Institutional investors in the BNY Mellon U.S. Master Trust Universe returned a median -8.19% in the third quarter and 1.82% in the year ended Sept. 30.
The quarterly loss was primarily driven by equity markets, according to Greg Stewart, managing director and regional product manager of BNY Mellon Asset Servicing.
Only 7% of plans had positive returns for the third quarter.
For the quarter, international equities had the worst performance with a median -19.4% return, while domestic equities returned a median -15.7%. Domestic fixed income was the strongest performer, with a median return of 2.1%.
“What is interesting on the back of that is the average allocation to equities is at a historical low,” Mr. Stewart said in a telephone interview.
“We're seeing U.S. equity exposures of less than 30%,” Mr. Stewart said. “Bear in mind, go back a decade (and) we're in the mid-to-high 40s. We're seeing a big drop in domestic equity allocations.”
The average allocation in the universe for the third quarter was 29% each domestic equities and domestic fixed income, 15% international equities, 13% alternative investments, 8% other (including oil and gas), and 2% each international fixed income, real estate and cash.
Endowments had the highest returns in the third quarter with a median -7.29%. Corporate pension funds had a median return of -7.3% and public pension funds had a median return of -8.84%.
The universe comprises 737 corporate, public and Taft-Hartley defined benefit pension funds; foundations and endowments; and health-care plans. The plans have a combined market value of $1.31 trillion and an average plan size of $1.63 billion.