Q308 BNY Mellon Master Trust Sees Dismal Showing

November 10, 2008 (PLANSPONSOR.com) - The newest BNY Mellon Master Trust Universe data shows a combined -8.89% third-quarter return for the median plan for the 509 corporate, foundation, endowment, public, Taft-Hartley, and health care plans in the universe.

A BNY Mellon news release said the third-quarter 2008 results represented the fourth consecutive quarter of negative returns for institutional investors monitored in the universe.

Of the plans in the universe, 39% posted a return that either matched or exceeded the custom policy return of -8.27%, a contrast to recent quarters when the majority of plans beat the universe policy.

Health care was the top performing plan type for the third quarter with a -7.50% median return, followed by Taft-Hartley, corporate, foundations, public, and endowments.

Meanwhile, on a year-to-date basis, 99% of the plans posted negative results for the period ending September 30, 2008. On a year-to-date basis through September 30, 2008, the BNY Mellon US Master Trust Universe is down more than 14%; on a one-year annualized basis the average return is -14.63%, BNY Mellon said.

BNY Mellon said US fixed income led all asset classes for the quarter with a median return of -2.77%, underperforming the Lehman Brothers Aggregate return of -0.49%. Non-US fixed income posted a median return of -5.42%, versus the Citigroup Non-US Dollar World Government Bond Index return of -4.72%. 

US equities returned -9.46%, compared to the Russell 3000 Index return of -8.73%. Non-US equities returned -20.35%, lagging the MSCI All Country World Index ex US return of -14.91%.  

"The US Master Trust Universe has not escaped the turmoil in the financial markets as all plan types posted negative returns for the third quarter," said Greg Stewart, first vice president and regional product manager of BNY Mellon Asset Servicing. 

The average asset allocation in the BNY Mellon US Master Trust Universe for the third quarter was: US equity 32%, US fixed income 27%, non-US equity 16%, non-US fixed income 1%, alternative investments 11%, real estate 4%, cash 2%, and other (private equity, oil, gas, etc.) 7%.

The BNY Mellon US Master Trust Universe represents a market value of $1.2 trillion, with an average plan size of $2.4 billion.