Research

Recent Market Conditions

A Study of the Worst Weeks (33 KB)

Updated 10/10/08. Review of the worst calendar week on record for U.S. public equity market performance.

A Recap of Significant Market Declines (21 KB)

Updated 10/7/08. A brief perspective, comparing recent market results with a few other major market declines occurring over the last five decades.

A Brief History of Market Crisis (39 KB)

Updated as of 9/30/08. Market performance in light of certain market crises as exhibited by the VIX index (a measure of implied volatility on the S&P 500)

 

Infrastructure Newsletters

PCA Infrastructure Newsletter October 2008 (49 KB)

Issue #1, October 10, 2008: Effects of the credit crisis, fund pricing and regulation

 

Quarterly Economic Reviews

2008 3Q Economic Review (53 KB)

Updated as of 3rd quarter 2008
Economic review for Q3 2008

2008 2Q Economic Review (54 KB)

Updated as of 2nd quarter 2008
by Pension Consulting Alliance, Inc.

Quarterly overviews of national economic activity, as well as brief analyses of the domestic equity, international equity, real estate, and fixed income markets.

Economic Review, Copyright 2008 Pension Consulting Alliance, Inc.

 

General Reports

The Role of Assets (174 KB)

Updated as of 06-30-08
by Pension Consulting Alliance, Inc.

The Role of Assets, Copyright 2008 Pension Consulting Alliance, Inc.

PCA-EFI Brief on Financial Econonmics Applications to Liabilities (26 KB)

September 2008 by Pension Consulting Alliance, Inc. (PCA) and EFI Actuaries, Inc. (EFI)

The debate on how to measure and account for public pension plan liabilities. Should public funds move to a financial economics-based liability discount model?

PCA-EFI Brief on Financial Economics Applications to Liabilities, Copyright 2008 PCA and EFI

PCA Infrastructure Research Report (237 KB)

June 2007 by Pension Consulting Alliance, Inc.
Judy Chambers

Investment in infrastructure assets is a new and growing area of investment opportunity for U.S. institutional investors as the investment community is witnessing an influx of newly formed vehicles and structures. While investments in the infrastructure sector originated in Australia and have been very active in Canada and the United Kingdom for over a decade, the United States is only now beginning to embrace the investment strategy. Infrastructure investments have unique risk and return characteristics to support the sector being either a separate asset class or a part of an inflation-linked asset class. Pension plans may play an integral role within the infrastructure market. This paper addresses the history, characteristics, opportunities and challenges U.S. pension plans may encounter in the infrastructure sector.

Infrastructure Research Report, Copyright 2007 Pension Consulting Alliance, Inc.

2007 Asset Class Assumptions Report (195 KB)

January 2007 by Pension Consulting Alliance, Inc.

Developing Expected Return and Risk Assumptions discusses PCA’s approach to developing expected average annual returns, risks, and correlations for and among several asset classes. In particular, this research brief discusses expectations about investment returns, risks, and co-movements for a variety of asset classes.

Developing Expected Return and Risk Assumptions, Copyright 2007 Pension Consulting Alliance, Inc.

A Review of Developing Managers (411 KB)

April 2003 By Pension Consulting Alliance, Inc.
Allan Emkin, Neil A Rue, CFA, Jeremy Thiessen & Sandra Parker

This paper provides a reasonable review of developing manager concepts and practices. It is meant to provide key findings and some opinions that should spark further discussion on this matter.

A Review of Developing Managers and Developing Manager Programs, Copyright 2003 Pension Consulting Alliance, Inc.

A Survey of Asset/Liability Practices and Thinking (35 KB)

July 2002
by Neil Rue, CFA, Principal

A Survey of Asset/Liability Practices and Thinking, Copyright 2003 Pension Consulting Alliance, Inc.

Actuarial Trends in Corporate America (25 KB)

May 2002
by Neil Rue, CFA, Principal

Actuarial Trends in Corporate America, Copyright 2002 Pension Consulting Alliance, Inc.

A Due Diligence Questionnaire (387 KB)

1999 By Pension Consulting Alliance, Inc.
Neil A. Rue, CFA
Allan Emkin

In early 1998, thirteen large pension funds asked Pension Consulting Alliance to survey a wide spectrum of large pension funds about their private equity due diligence practices. One important outgrowth of the review is a questionnaire that investors could use as part of preliminary due diligence. This questionnaire helps to ensure that information is provided in a consistent format, calculated using the same methodology, provides certain information, and thereby provides a means for investors to have a method to access partnership opportunities on a consistent basis.

A Due Diligence Questionnaire, Copyright 1999 Pension Consulting Alliance, Inc.