For the twelve months ending March 31, 2011, the median return was 13.13%, considerably less than the 31.42% reported a year ago for the twelve-month period, which was the highest BNY Mellon has recorded going back to 1999.
Public plans were the leading performer for the first quarter, posting a median return of 4.01%, closely followed by foundations (3.78%), corporate pensions (3.65%), endowments (3.62%), Taft-Hartley (3.55%), and health care plans (3.22%).
Nearly all (99%) plans posted positive results for the quarter ending March 31, 2011. According to a press release, for the twelve months ending March 31, 2011, 100% plans posted positive results. Forty-four percent of plans matched or outperformed the custom policy return of 3.78% for the first quarter. For the twelve-month period, 53% of the plans matched or outperformed the custom policy return of 12.95%.
U.S. equities were the dominant asset class for the quarter with the median return of 6.49%, compared to the Russell 3000 Index return of 6.38%. Non-U.S. equities posted 3.15% for the quarter, slightly lagging the Russell Developed ex US Large Cap Index result of 4.20%. The median return for non-U.S. fixed income was 1.90% compared to the Citigroup Non-U.S. World Government Bond Index return of 0.97%. U.S. fixed income was the lowest performing asset class for the quarter with a median return of 0.91%, versus the Barclays Capital U.S. Aggregate Bond Index return of 0.42%.
The average asset allocation in the BNY Mellon U.S. Master Trust Universe for the first quarter was: U.S. equity 33%, U.S. fixed income 26%, non-U.S. equity 17%, non-U.S. fixed income 2%, alternative investments 10%, real estate 2%, cash 1%, and other (oil, gas, etc.) 9%.The Universe consists of 749 corporate, foundation, endowment, public, Taft-Hartley and health care plans with a market value of $1.41 trillion and an average plan size of $1.88 billion.
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