Pension Dashboard

Analyze the market risk factors driving a corporate pension liability.

Pension Report

Highlights of the US Corporate Pension Universe

As of 8/31/2020

  • Funded status increased by 3.3% to 86.6%.

  • Assets rose 2.2% and the liability declined 5.4%.

  • Equity exposure is dominating asset portfolio risk as diversification disappears.

  • Implied returns are 5.0%, below the average expected return of 6.5%

  • The yield curve rose 20 bps on average with the 30-year tenor leading the rise.

  • Year-to-date changes are funded ratio -1.9%, assets +5.8%, and liability +7.9%.

  • The combination of lower equity and higher interest rates is the scenario of primary concern in the asset portfolio.

  • The 30-year interest rate is the critical driver of the liability.

  • Opportunities exist to improve portfolio efficiency.

Notes: The dashboard is updated daily. The report is monthly. Asset Allocation updated June, 2020. US Corporate Universe is the 100 largest corporate plans in the S&P 1500. Data sourced from the financial statements. Private asset classes are mapped to public market proxies. Liability is modeled as a 15-year duration cash flow.


Asset Liability Scenario Analysis & Simulation

San Francisco  |   Los Angeles  |  415-373-7152


©2003-2020 Capital Risk Management LLC


Capital Risk Management is a Registered Investment Advisor in California and may transact business there and in other states where it is notice filed or exempt.

Please note that although Capital Risk Management LLC is a Registered Investment Adviser, readers should be aware that registration with any state securities authority

does not imply a certain level of skill or training. Additional information about Capital Risk is available on the SEC’s website at or

through the Broker Check at FINRA.

Strategy | Investing | Asset Allocation | Liability Driven Investing | Pensions | Endowments | Enterprise Risk Management | Financial Planning | Wealth Management

Disclosures     Terms of Use     Privacy Statement      Form ADV