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 | ||||||
| October | November | December | January | February | March | April | May |
|---|---|---|---|---|---|---|---|
| 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% | Russell 2000 64.6% |
| 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% | MSCI EM 51.0% |
| 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% | MSCI ACWI ex-U.S. 42.8% |
| 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% | S&P 500 40.3% |
| 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% | Real Estate 35.1% |
| 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% | High Yield 15.0% |
| 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% | Global ex-U.S. fixed income 7.8% |
| 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% | Cash 0.1% |
| 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% | BB U.S. Agg -0.4% |
The meteoric rise of liability-driven investing
Sources: P&I Research Center; NISA Investment Advisors; Bloomberg LP
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