Investing May 6, 2005

15% of Russell/Mellon Master Trust Plans in the Black in Q105

May 6, 2005 (PLANSPONSOR.com) - Just over 15% of the 559 corporate, foundation, endowment, public, Taft-Hartley, and healthcare funds that make up the Russell/Mellon U.S. Master Trust Universe had positive performance for the first quarter of 2005.
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Representing an overall market value of $1.6 trillion and an average plan size of $2.87 billion, the median total fund had a small setback for the first quarter of 2005, returning -0.91%.  On a positive note, more than 70% of the plans outperformed a composite benchmark (Russell 3000 Index 50%, Lehman Brothers Aggregate 40%, MSCI World ex-US, 10%) which posted a quarterly return of -1.28%, according to a news release.


“Asset allocation made a big difference this quarter in the distribution of plan returns across the calculated universe results,” said Tim Clark, Russell/Mellon senior client relationship manager, in the news release  “Plans that were more heavily allocated in US Equity took a greater hit to performance than plans with smaller US Equity allocations and greater exposure in the Non-US Equity, US Fixed, and Non-US Fixed asset classes.”

Non-US Equities was the only asset class with a positive return of 0.23% for the quarter, which slightly lagged the MSCI AC W XUS Index result of 0.33%.  Although the median results for US Equities, US Fixed Income and Non-US Fixed Income asset classes were negative for the quarter, all exceeded their respective benchmarks, according to the news release.

The US Equities median result posted a -2.09%, ahead of the Russell 3000 Index return of -2.20%.  US Fixed Income and Non-US Fixed Income median results of -0.31% and -0.09%, respectively, exceeded their benchmarks, the Lehman Brothers Aggregate, -0.48%, and Citigroup World Government Non-US, -3.10%. 

 “Even though the overall first quarter median plan performance was negative, at the Master Trust level it did not surpass the -1.68% return reported two years ago in the first quarter of 2003,” Clark added.  “Endowment plans had the best trust fund performance of all, ending the quarter at -0.58%.  On a 1-year annualized basis, plan performance remained positive with results ranging from 7.15% to 7.81%, with the endowments universe leading the way.”

The average asset allocation in the US Master Trust Universe for the first quarter was: US Equity 42%, US Fixed Income 24%, Non-US Equity 20%, Non-US Fixed Income 1%, Alternative Investments 5%, Real Estate 3%, Cash 1%, and Other (Private Equity, Oil, Gas, etc.) 4%.

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