Bears Maul Master Trust in 2002

February 10, 2003 ( - Despite the fourth quarter's uptick, the median total fund in the Russell/Mellon US Master Trust Universe returned the poorest performance since 1987.

The Master Trust ended 2002 down 9.12%, in spite of the fourth quarter’s 4.74% rally.   Compared to its benchmark for the quarter, the median total fund underperformed the 5.93% quarterly return of the composite benchmark – made up of the Russell 3000 Index 60%, LB Aggregate 30% and MSCI EAFE 10%. However, the total fund was still better for the year, outperforming the benchmark’s annual return of  an 11.61% loss.

Overall, only 19 of the 428 corporate, foundation/endowment, and public funds that make up the Russell/Mellon US Master Trust Universe ended the year in positive territory. The universe represents a market value of $763 billion.

Quarterly Performance

Both US and non-US equities led the way for fourth quarter returns in the black.   Looking abroad, the median plan in the non-US Equity asset class gained 7.22%, which was only slightly below the FTSE World ex-US quarterly return of 7.32%. Coming in slightly lower, but still on the plus side was the median plan return in the US Equity asset class up 7.09%.   However, the positive performance still came up short compared to the Russell 3000 Index quarterly return of 8.02%.

Besting its benchmark was the median plan in the US Fixed Income asset class, returning a steady 1.97%, compared to the fourth quarter return of 1.57% for the LB Aggregate Index.

The average asset allocation in the US Master Trust Universe for the fourth quarter was:  

  • US Equity 39%
  • US Fixed Income 28%
  • Non-US Equity 16%
  • Alternative Investments 6%
  • Other (Private Equity, Oil, Gas, etc.) 4%
  • Real Estate 3%
  • Cash 3%
  • Non-US Fixed Income 1%