Master Trusts See Negative Returns in Q2

August 10, 2012 ( - The median return of the BNY Mellon U.S. Master Trust Universe was -1.47% for the second quarter of 2012, driving down performance for the typical fund to 5.65% on a year-to-date basis.

By Rebecca Moore | August 10, 2012

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 twelve 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.