The median return of public pension investments was –1 percent in the third quarter, according to a Wilshire Trust Universe Comparison Service report.
It was the first negative quarter in over a year for public plans, collectively.
More on third quarter performance, from Reuters:
Public pensions lost a median 1.00 percent in the third quarter, compared with a median drop of 0.84 percent for all plans over the same period. Wilshire’s benchmark investment performance measure is gleaned from nearly 1,600 plans, including corporate plans, foundations and endowments.
The biggest losers: small public pensions with less than $1 billion of assets. Their returns were down a median 1.07 percent for the quarter.
Larger corporate funds with more than $1 billion of assets had the best showing for the second quarter in a row, losing just 0.54 percent this past quarter.
Overall, the various plans suffered their first negative quarter since the second quarter of 2013, Wilshire said.
The funds’ underperformance was a surprise, said Robert Waid, managing director at Wilshire Associates, in a quarter when the Barclays U.S. Aggregate Index rose 0.17 percent.
“This is a quarter where classic diversification did not pay, with U.S. small-cap, international equity, real estate and commodities all underperforming,” Waid said in a statement. “This explains why the median performance for all plan types underperformed the classic 60/40 portfolio.”
In the second quarter, public pensions’ performance had improved greatly, returning a median 3.71 percent and outperforming peers, Wilshire data showed.
The Wilshire Trust Universe Comparison Service (TUCS) is a widely accepted benchmark for institutional investment performance, representing $3.7 trillion in institutional assets from over 1600 plans and endowments.