Q108 a Mean Time for Institutional Investors

May 14, 2008 (PLANSPONSOR.com) - The first-quarter performance data from the BNY Mellon Master Trust Universe shows the funds had a combined -5.18% performance - the weakest showing of any quarter since the second quarter of 2002.

A BNY Mellon news release said the median plan return was still 15 basis points ahead of the universe’s custom composite benchmark which posted -5.33% for the quarter. Of the plans in the universe, 95% posted negative results for the period ending March 31, 2008.

Health care was the top performing plan type for the first quarter with a -3.16% median return, followed by endowments, public plans, Taft-Hartley plans, foundations, and corporate plans, the news release said.

Non-U.S. Fixed Income led all asset classes for the quarter with a median return of 3.04%, lagging the Citigroup Non-US Dollar World Government Bond Index return of 10.93%. U.S. Fixed Income generated a median result of 1.29%, versus the Lehman Brothers Aggregate return of 2.17%. 

U.S. Equities returned -9.76%, compared to the Russell 3000 Index return of -9.52%, while non-U.S. Equities with a -8.78% return outperformed the MSCI All Country World Index ex US return of -13.33%. 

“Funds with greater fixed income exposure benefited during the equity downswing, while those with heavier equity allocations, such as corporate plans, paid the price,” said Greg Stewart, first vice president and regional product manager of BNY Mellon Asset Servicing, in the news release.  “Although U.S. Equities remains the dominant asset class for almost all plan types, the allocation to U.S. Equity in the BNY Mellon Master Trust Universe fell to 34%, more than 10% less compared to first quarter 2000.”

The average asset allocation in the BNY Mellon Master Trust Universe for the first quarter was: U.S. Equity 34%, U.S. Fixed Income 26%, Non-U.S. Equity 19%, Non-U.S. Fixed Income 1%, Alternative Investments 8%, Real Estate 3%, Cash 2%, and Other 7%.

The BNY Mellon Master Trust Universe represents a market value of $1.5 trillion, with an average plan size of $2.7 billion.