UK - The average asset allocation for pension funds in the UK is 61.1% equities and 28.3% fixed income, according to the new ‘Purple Book' of pensions data from the regulator and the Pension Protection Fund.
The Pensions Regulator and the PPF have combined to produce a 95-page overview of risk in the defined benefit pension fund sector called the Pensions Universe Risk Profile - Purple for short. The study is based on data from 5,800 schemes and covers around 85% of liabilities.
It shows the average allocation is now just over 60% to equity and almost 30% to bonds - with property accounting for 4.3%, other 3.1% and cash 2.3%.
"Taking the sample as a whole, by far the largest proportion ins in equities (61.1%) followed by gilts and fixed interest (28.3%)," it says.
It adds: "The proportion held in gilts and fixed interest increases as scheme maturity increases. The proportion of gilts and fixed interest also increases, to a lesser extent, as scheme size and funding level rises."
The two bodies also find that roughly 6% do not have any equities in their portfolio of all while a quarter have an allocation to the asset class of 80-90%. More than 55% of schemes have more than 65% of their portfolios in equities. Seven percent of funds have not assets in fixed income,
The book did not provide concrete data on the move to liability-driven investing or how schemes use derivatives.
David Norgrove, the chairman of the Pensions Regulator, explained there was Bank of England data on market activity but not on the end buyer.
He told a press briefing: "No doubt there's been a very sharp surge in LDI/swaps, but there's no data."
PPF chairman Lawrence Churchill said the Purple book would go some way to filling the "data vacuum" for DB schemes.
"Is the DB glass half full or half empty?" he asked. "It's not as empty as you might have thought."
The report will be published annually to enable the regulator, PPF and importantly, employers and scheme trustees, to track changes in risk over a period of time.