February 14, 2012

U.S. Master Trust Universe Shows Positive Fourth Quarter and Twelve-Month Returns, Says BNY Mellon


Equity allocations help drive performance in Q4, but LDI strategies contribute to full year up-tick

BOSTON, February 14, 2012 — The median return of the BNY Mellon U.S. Master Trust Universe rebounded in the fourth quarter of 2011 with a gain of 5.17%, pushed by higher returning equities.  The relatively strong quarter performance moved the median plan into positive territory for the full year, up 92 basis points for the 12-months ending December 31, 2011.

With a market value of $2.15 trillion and an average plan size of $2.9 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 749 corporate, foundation, endowment, public, Taft-Hartley and health care plans.

"Closing 2011 on a high, all segments of the Universe showed positive results for the fourth quarter, with Taft-Hartley plans posting the best median return, up 5.63%," said Greg Stewart, managing director and regional product manager for BNY Mellon.  "Looking at the full year, corporate pensions were the best performer with a return of 2.42%.  Corporate pensions increasingly have been following liability driven investment (LDI) strategies, which carry a greater allocation to fixed income.  As of December 31, corporate pensions' median allocation to U.S. fixed income was 39%, compared to public funds with 28%."

Highlights

  • Almost 99% of plans had positive results for the quarter ending Dec. 31, 2011.  For the 12-month period, only 66.8% of plans were in the black.
  • 12% of plans matched or outperformed the custom policy return of 6.89% for Q4.  For the full year, 32% of plans outperformed the custom policy.
  • Taft-Hartley plans were the leading plan type for the fourth quarter, with a median return of 5.63%, followed by corporate pensions, public, foundations, health care, and endowment plans.
  • U.S. equities were the dominant asset class for the quarter with a median return of 11.86%, versus the Russell 3000 Index return of 12.12%.  Non-U.S. equities posted a median return of 4.09%, ahead of the Russell Developed ex US Large Cap Index result of 3.62%.  U.S. fixed income had a median return of 1.76%, versus the Barclays Capital U.S. Aggregate Bond Index return of 1.12%.  Non-U.S. fixed income posted a median return of 1.76%, compared to the Citigroup Non-U.S. World Government Bond Index return of -0.48%. 

"In contrast to the third quarter, equities helped drive returns in Q4, especially U.S. equities.  All returns were positive for the period, helping asset owners across the board," said Stewart.  "However, over the full year fixed income significantly outperformed equities, benefiting those plan types and asset owners who implement LDI strategies." 

The average asset allocation in the BNY Mellon U.S. Master Trust Universe for the fourth quarter was: U.S. equity 29%, U.S. fixed income 29%, non-U.S. equity 15%, non-U.S. fixed income 2%, real estate 2%, cash 2%, and alternatives/other 21%.

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 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 $25.8 trillion in assets under custody and administration and $1.26 trillion in assets under management, services $11.8 trillion in outstanding debt and processes global payments averaging $1.5 trillion per day.  BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation (NYSE: BK). Learn more on www.bnymellon.com or follow us on Twitter @BNYMellon.

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

Period Ending December 31, 2011

 

Universe                                            

Number of 
Participants

4Q 
2011

One-
Year

Five-
Years

Ten-
Years

Master Trust Total Fund

749

5.17

0.92

2.18

5.48

    Corporate Plans

251

5.55

2.42

2.60

5.81

    Foundations

85

4.35

0.27

1.90

5.50

    Endowments

96

3.63

0.24

2.32

5.74

    Public Plans

121

5.44

0.87

1.98

5.48

    Taft-Hartley Plans

83

5.63

1.14

1.77

4.59

    Health Care Plans

17

3.92

0.49

1.76

N/A

Universe Custom Composite Benchmark

6.89

2.70

2.70

5.03

BNY Mellon U.S. Master Trust Universe Median Allocations by Asset Class
Period Ending December 31, 2011

 

Asset Class

 

Q4

 

Q3

One
Year
Ago

Three
Years
Ago

Five
Years
Ago

U.S. equity

29%

29%

34%

29%

38%

U.S. fixed income

29%

29%

27%

28%

23%

Non-U.S. equity

15%

15%

17%

15%

20%

Non-U.S. fixed income

2%

2%

2%

2%

1%

Real estate

2%

2%

2%

4%

2%

Cash

2%

2%

1%

2%

1%

Alternatives/Other

21%

21%

17%

20%

15%

 

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.