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Reported by Donna Bien-Aime

Top 10 Public Pension Funds Invested in Private Equity

OSC Economy Charts

Wall Street's 2024 U.S. Forecasts: GDP

Bank of America
1.4%
Citigroup
1.1%
Goldman Sachs
2.1%
JP Morgan
1.6%
Morgan Stanley
1.9%
Source: Reuters

Wall Street's 2024 U.S. Forecasts: Inflation

Personal Consumption Expenditures Price Index

Bank of America
2.8%
Citigroup
2.6%
Goldman Sachs
2.4%
JP Morgan
2.5%
Morgan Stanley
2.1%
Source: Reuters

Wall Street's 2024 U.S. Forecasts: Federal Funds Rate

Bank of America
n/a
Citigroup
n/a
Goldman Sachs
2.5%
JP Morgan
2.5%
Morgan Stanley
2.1%
Source: Reuters

Wall Street's 2024 U.S. Forecasts: 10-Year Treasury

Bank of America
4.3%
Citigroup
4.3%
Goldman Sachs
4.6%
JP Morgan
3.8%
Morgan Stanley
n/a
Source: Reuters

Wall Street's 2024 U.S. Forecasts: The Standard and Poor's 500

Bank of America
n/a
Citigroup
5000
Goldman Sachs
5100
JP Morgan
5100
Morgan Stanley
4200
Source: Reuters

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CIO LDI Industry Trends: Respondent Profile

Total Investable Assets

<$500MM
33%
$500MM–$1B
3%
>$1B–$5B
21%
>$5B–$15B
24%
>$15B–$25B
6%
>$25B
12%

 

Type of Organization

For-profit corporation (publicly traded)
57%
For-profit corporation (privately held)
24%
Government entity
11%
Hospital or health care organization (all types)
3%
Non-profit organization or charity
5%
Other
0%

Defined Benefit Plans

Change in Funded Status Since as of December 31, 2022

Decreased 1% – 3%
23%
Unchanged
20%
Increased 1% – 3%
37%
Increased 4% – 6%
11%
Increased 7% – 10%
3%
Increased >10%
6%

Portfolio Characteristics

Average Asset Allocation

2023
2021
Publicly-traded equities
26%
27%
Fixed-Income: LDI and liability-hedging
43%
58%
Fixed-Income - non-LDI (e.g., high yield, global bonds, etc.)
9%
4%
Cash
5%
1%
All other asset classes not mentioned above
17%
10%

Average Duration In Years

2023
2021
Average duration of total liabilities
12.2
13.7
Average duration of fixed income portfolio
11.5
15.4

LDI Usage

Percentage of Portfolio in LDI

0%
11%
1% – 19%
9%
20% – 39%
23%
40% – 59%
14%
60% – 80%
31%
>80%
11%

Median Hedge Ratio (% of liabilities)

Current
76%
Next target
85%
Final
90%

Are your triggers based on:

Funded ratio
86%
Interest rates
32%
Inflation
14%
Time factor
14%
Other
5%

Number of LDI Providers Used

1
31%
2 – 3
28%
4 – 5
22%
More than 5
19%

Current Funded Ratio

  • 80% - 90%
  • >90% - 100%
  • >100%

Current Funded Ratio2

  • 80%-90%
  • >90%-100%
  • >100%