The information in this report is based on U.S. and U.K. public plan documents sourced from eVestment Market Lens through 2019. We used asset allocation disclosures provided by 206 U.S. plans managing assets of $4.0 trillion and 67 U.K. plans managing assets of £203 billion.
Recognizing that global financial markets have since undergone sweeping change, this analysis now serves three purposes: to understand the state of public plan portfolios as they entered a radically shifting landscape, to provide a reasonable estimate as to how current events are impacting these large pools of capital and lastly, from a vantage point post-Q1, highlight the potential opportunities and threats for asset managers globally.
- Based on public markets performance through Q1 2020 and asset class correlations seen throughout the financial crisis, we estimate U.S. public plans experienced a drawdown of -15.6% in Q1 2020, or a loss of -$619.2 billion across our sample of defined benefit funds. U.K. plans fared worse with an aggregate return of -20.0% during the quarter, in local terms.
- In the midst of the current stressed environment, we calculate fixed income allocations to be held significantly overweight through Q1 2020; +4.5% versus target allocations for U.S. plans and +1.6% for U.K. plans. While valuations continue to fluctuate, the asset class is most likely to see redemptions to fund rebalancing and opportunistic activities.