Growth in Total Pension Assets
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1 Session Sponsor 1
2 $US Billions 7000 Total Corporate 6000 Government Union Growth in Total Pension Assets 2000 ERISA Enacted Start of 401k Plans
3 Net Change In Pension Assets: , $US Billions Net Change Corporate 80 3,370 4,113% Government 50 2,793 5,486% Union ,140% Total 135 6,575 4,770% Source: The Money Market Directory, 2001, Standard & Poor s 3
4 US$ Billions 3500 Growth in Corporate Pension Fund Assets 3000 Total Defined Contribution Start of 401k Plans Defined Benefit Source: The Money Market Directory, 2001, Standard & Poor s The blue line represents the total pension assets. The difference between the blue line and the red line is defined contribution. The red line is just defined benefit Note: These are only those funds listed in Money Market Directory, do not place emphasis on total number 4
5 Percentage of Defined Benefit Versus Defined Contribution Plans Percent of Total Corporate Pension Plans Defined Benefit Defined Contribution Source: The Money Market Directory, 2001, Standard & Poor s 5
6 Net Change of Corporate Defined Benefit Versus Defined Contribution , $US Billions Change Defined 110 1,507 1,273% Contribution Defined Benefit 498 1, % Total 608 3, % Source: The Money Market Directory, 2001, Standard & Poor s 6
7 Historical Pension Fund Asset Allocation US$ Billions 1200 Equity Bonds Source: Trends in Pensions, Department of Labor, page 430,
8 Change in Asset Allocation: Average Percentage of Assets, Top 200 Defined Benefit Plans Stocks Real Estate Fixed Income Alternatives Cash Source: Pensions & Investments 8
9 Private Equity 38% Allocations for Selected Alternative Assets: Top 200 Defined Benefit Plans Distressed Debt 1% Private Debt 22% Venture Capital 36% Oil and Gas 3% Private Equity 68% Distressed Debt 3% Private Equity 66% 2001 Hedge Funds 3% Distressed Debt 1% Venture Capital 22% Oil and Gas 2% Private Debt 2% Venture Capital 28% Oil and Gas 1% Private Debt 4% Source: Pensions and Investments 9
10 Return and Risk by Asset Class 20 Years Ending 12/30/01 Avg. Return Avg. Risk 10 Years Ending 12/31/01 Avg. Return Avg. Risk Domestic Equity International Equity Long Treasuries High Yield High Grade Alternative Investments Sources: Domestic Equity: Russell 3000 International Equity: Ibbotson Long Treasuries: Combination of Ibbotson's Long Government Bond index and Lehman's Long US Treasuries index Alternative Investments: Combination of the Brinson VC index and the Venture Economics PVCI High Yield: Merrill High Yield Index High Grade: Merrill high Grade index 10
11 Return and Risk by Asset Class 5 Years Ending 12/31/01 Avg. Return Avg. Risk 2 Years Ending 12/31/01 Avg. Return Avg. Risk Domestic Equity International Equity Long Treasuries High Yield High Grade Alternative Investments Sources: Domestic Equity: Russell 3000 International Equity: Ibbotson Long Treasuries: Combination of Ibbotson's Long Government Bond index and Lehman's Long US Treasuries index Alternative Investments: Combination of the Brinson VC index and the Venture Economics PVCI High Yield: Merrill High Yield Index High Grade: Merrill high Grade index 11
12 Historical Return by Asset Class Average Annual Percentage Return Years 10 Years Domestic Equity International Equity Long Treasuries High Yield High Grade Alternatives Sources: Domestic Equity: Russell 3000 International Equity: Ibbotson Long Treasuries: Combination of Ibbotson's Long Government Bond index and Lehman's Long US Treasuries index Alternative Investments: Combination of the Brinson VC index and the Venture Economics PVCI High Yield: Merrill High Yield Index High Grade: Merrill high Grade index 12
13 Historical Return by Asset Class Average Annual Percentage Return Years 2 Years Domestic Equity International Equity Long Treasuries High Yield High Grade Alternatives Sources: Domestic Equity: Russell 3000 International Equity: Ibbotson Long Treasuries: Combination of Ibbotson's Long Government Bond index and Lehman's Long US Treasuries index Alternative Investments: Combination of the Brinson VC index and the Venture Economics PVCI High Yield: Merrill High Yield Index High Grade: Merrill high Grade index 13
14 Growth in International Equities Versus Bonds Source: Pensions and Investments 14
15 U.S. Average Life Expectancy Source: Center for Disease Control 15
16 Percentage Change in U.S. Population By Age Group, 2000 to % 80% % 14% % Source: Mike Milken s Slide 16
17 Actual Versus Expected Returns: Consolidated New York Pensions Annual Percentage 40 Actuarial Assumption Market Return Source: New York State Governor s Office of Employee Relations 17
