United States) and emerging markets countries. The index covers approximately 85% of the global equity opportunity set outside the United States.
Wilshire Bond Index℠ – The Wilshire Bond Index℠ measures the performance of the U.S. taxable fixed income market based on actual holdings of U.S. institutional investors. The index includes all U.S. debt securities that are held by institutional investors represented by Wilshire Trust Universe Comparison Service® (TUCS®).
Wilshire Risk Parity Index – 12% Target Volatility – The Wilshire Risk Parity Index – 12% Target Volatility is designed to measure the performance of a multi-asset risk parity strategy that allocates risk equally among three risk baskets: equity, rates and inflation while targeting an ex-ante volatility level of 12%.
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