This report intends to provide insights into the overall and asset class benchmarks selected by the 50 largest U.S. public defined benefit plans. The top 50 plans are selected based on their reported U.S. DB asset totals in Pensions & Investments’ 2021 survey. Eleven out of 50 plans did not disclose enough detailed information, and 10 plans had a fiscal year ended other than June 30.

Due to the complexity of public plan reporting and different approaches to subasset classes, asset allocation and performance ranges can be too broad for meaningful comparison, and thus comparing the asset allocation and benchmarking of different plans can be reductive without adequate context.

For example, some funds include both emerging markets and global equity within the same non-U.S. equity category, but only choose broad non-U.S. equity benchmarks to represent them all. Other funds are more transparent, separately reporting on international, emerging markets and global equity, and disclosing benchmarks that better reflect the underlying strategies. Fixed-income is even more complicated because plans may classify high yield and other subsectors in different categories depending on a variety of factors, such as the plan’s risk-adjusted target allocation or correlation to individual benchmarks. Variations in subsector returns can be large, and the inclusion of some may stretch the allocation range and therefore affect overall fixed-income returns. To avoid an “apples vs. oranges” comparison, the focus is on U.S. equities, core fixed-income, private equity, real estate and hedge funds.

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