"The second quarter of 2022 was historical but for all the wrong reasons. If you look back 50 years, you'll be hard pressed to find another quarter where global equities were down by double digits and investment-grade bonds were down 5%," said Jason Schwarz, president and chief operating officer of Wilshire Associates, in a news release Tuesday. "All plan types were able to outperform a traditional 60/40 portfolio, particularly larger plans with higher allocations to alternative investments."
Across all plan types, large foundations and endowments (with more than $1 billion in assets) had the least damaging median return for the quarter ended June 30 at -5.3%, while small public pension plans (with less than $1 billion in assets) had the poorest median return at -10.7%.
According to Wilshire data, the traditional 60/40 portfolio returned -11.4% for the quarter.
For the year ended June 30, large foundations and endowments also had the highest median return at -1.2%, while small corporate pension plans (with less than $1 billion) had the lowest at -12.7%.
By asset class, the Wilshire 5000 Total Market index returned -16.8% and -13.2% for the quarter and year ended June 30, respectively, and the MSCI ACWI ex-U.S. index posted respective quarterly and one-year returns of -13.7% and -19.4%. The Wilshire Bond index, meanwhile, returned a median -5.3% and -10.3% for quarter and year ended June 30, respectively.
Pensions & Investments has reported on 18 public pension funds' fiscal-year returns through June 30, with the $3.9 billion Santa Barbara County (Calif.) Employees' Retirement System the only plan eking out a positive return, at 0.3%. The losses range as high as 11.1%.
