August 10, 2012
--- The median
return of BNY Mellon’s U.S. Master Trust Universe was -1.47% for the second
quarter, driving down performance for the typical fund to 5.65% year over year. ---
This marks only the third time in the last 12 quarters that
the median plan has shown a negative return, and the first time since third
quarter of 2011. Even with weak quarterly performance, the median plan
remained up 1.26% for the 12 months ending June 30.
Only 20% of plans had positive results for the quarter
ending June 30. For the 12-month period, 67% of plans were in the
black.
Forty-eight percent of plans matched or outperformed the
custom policy return of -1.41% for Q2. For the full year, 25% of plans
outperformed the custom policy.
Corporate plans were the leading plan type for the second
quarter with a median return of -0.85%, followed by health care plans (-1.42%),
endowments (-1.53%), public plans (-1.60%), Taft-Hartley (-1.65%) and foundations
(-1.80%).
Real estate was the dominant asset class for the quarter
with a median return of 2.45%, versus the NCREIF Property Index result of
2.68%. U.S. fixed income had a median return of 2.32%, versus the Barclays
Capital U.S. Aggregate Bond Index return of 2.06%. Non-U.S. fixed income
posted a median return of 0.65%, compared to the Citigroup Non-U.S. World
Government Bond Index return of 0.20%. U.S. equities posted a median
three-month return of -3.64%, versus the Russell 3000 Index return of
-3.15%. Non-U.S. equities posted a median return of -7.07%, just ahead of
the Russell Developed ex US Large Cap Index result of -7.09%.
The average asset allocation in the BNY Mellon U.S. Master
Trust Universe for the second quarter was: U.S. fixed income 29%, U.S. equity
28%, non-U.S. equity 16%, non-U.S. fixed income 2%, real estate 2%, cash 1%,
and alternatives/other 22%.
The BNY Mellon U.S. Master Trust Universe consists of more
than 700 corporate, foundation, endowment, public, Taft-Hartley and health care
plans.
Rebecca Moore