Plans in the BNY Mellon U.S. Master Trust Universe returned a median 10.7% and 4.2% for the three and 12 months ended June 30, respectively.
The quarterly return was almost a complete reversal of the -10.9% return the universe posted in the previous quarter.
Taft-Hartley plans in the universe performed the best during the second quarter, returning a median 11.1%, followed by corporate defined benefit plans at 11%; public DB plans, 10.5%; foundations, 10.3%; health-care plans, 10.1%; and endowments, 8.8%.
For the year ended June 30, corporate pension plans posted the highest median return at 7.7%. Following that were health-care plans at 4.2%; public pension plans at 2.6%; Taft-Hartley plans at 2.4%; foundations at 1.8%; and endowments at 1.6%.
For asset classes, U.S. equities posted a quarterly median return of 21.1%, while non-U.S. equities, 17.5%-23.6%; hedge funds, 11.9%; non-U.S. fixed income, 11.8%; U.S. fixed income, 5%; real estate, -1.3%.
"U.S. equity was the highest performing asset class in the second quarter of 2020, while hedge fund performance lagged," said Frances Barney, head of global risk solutions at BNY Mellon, in a news release announcing the results. "Endowment asset allocations were underweight U.S. equity by 9% and overweight hedge funds by 12% vs. other plan types, according to BNY Mellon's Asset Strategy View. These differences led to endowments being the lowest performing plan type for the quarter."
The average asset allocation in the universe for the first quarter was 23.9% U.S. fixed income, 19.6% U.S. equities, 11.9% hedge funds, 11.6% international equities, 9.6% private equity, 5.5% real estate, 5.2% global equities, 3.7% TIPS/inflation-linked bonds, 2.1% other real assets and the rest in cash.
For the three, five and 10 years ended June 30, BNY Mellon's universe reported a median annualized return of 6.2%, 6.2% and 8.2%, respectively.
The BNY Mellon U.S. Master Trust Universe consists of 498 corporate, foundation, endowment, public, Taft-Hartley and health-care plans.