Median DB Plan Loses Ground in Q4

February 12, 2008 ( - The median plan for the 583 corporate, foundation, endowment, public, Taft-Hartley and healthcare funds that make up the BNY Mellon U.S. Master Trust Universe posted a combined loss of 0.55% for the fourth quarter of 2007, the first negative quarterly return since the second quarter of 2006.

Despite the volatility, year-end performance for the median plan was 8.28%, marking the fifth consecutive year of positive returns, according to a press release.   The BNY Mellon U.S. Master Trust Universe represents a combined market value of $1.8 trillion, with an average plan size of $3.0 billion.

Of the plans in the universe 65% posted negative results with only 54% matching or outperforming the universe’s composite benchmark (Russell 3000® Index 50%, Lehman Brothers Aggregate 40%, MSCI All Country World Index ex US 10%), which lost 0.62% for the quarter.  

U.S. Fixed Income led all asset classes for the quarter with a median return of 2.65%, lagging the Lehman Brothers Aggregate return of 3.00%, according to a press release.   Non-U.S. Fixed Income generated a median result of 1.99%, while U.S. Equities slipped 3.30%.   Non-U.S. Equities 0.80% loss underperformed the MSCI All Country World Index ex US return of -0.62%.  

Endowments on Top

Endowments were the top performing plan-type for the fourth quarter with a 0.06% median return, followed by healthcare, foundations, Taft-Hartley, corporate and public plans.   Endowments’ lower allocation to the U.S. equity market was cited as one of the reasons for the relative performance, along with their higher allocation to alternatives.

The average asset allocation in the U.S. Master Trust Universe for the fourth quarter was:

  • 35% – U.S. Equity
  • 25% – U.S. Fixed Income
  • 19% – Non-U.S. Equity
  • 1% – Non-U.S. Fixed Income
  • 8% – Alternative Investments
  • 3% – Real Estate
  • 1% – Cash
  • 8% – Other (Private Equity, Oil, Gas, etc.)