By the Numbers for May 2021
Pension risk transfer activity
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Monthly corporate funding ratio
Trailing 12-month returns by asset class
| 2020 | 2021 | ||||||
| September | October | November | December | January | February | March | April |
|---|---|---|---|---|---|---|---|
| S&P 500 15.1% | S&P 500 9.7% | S&P 500 17.5% | Russell 2000 20.0% | Russell 2000 30.2% | Russell 2000 51.0% | Russell 2000 94.8% | Russell 2000 74.9% |
| MSCI EM 10.4% | BB U.S. Agg. 6.2% | MSCI EM 15.0% | S&P 500 18.4% | MSCI EM 27.9% | MSCI EM 36.0% | MSCI EM 58.4% | MSCI EM 48.7% |
| BB U.S. Agg 7.0% | Global ex-U.S. fixed income 5.0% | Russell 2000 13.6% | MSCI EM 16.3% | S&P 500 17.2% | S&P 500 31.3% | S&P 500 56.4% | S&P 500 46.0% |
| Global ex-U.S. fixed income 5.5% | MSCI EM 4.9% | MSCI ACWI ex-U.S. 9.5% | MSCI ACWI ex-U.S. 10.7% | MSCI ACWI 14.0% | MSCI ACWI ex-U.S. 26.2% | MSCI ACWI ex-U.S. 49.4% | MSCI ACWI ex-U.S. 43.0% |
| High Yield 3.3% | High Yield 3.5% | Global ex-U.S. fixed income 8.9% | Global ex-U.S. fixed income 10.1% | Global ex-U.S. fixed income 8.2% | High Yield 9.40% | Real Estate 34.4% | Real Estate 32.6% |
| MSCI ACWI ex-U.S. 3.0% | Cash 0.9% | BB U.S. Agg 7.3% | BB U.S. Agg 7.5% | High Yield 7.4% | Global ex-U.S. fixed income 6.3% | High Yield 23.7% | High Yield 19.7% |
| Cash 1.1% | Russell 2000 -0.1% | High Yield 7.2% | High Yield 7.1% | BB U.S. Agg 4.7% | Real Estate 1.6% | Global ex-U.S. fixed income 7.2% | Global ex-U.S. fixed income 6.7% |
| Russell 2000 0.4% | MSCI ACWI ex-U.S. -2.6% | Cash 0.8% | Cash 0.7% | Cash 0.6% | BB U.S. Agg 1.4% | BB U.S. Agg 0.7% | Cash 0.1% |
| Real Estate -16.6% | Real Estate -21.5% | Real Estate -10.5% | Real Estate -9.2% | Real estate -9.8% | Cash 0.4% | Cash 0.1% | BB U.S. Agg -0.3% |
A closer look at the 100 largest public U.S. corporate defined benefit plans
Change in average asset allocation
Change in average assumed rate of return
Distribution of assumed rates of return
Sources: P&I Research Center; NISA Investment Advisors; Bloomberg LP; company reports
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