Most asset classes negative for quarter.
Santa Monica, California, May 10, 2022 – Institutional assets tracked by Wilshire Trust Universe Comparison Service® (Wilshire TUCS®) posted an all-plan median return of -4.94 percent for first quarter and 3.47 percent for the year ending March 31, 2022. 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.
“Large plans with higher allocations to alternative investments have outperformed as rising interest rates and tightening financial conditions have weighed on the performance of traditional assets, and the diversification benefit of alternative investments have proven valuable in this market environment,” said Jason Schwarz, President of Wilshire. “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,” Schwarz added.
U.S. equities, represented by the FT Wilshire 5000 Index℠, fell -4.98 percent first quarter and rose 13.09 percent for the 12 months ending March; meanwhile, international equities, represented by the MSCI AC World ex U.S., fell -5.36 percent first quarter and rose 7.28 percent for the year. U.S. bonds, represented by the Wilshire Bond Index℠, fell -6.09 percent first quarter and -2.58 percent for the one-year.
Across all plan types, quarterly median gains ranged from -6.08 to -2.30 percent for large corporate funds (assets above $1 billion) and very large public funds (assets above $5 billion), respectively. One-year median returns ranged from 1.72 to 10.50 percent for corporate funds and foundations and endowments (assets above $500 million), respectively.
For the quarter, all plan medians, except small foundations and endowments and large corporate funds, outperformed the 60/40 portfolio loss of -5.55 percent. All small median groups, except small public funds, underperformed the -5.02 percent loss for the multi-asset Wilshire Risk Parity – 12% Target Volatility Index. Large public funds and foundations and endowments outperformed small in the first quarter due mostly to larger exposure to U.S. alternatives. Allocation trends continue to show significant exposure for large foundations and endowments to alternatives, with a median first quarter allocation of 50.00 percent. Large corporate and public funds had median first quarter allocations to alternatives of 17.50 and 19.82 percent respectively.
For the year, large and small plan groups outperformed the 2.70 percent gain for the 60/40 portfolio but underperformed the 10.51 percent gain for the multi-asset Wilshire Risk Parity – 12% Target Volatility Index. Large plans outperformed small across all plan types plans for the year.
Large plans (assets above $1 billion) overall posted losses of -3.86 percent for the quarter and 6.74 percent median gains for the year ending March 31, 2022; meanwhile small plans (assets less than $1 billion) underperformed large for the quarter and the year with returns of -5.27 and 2.85 percent, respectively.
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