Prior to 2019q1, quarterly levels are benchmarked annually to U.S. Census Bureau, Annual Survey of Public Pensions (ASPP), State & Local Data, Table 1: National Summary of Public-Employee Retirement Systems: corporate stocks plus 75 percent of funds held in trust and 75 percent of miscellaneous investments. Quarterly levels between ASPP Q2 benchmarks are computed by increasing the previous level using the quarterly growth rate of U.S. Census Bureau, Quarterly Survey of Public Pensions (QSPP) corporate stocks (Z78). Any residual difference between Q2 benchmark level and quarter level method is spread evenly over the previous quarters. Capital gains are computed using the change in the Dow Jones U.S. Total Market Index. The unadjusted transactions are the change in the level, less capital gains, less any other changes in volume. Data for the most recent ten years show no significant seasonality. ``Beginning with 2019q1, quarterly levels are benchmarked against the new Census QSPP, scaled up to include the entire universe of plans using total assets available in the new Census ASPP each year. Quarterly total transactions on financial assets are extracted from the cash flow information included in the ASPP, and then carried forward until the next ASPP becomes available. Quarterly total capital gains are calculated as the difference between total assets and total transactions. Quarterly levels for domestic equity are reported in the new Census QSPP (sum of HLDCED, HLDCEF, HLDETF, HLDREI), available to the public with a quarter lag. Capital gains rely on changes in the Dow Jones U.S. Total Market Index. The unadjusted transactions are the change in the level, less capital gains, less any other changes in volume. Data for the most recent ten years show no significant seasonality.
Last edited on: 03/10/2021