Capital Market Assumptions

Portfolio reviews are one of the most common document types added to eVestment Public Plan IQ, a leading resource for aggregating the competitive intelligence of state and local government pension plans. These reviews, often authored by consultants, can be sources of manager rosters, asset allocation information, performance, general market commentary and capital market assumptions.

In this paper, we’ll review capital market assumptions from 10 different consultants spanning two years and take a deeper dive into the consultants’ outlook across various asset classes.

Key Findings

  • For all consultants analyzed, Emerging Markets Equity had either the highest or second highest return assumptions among Equity strategies
  • For 2016 and 2017 intermediate term assumptions, the largest dispersion within consultants’ assumptions for Fixed Income was for Emerging Markets Debt strategies with over a 200 bps difference
  • Of the consultants reviewed in this paper for Private Equity, Wilshire was the only one to increase their intermediate term assumptions in 2017
  • Hedge Fund assumptions in 2016 and 2017 are notably lower than those of Equity

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