Plans in the BNY Mellon U.S. Master Trust Universe returned a median -10.9% in the three months ended March 31 and -2.65% for the year.
Corporate defined benefit plans in the universe performed the best during the first quarter, returning -8.64%, followed by health-care plans at -9.56%; endowments, -11.34%; Taft-Hartley plans, -12.32%; public DB plans, -12.54%; and foundations, -12.8%.
"In the first quarter of 2020, U.S. fixed income was the highest performing asset class, overweighting its peers by 22%," said Frances Barney, managing director and head of global risk solutions at BNY Mellon, in a news release about the results. "Due to corporate plans' tendency to allocate more assets to fixed income than other plan types, this overweight resulted in corporate plans being the top-performing plan type for the quarter."
For the year ended March 31, corporate pension plans posted the highest median return at 1.14%. Following were health-care plans at -1.81%; endowments at -3.86%; public pension plans at -4.14%; Taft-Hartley plans at -4.87%; and foundations at -5.03%.
For asset classes, real estate posted a quarterly median return of 1.34%, followed by U.S. fixed income, 0.51%; non-U.S. fixed income, -12.19%; U.S. equities, -21.28%; and non-U.S. equities, -23.64%.
The average asset allocation in the universe for the first quarter was 24.48% U.S. fixed income; 18.35% U.S. equities; 12.62% real estate; 11.18% international equities; 10.46% private equity; 5.61% real assets; 5.04% global equities; 3.39% TIPS/inflation-linked bonds; 2.34% international fixed income; 2.3% hedge funds; 2.03% global fixed income; and the remainder in cash.
For the three, five and 10 years ended March 31, BNY Mellon's universe reported a median annualized return of 3.71%, 4.01% and 6.56%, respectively.
The BNY Mellon U.S. Master Trust Universe consists of 519 corporate, foundation, endowment, public, Taft-Hartley and health-care plans.
