General Reports

Role of Real Estate (345 KB)

This memo will briefly outline some key roles real estate can play in a multi-asset portfolio. It is meant to open up the discussion in light of market conditions and in context of an overall asset allocation review.

Released July 2011 by Pension Consulting Alliance, Inc.
Paul Mouchakkaa
Copyright 2011 Pension Consulting Alliance, Inc.

Hedge Funds in an Institutional Portfolio 2011 (227 KB)

PCA has released a new white paper which discusses the role, goals, structuring and implementation of a successful hedge fund program within an institutional context.  A well-constructed hedge fund portfolio has the potential to provide robust portfolio diversification benefits throughout quiet and crisis markets, helping plan sponsors to meet the risk and return objectives of their plans, while limiting surprises.

June 2011 by Pension Consulting Alliance, Inc.
John Linder, CFA, CPA, Neil Rue, CFA, & Allan Emkin
Copyright 2011 Pension Consulting Alliance, Inc.

The Role of Assets (536 KB)

Updated as of 12-31-10
by Pension Consulting Alliance, Inc.

The Role of Assets, Copyright 2011 Pension Consulting Alliance, Inc.

Developing Expected Return and Risk Assumptions (485 KB)

This report reviews our approach for developing expected average annual long-term returns, different type of risk, and correlations for and among several asset classes.

March 2011 by Pension Consulting Alliance, Inc.
John Linder, CFA, CPA and Neil Rue, CFA
Copyright 2011 Pension Consulting Alliance, Inc.

2011 Ten-year Investment Class Assumptions (36 KB)

PCA's Nominal 2011 Ten-year Investment Class Assumptions

2011 Ten-year Asset Class Assumptions, Copyright 2011 Pension Consulting Alliance, Inc.

A Primer on Master Limited Partnerships (296 KB)

December 2010 by Pension Consulting Alliance, Inc.
Copyright 2010 Pension Consulting Alliance, Inc.

Revised 2010 Ten-Year Return, Risk and Correlation Assumptions – Sept 2010 (35 KB)

Memo Detailing Revisions to PCA 2010 Capital Market Assumptions - Sept 2010 (112 KB)

Due to developments in the fixed income markets over the past 8 months (declining yields), PCA has determined it necessary to reduce its forward looking return assumptions for core fixed income, TIPS, cash and inflation.  This is the first time in history that PCA has made a mid-year revision of its long-term investment assumptions.

Above are the revised return and risk assumptions across all broad classes as well as a memo outlining the rationale behind our revisions.

September 2010 by Pension Consulting Alliance, Inc.
Copyright 2010 Pension Consulting Alliance, Inc.

401K Memo (177 KB)

401(K)s Are Not "The Answer"

August 2010 by Pension Consulting Alliance, Inc.
Neil Rue, CFA
Copyright 2010 Pension Consulting Alliance, Inc.

The Role of Assets (534 KB)

Updated as of 6-30-10
by Pension Consulting Alliance, Inc.

The Role of Assets, Copyright 2010 Pension Consulting Alliance, Inc.

Collateral Pool Investments Memo (154 KB)

May 2010 by Pension Consulting Alliance, Inc.
John Burns, CFA
Copyright 2010 Pension Consulting Alliance, Inc.

Discussion of risks in the cash collateral pool and actions to mitigate such risks

Public Plan Investing Memo (208 KB)

March 2010 by Pension Consulting Alliance, Inc.
Neil Rue, CFA
Copyright 2010 Pension Consulting Alliance, Inc.

Response to recent press articles critial of public fund investment activities

2010 Asset Class Assumptions Report (434 KB)

February 2010 by Pension Consulting Alliance, Inc.
John Linder, CFA, CPA and Neil Rue, CFA

Developing Expected Return and Risk Assumptions will develop our approach for developing expected average annual returns, risks and correlations for and among several asset classes.

Developing Expected Return and Risk Assumptions, Copyright 2010 Pension Consulting Alliance, Inc.

2010 Ten-Year Return, Risk, and Correlation Assumptions (36 KB)

PCA's Nominal 2010 Asset Allocation Assumptions

2010 Ten-Year Return, Risk, and Correlation Assumptions, Copyright 2010 Pension Consulting Alliance, Inc.

A Brief Review of Institutional Investment Strategy and How We Might Change It (111 KB)

May 2009 by Pension Consulting Alliance, Inc.
Neil Rue, CFA

A Plan For Private Equity Investors (33 KB)

March 2009 by Pension Consulting Alliance, Inc.
Mike Moy

A Plan For Private Equity Investors, Copyright 2009 Pension Consulting Alliance, Inc.

PCA Infrastructure Newsletter October 2008 (49 KB)

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

PCA-EFI Brief on Financial Economics 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.

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.