Institutional asset owners lost 4.6% at the median in the third quarter of 2015, a noteworthy drop from the 0.2% median gain recorded in the second quarter, according to Northern Trust Universe data.
The Northern Trust Universe tracks the performance of about 300 large US institutional investment plans, with a combined asset value of approximately $899bn.
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The third quarter has averaged a -0.25% return since 1998. The most recent third quarter return of -4.6% ranks in the bottom quartile all-time of third quarter returns as measured by Northern Trust Universe data.
According to the report, Corporate ERISA plans were the relative best performer among plan types last quarter, losing 3.9% at the median, while Foundations & Endowments lost 4.7% and Public Funds lost 4.9%.
Corporate ERISA plans returned to having the highest relative return after being the worst-returning plan type in the second quarter. All plan types had a median decline of at least 2 percentage points compared to the prior quarter, the report added.
According to Bill Frieske, senior investment performance consultant at Northern Trust Investment Risk & Analytical Services, "Weak equity returns significantly impacted institutional asset owners. The S&P 500 lost 6.4% in the third quarter while the MSCI EAFE index lost 10.2%. Having the smallest exposure to equities was a key factor behind the relative outperformance of corporate ERISA plans.
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By GlobalData"Another factor helping corporate ERISA plans was the longer duration of their fixed income programs. Corporate pension plans generally have been lengthening the duration of their fixed income programs while at the same time adding dollars to the allocation relative to Public Funds and Foundations & Endowments. The third quarter saw interest rates decline pushing up returns for long duration bonds."
Private equity, real estate and fixed income programs all generated positive results in the third quarter while US equity and international equity were significantly negative.
The report added that private equity was the best returning asset class in the third quarter with the median private equity program up 3%. Real estate was up about 2.3%, and the median bond program was up only 0.4%.
International equity was down more than 10%, and the median US equity program was down -7.6%.