18 Need for Different Pension Assets Endowment and Foundation Example Expected 5 Year Return Past 5 Year Return Domestic Equity 8.7% 10.1% Fixed Income 6.4% 7.4% Necessary Total Return to Pay Benefits 8.8% Source: Wall Street Journal, March 20, 2002 Expectations of fixed income returns and stock return data from Greenwich associates, Fixed income: Lehman US Aggregate Fixed Income 18
19 Source: Pensions and Investments 19
20 Growth in Institutional Ownership of U.S. Equity Percentage of Total Equity 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Individuals All Institutional Investors State and Local Pension Funds Source: Flow of Funds report from the Federal Reserve. 20
21 Missing Proxy Activity Increases 21
22 Financing Retirement Then and Now 22
23 THEN 23
24 Then Domestic Equities 5 Years, as of 12/31/99 Average Return Average Risk Alternative Investments Long Treasuries Assets grew much faster than liabilities Result Pension Funds are in the best financial shape (assets/liabilities) ever!!! Sources: Domestic Equity: Russell 3000 Long Treasuries: Combination of Ibbotson's Long Government Bond index and Lehman's Long US Treasuries index Alternative Investments: Combination of the Brinson VC index and the Venture Economics PVCI 24
25 NOW 25
26 Now 5 Years, ending 12/31/01 Avg. Return Avg. Risk 2 Years, Ending 12/31/01 Avg. Return Avg. Risk Domestic Equities Alternative Investments Long Treasuries Assets shrink and liabilities continue to grow Result Pension Funds are no longer in the best financial shape (assets/liabilities) ever!!! Sources: Domestic Equity: Russell 3000 Long Treasuries: Combination of Ibbotson's Long Government Bond index and Lehman's Long US Treasuries index Alternative Investments: Combination of the Brinson VC index and the Venture Economics PVCI 26
27 THE NEXT FIVE YEARS? 27
28 YTM on 20-Yr. U.S. Treasury Yield on 90-Day Bills P/E of S&P Year SD of S&P 500 YTM High Yield YTM High Grade Inflation Last 12 Months RE Annual Income Return Then: Now: Source: Allen Emkin 28
29 GMO 7-Year Asset Class Return Forecasts As of March 31, % Stocks Bonds Other 12% 11.7% 10.5% 10% 8% 6% 4% 2% 0% 1.0% 1.9% 4.1% 7.7% 2.2% 4.5% 4.9% 4.1% 3.8% 2.1% 2.2% 7.6% 5.5% 1.0% 1.0% 2.4% 2.7% 3.1% 2.8% 8.7% 2.2% 6.5% 0.3% 0.2% 3.6% 3.7% 1.6% 3.4% 2.1% 8.8% 8.5% 1.4% 9.1% -2% -0.9% -4% U.S. equities (large cap) U.S. equities (small cap) Int'l. equities (large cap) Int'l. equities (small cap) Equities U.S. Bonds Int'l. Bonds (emerging) (gov't.) 2 (gov't.) 3 Bonds (emerging) Bonds (inflation indexed) U.S. treasury (30 days to 2 yrs.) REITs Managed Timber Estimated Range of 7-Year Annualized Returns ±6.5 ±7.0 ±6.5 ±7.0 ±10.5 ±4.0 ±4.0 ±8.5 ±1.5 ±1.5 ±6.0 ±5.5 - Expected Value Added - Real Return (Asset Class Index) Source: Barron s Online, After the Deluge: An elegant thinker deconstructs the stock market's latest bubble and its likely aftermath, August 6,
30 GMO 7-Year Asset Class Return Forecasts As of March 31, % U.S. Large U.S. Small Int l. Large Int l. Small 8% 7.6% 6% 5.5% 4% 2% 2.4% 4.5% 2.7% 1.3% 4.3% 2.3% 0.3% 0.2% 0% -2% -0.9% -1.8% -4% -6% S&P 500 US Large Growth US Large Value US Small US Small Growth US Small Value EAFE Intl Growth Intl Value Intl Small Intl Small Growth Intl Small Value Source: Barron s Online, After the Deluge: An elegant thinker deconstructs the stock market's latest bubble and its likely aftermath, August 6,
31 Absolute Return Portfolios Achieving High Real Returns with Reasonable Risk Expected Real Return w/ Alpha 12% 10% 8% 6% 4% 2% 0% 6.4% 6% 10% 8% 11% 9% 4% 50% 8.5% 19% 15% 10% 10% 20% 25% Global Equity Portfolio (Indexed) 3% 5% 7% 9% 11% 13% 15% Volatility 9.7% 25% 15% 15% 15% 10% 20% 1.0% REITs Int l Large Value Int l Small Value Emerging Equity Emerging Debt Market Neutral Aggressive Long/Short US Gov t Bonds Inflation Protected Gov t.. Bonds As of 3/31/02 Source: Barron s Online, After the Deluge: An elegant thinker deconstructs the stock market's latest bubble and its likely aftermath, August 6,
32 Low Return Environment for the 2000s Dividend Yield Historical Stock Returns 5.0 % Expected Stock Returns 1.5 % Inflation P/E Expansion Real Growth in Earnings/Dividends Total 2.5 % 2.0 % 1.5 % 11.0 % 2.5 %?? % 1.5 % 5.5 % +?? Source: American Airlines Presentation 32
33 Opportunities to Enhance Returns Return to fundamental value investing Small capitalization Emerging markets High yield bonds Private equity investments Source: American Airlines Presentation 33
34 Focus on Basics Active management vs. indexing Yields Disciplined rebalancing Low costs Source: American Airlines Presentation 34
35 Low Return Environment for the 2000s Warren Buffet Forecasts likely future returns of stocks at 7 percent per annum Long-term stock prices grow with corporate earnings which grow with GDP + dividends Unlikely to get lower interest rates which have driven an expansion of market P/E s since 1980 Corporate profits are normal relative to GDP Source: American Airlines Presentation 35
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