The median plan in the BNY Mellon U.S. Master Trust Universe returned -6.07% in the first quarter, up 7.03 percentage points from the fourth quarter of 2008 but still the sixth straight quarter of negative returns.
Ninety-seven percent of plans in the universe posted negative returns for the first quarter.
U.S. fixed income was the top performing asset class for the quarter, posting a median return of 0.36%, outperforming the Barclays Capital U.S. Aggregate Bond Index by 0.24 percentage points. Non-U.S. fixed income returned a median -0.76%; U.S. equities returned a median -9.86%; and non-U.S. equities returned a median -11.34%.
All segments of the BNY Mellon U.S. Master Trust Universe were in negative territory for the first quarter, but fared quite a bit better than during the final quarter of 2008, Greg Stewart, first vice president and regional product manager of BNY Mellon Asset Servicing, said in a news release.
In fact, the median return for the month of March 2009 was positive (3.68%) as equity markets, domestic and international, rallied. Still, the financial impact of the last 18 months remains apparent in the extended period results, where the median plan posted annualized returns of just 0.20% and 2.68% over five and 10 years, respectively.
The average asset allocation for plans in the universe was 31% U.S. fixed income, 30% U.S. equity, 15% non-U.S. equity, 10% alternatives, 9% private equity and other investments, 2% each real estate and cash, and 1% non-U.S. fixed income.
The universe comprises 578 corporate and public pension plans, Taft-Hartley and health-care plans, foundations and endowments with a combined $888.9 billion in assets as of March 31.