The median return of all plans in the BNY Mellon U.S. Master Trust Universe was nearly flat at -0.02% in the second quarter, down from 2.4% in the first quarter.
Additionally, only 48% of plans posted a positive return for the quarter ended June 30, compared with 98% in the first quarter.
Endowments were the top performers, returning a median 0.58% for the three-month period, followed by Taft-Hartley plans at 0.3%; foundations, 0.28%; public defined benefit plans, 0.16%; health-care plans, -0.01; and corporate DB plans, -1.41%, making it the first quarter in more than a year corporate DB plan were not the top performers.
Real estate had the highest median quarterly return for the universe at 3.18%, followed by international equity, 1.12%; U.S. equity, 0.25%, international fixed income, -0.69%; and U.S. fixed income, -1.36%.
A higher allocation to U.S. fixed income (median 35%), particularly long duration, dragged down corporate DB plans' performance in the quarter, said Frances Barney, managing director, head of global risk solutions Americas at BNY Mellon, in a telephone interview. By comparison, endowment and foundations have a median 8% allocation to U.S. fixed income.
For the one, five and 10 years ended June 30, the universe returned an annualized median 2.95%, 10.36% and 6.77%, respectively.
Endowments also were the strongest performers for the year ended June 30, returning a median 3.66%, followed by Taft-Hartley plans, 3.38%; public DB plans 3.08%; corporate DB plans, 2.66%; health-care plans, 2.35%; and foundations, 2.21%.
The universe comprises 623 plans with a combined market value of more than $2.3 trillion and an average plan size of $3.6 billion.