The median return of all plans in the BNY Mellon U.S. Master Trust Universe was -0.05% in the second quarter, dragged down by corporate pension plans and their higher allocations to fixed income.
It was the first negative quarter since the second quarter of 2012.
Forty-seven percent of plans had a positive return for the quarter and 99% were positive for the 12 months ended June 30.
Endowments had the highest quarterly returns at 0.37%, followed by foundations, 0.2%; Taft-Hartley plans, 0.05%; public pension plans, 0.01%; and corporate pension plans, -0.89%. The custom benchmark for the universe returned 0.29%; only 36% of plans matched or outperformed the benchmark in the quarter.
For the year, only 21% of plans matched or exceeded the benchmark return of 11.9%. Foundations had the highest median return for the year ended June 30 at 12.68%, followed by public plans, 12.36%; endowments, 12.2%; Taft-Hartley, 11.34%; and corporate plans, 10.7%. The master trust universe had a median 11.59% return.
Strong domestic equity and real estate performance helped cancel weak returns in fixed income and international equity for the quarter. U.S. equity had the highest median return at 2.85%, while real estate had a median return of 2.76%. International equities had a median return of -2%, the U.S. fixed-income median return was -2.88% and international fixed income, -3.84%.
The overall median allocation to domestic equity increased to 28% from 27% from the previous quarter, while U.S. fixed income decreased to 26% from 27% and non-U.S. fixed income dropped to 1% from 2%. Alternatives and other investments increased to 24% from 23%, while international equity and real estate were unchanged at 17% and 3%, respectively. Cash remained at 1%.
The universe comprises 619 defined benefit plans, foundations, endowments and health-care plans. The trusts have a combined market value of more than $2.2 trillion, with an average plan size of $3.6 billion.