This report is an aggregated look at capital market assumptions from six consultants. The data in this report is sourced from eVestment Market Lens. Among other insights into consultant perspectives such as manager ratings, Market Lens harvests documents from public plans, then extracts and structures insights from those documents, including capital markets assumptions.

eVestment’s unique position as a data-driven source of intelligence serving institutional asset managers, investors and their consultants globally provides us the ability to produce a holistic view of the themes, trends and trend shifts impacting asset managers around the world.

Each quarter, we mine eVestment data to brief traditional managers on the state of the global institutional market. For this webcast, Eric Thielscher, Global Head of Public Equities at Cambridge Associates, provided his commentary as we presented the trends around where assets are moving, what universes consultants and asset owners are researching, how public plans in the US and UK are under-allocated and other thematic trends such as ESG.

Market shocks can be fast, confusing and brutal. Attempting to react to them in real-time often results in suboptimal investment decisions. That’s where risk scenario planning is essential. In this analysis, we use the Solovis Risk Analytics application to simulate the impact of a market shock on a hypothetical public-plan portfolio and model the impact that an uptick in corporate bankruptcies might have on our portfolio.

Negative press implies that the risks associated with alternative investing should be a red flag for pensions, many of whom have been increasing capital allocated to this asset class. The reality is that pensions will continue to look to the private markets as an effective way to diversify portfolios and increase returns. This paper offers insight aimed at addressing the fundamental issues associated with private market investing.

Comparing fees across strategies and regions is not a simple task. This report organizes management fee data, exploring the current landscape of separate account fees and the differences in actual fees paid by public plan investors versus managers’ stated fees across multiple structures.

We take a look at the state of asset allocations through 2019, understanding that global markets are in the midst of a substantial revaluation process, and attempt to quantify the impact COVID-19 has had on U.S. public plans based on public market returns through Q1 and historical asset class correlations.

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