November 28, 2011

U.S. Master Trust Universe Posts Positive Twelve-Month Return Despite Weak Third Quarter Results, Says BNY Mellon


Equity allocations at their lowest levels since Q4 2008

BOSTON, November 28, 2011 — The median return of the BNY Mellon U.S. Master Trust Universe was -8.19% for the third quarter of 2011, driving down performance for the typical fund to -3.66% on a year-to-date basis.  Even with weak quarterly performance, the median plan was up 1.82% for the twelve months ending Sept. 30, 2011.  Average plan allocation to equities was 44% for the third quarter, the lowest seen since the fourth quarter of 2008.

With a market value of $2.09 trillion and an average plan size of $2.8 billion, the BNY Mellon U.S. Master Trust Universe is a fund-level tracking service that can be used to make peer comparisons of both performance and asset allocation results.  The Universe consists of 737 corporate, foundation, endowment, public, Taft-Hartley and health care plans.

"All segments of the BNY Mellon U.S. Master Trust Universe posted negative returns for the quarter, a trend repeated for the year-to-date period.  Endowments posted the best returns for the quarter but were still down more than 7%," said Greg Stewart, managing director and regional product manager of BNY Mellon Asset Servicing.  "On a year-to-date basis, endowments were the top performing segment with a result of -2.50%, more than 170 basis points ahead of the next best segment, corporate pensions."

Highlights

  • Only 7% of plans posted positive results for the quarter ending September 30, 2011.  Year-to-date, however, nearly 26% of plans posted positive performance
  • Nearly 50% of plans matched or outperformed the custom policy return of -8.04% for the third quarter.  On a year-to-date basis, 52% of plans outperformed the custom policy.
  • Endowments were the leading performer for the third quarter, posting a median return of -7.29%, followed by corporate pensions, health care, Taft-Hartley, public and foundation plans.
  • On a year-to-date basis, endowments were the leading performers, posting a median return of -2.50%, followed by corporate pensions, health care, public, Taft-Hartley and foundation plans.
  • U.S. fixed income was the dominant asset class for the quarter with a median return of 2.11%, versus the Barclays Capital U.S. Aggregate Bond Index return of 3.82%.  Non-U.S. fixed income posted a median return of -2.31%, compared to the Citigroup Non-U.S. World Government Bond Index return of 0.95%.  U.S. equities posted a median return of -15.70% for the quarter, versus the Russell 3000 Index return of -15.28%.  Non-U.S. equities were the lowest performing asset class for the quarter with a median return of -19.40%, slightly lagging the Russell Developed ex US Large Cap Index result of -19.32%. 

"Equity markets once again dragged down returns for the quarter.  Non-U.S. equities were down nearly 20%, and U.S. equities fared a little better, down over 15% for the same period.  Equity markets were the only asset class in the red on a year-to-date basis, with double-digit losses," said Stewart.  "Given the significant allocation all types of plan sponsors have to U.S. equity it has been difficult for anyone to escape the market downturn."

The average asset allocation in the BNY Mellon U.S. Master Trust Universe for the third quarter was: U.S. equity 29%, U.S. fixed income 29%, non-U.S. equity 15%, non-U.S. fixed income 2%, alternative investments 13%, real estate 2%, cash 2%, and other (oil, gas, etc.) 8%.

BNY Mellon Asset Servicing offers clients worldwide a broad spectrum of specialized asset servicing capabilities, including custody and fund services, securities lending, performance and analytics, and execution services.  BNY Mellon Asset Servicing provides services through BNY Mellon and other related companies.

BNY Mellon is a global financial services company focused on helping clients manage and service their financial assets, operating in 36 countries and serving more than 100 markets.  BNY Mellon is a leading provider of financial services for institutions, corporations and high-net-worth individuals, offering superior investment management and investment services through a worldwide client-focused team.  It has $25.9 trillion in assets under custody and administration and $1.2 trillion in assets under management, services $11.7 trillion in outstanding debt and processes global payments averaging $1.6 trillion per day.  BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation (NYSE: BK).  Learn more at www.bnymellon.com and through Twitter @bnymellon.

 

BNY Mellon U.S. Master Trust Universe Median Plan Returns

Period Ending September 30, 2011

 

Universe

Number of

Participants

3Q

2011

One-

Year

Five-

Years

Ten-

Years

Master Trust Total Fund

737

-8.19

1.82

2.28

5.65

    Corporate Plans

258

-7.30

2.43

2.63

5.95

    Foundations

86

-8.85

1.18

2.16

5.87

    Endowments

92

-7.29

2.70

2.61

5.97

    Public Plans

118

-8.84

1.70

2.09

5.37

    Taft-Hartley Plans

75

-8.74

1.29

1.58

4.68

    Health Care Plans

17

-8.19

1.51

1.83

N/A

Universe Custom Composite Benchmark

-8.04

2.20

2.55

5.17

 

Russell 3000 Index: Russell Investment Group is the source and owner of the Russell Indexes and all trademarks and copyrights related to its indexes.

Russell Developed ex US Large Cap Index: Russell Investment Group is the source and owner of the Russell Indexes and all trademarks and copyrights related to its indexes.

Barclays Capital U.S. Aggregate Bond Index: © Barclays Bank PLC 2011.  This data is provided by Barclays Bank PLC all rights are reserved.

Citigroup Non-US World Government Bond Index: © Citigroup Global Markets Inc., 2011. All rights reserved.