Return assumptions across 128 U.S. public pension funds fell on average 65 basis points from 2008 to 2019, according to a November data release by the National Association of State Retirement Administrators. The average long-term return assumption was 7.3% based on the plans' fiscal year 2018 CAFRs, down from an average 8% in 2008 across the same plan population. Additionally, 91% of the plans reduced their return targets and none increased them over the period.
The forward-looking long-term return targets for 2019 are less uniform than they were in 2008, when an 8% goal was maintained by 56 of the plans. Now, that number is in the right tail of the distribution while the range of return assumptions has widened significantly. Most plans now maintain targets of 7.25% or 7.5%, with a handful below 7% and one, the Kentucky Retirement Systems, at 5.25%. Kentucky held a 7.75% return assumption for fiscal year 2008. Among the plans with current targets below 7%, the average change was 105 basis points.