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BNY Mellon U.S. Master Trust Universe Reverses Q1 Losses

The BNY Mellon U.S. Master Trust Universe - which offers peer comparisons of investment performance by asset owner plan type and size - returned a median +10.68% in the second quarter of 2020. This rebound almost entirely reverses the -10.9% loss suffered by plans in the first quarter.

The Universe consists of 498 corporate, foundation, endowment, public, Taft-Hartley, and health care plans with a total market value of more than $2.1 trillion and an average plan size of over $6.8 billion. In aggregate, U.S. Master Trust Universe plans reported a one-year return of +4.16%, trailing the 3-year annualized return of +6.16% and 5-year annualized return of +6.15% respectively.

Taft-Hartley plans were the highest performing plan type for the quarter with a median gain of +11.08%, benefiting from having the highest allocation to U.S. equity of any plan type. Endowments underperformed other plan types; their allocation to U.S. equity was the lowest of all plan types.

“U.S. equity was the highest performing asset class in the second quarter of 2020 while hedge fund performance lagged. Endowment asset allocations were underweight U.S. equity by 9% and overweight hedge funds by 12% versus 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,” said Frances Barney, CFA, Head of Global Risk Solutions at BNY Mellon.

“In a study we recently conducted on performance and asset allocation trends of endowments and foundations, we saw asset allocation weights having the opposite effect on performance. E&F's with  less than $1B in assets suffered performance-wise in the first quarter of 2020 with higher allocations to public equity, whilst their larger peers, who tend to have higher allocations to alternatives, were somewhat cushioned from the market volatility,” Barney concluded.

Less than 2% of plans posted negative results during the quarter.

BNY Mellon

BNY Mellon


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