- Portfolio Manager and LDI Strategist
United States, Institutional
Change
highlight_off
Thank you for your registration
You will shortly receive an email with your unique link to our preference center.
The views expressed are those of the authors at the time of writing. Other teams may hold different views and make different investment decisions. The value of your investment may become worth more or less than at the time of original investment. While any third-party data used is considered reliable, its accuracy is not guaranteed. For professional, institutional, or accredited investors only.
Key points
- Corporate plan ROAs leveled off in 2022. We believe they may stay level or even increase in 2023 annual pension footnotes, reflecting the higher yields and lower asset valuations we saw going into the year.
- Similar to corporate plans, public plan ROA assumptions were unchanged from the prior year. Revision activity in public plan ROA assumptions had picked up somewhat in recent years but was still slower than for corporate counterparts. The latest reported average ROA assumption is 6.9%.
- In terms of capital market assumptions, we continue to predict that long-term equity and bond returns will not keep pace with the returns of the last 50+ years.
- We recommend that sponsors develop their investment policy based on their specific risk and return objectives and time horizon, rather than tying investment policy to a specific long-term ROA to manage pension expense or the reported liability.
As part of their year-end reporting process, US corporate and public defined benefit (DB) plan sponsors must set an assumption for the long-term expected return on assets, or ROA. To help sponsors make more informed decisions, we provide this annual update on ROA assumptions, including our latest trend analysis and long-term capital market assumptions.
Corporate plans
Corporate sponsors use the ROA assumption to determine the pension expense recognized on their income statements. Under US accounting standards, the pension expense includes a credit (income) equal to the plan’s expected return on assets during the fiscal year.
The average ROA assumption reported by Russell 3000 companies at year-end 2022 was 5.2%, which was unchanged from the average in 2021 (Figure 1). This broke a nearly 15-year string of declining ROA assumptions. Still, the average ROA assumption is 270 bps lower than in 2006, when the introduction of mark-to-market balance sheet accounting for pension plans by the Financial Accounting Standards Board (FASB) and the passage of the Pension Protection Act by Congress first prompted many plan sponsors to reevaluate their investment strategies.
Figure 1
The distribution of ROA assumptions (Figure 2) sheds additional light on the long-term decline in the average assumption. In 2006, just over 10% of companies selected an ROA assumption below 7.0%. But by 2022, 90% of companies selected an ROA assumption below 7.0%, and the distribution of assumptions skewed more heavily downward than in the past.
Figure 2
Two dynamics have driven the long-term decline in the ROA assumption: higher fixed income allocations, which have increased more than 20% since 2006, and lower forward-looking return expectations, especially in fixed income given the long-term decline in interest rates. That said, fixed income allocations at year-end 2022 were about…
Experts
- Investment Strategy Analyst
- LDI Team Chair, LDI Strategist, and Portfolio Manager
Related insights
Showing
of
Insights Posts
Article
18 min
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Corporate versus credit indices: What’s the best match for liability-driven investing?
Continue readingMultiple authors
event
18 min
Article
2026-09-30
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Article
17 min
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Allocating to alternatives: A role-based guide for corporate DB plans
Continue readingMultiple authors
event
17 min
Article
2027-06-30
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Article
6 min
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
The high cost of unfunded duration — and some hope on the horizon
Continue readingMultiple authors
event
6 min
Article
2026-03-31
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Article
6 min
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Flipping the script: Our updated market outlook and the derisking/rerisking decision
Continue reading
event
6 min
Article
2026-02-28
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Article
12 min
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
LDI in 2025: Ten questions corporate plan sponsors are asking
Continue reading
event
12 min
Article
2026-01-31
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Whitepaper
16 min
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Setting ROAs for 2025: A guide for US corporate and public plans
Continue readingMultiple authors
event
16 min
Whitepaper
2025-11-30
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Article
5 min
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Why more corporate plans should pass on pension risk transfers
Continue reading
event
5 min
Article
2025-11-30
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
URL References
Related Insights
Stay up to date with the latest market insights and our point of view.
highlight_off
Thank you for your registration
You will shortly receive an email with your unique link to our preference center
Read next
Showing
of
Insights Posts
Article
18 min
Active management
Fixed income
DB Private Program
Liability-driven investing
Asset allocation
Article
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Corporate versus credit indices: What’s the best match for liability-driven investing?
When selecting benchmarks for LDI needs, corporate DB plan sponsors often ask about the differences between investment-grade corporate and credit indices. In this paper, we compare the composition and performance of corporate and credit indices, as well as intermediate and long maturity indices, and we offer insights on choosing indices that fit a plan’s liability.
Multiple authors
event
18 min
Article
2026-09-30
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Article
17 min
Liquid alternatives & hedge funds
Strategic allocation
Private equity
DB Private Program
Privates
Private investing
Liability-driven investing
Article
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Allocating to alternatives: A role-based guide for corporate DB plans
For corporate plan sponsors thinking about weaving hedge funds and private equity into their portfolios, we offer this brief guide to the potential benefits and key considerations when establishing an allocation, including liquidity stress testing.
Multiple authors
event
17 min
Article
2027-06-30
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Article
6 min
Fixed income
LDI Alert
Liability-driven investing
DB Private Program
iStrat
Strategic allocation
Article
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
The high cost of unfunded duration — and some hope on the horizon
With many corporate DB plans thinking about managing their hedge ratios, members of our LDI Team explain the high cost of synthetic duration, how plans might want to think about this issue when targeting a specific duration profile, and why costs could improve over time.
Multiple authors
event
6 min
Article
2026-03-31
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Article
6 min
LDI Alert
Macro and market
Asset allocation
DB Private Program
Private pension (DB)
iStrat
Multi-asset
Strategic allocation
Liability-driven investing
Article
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Flipping the script: Our updated market outlook and the derisking/rerisking decision
Members of our LDI Team share an unusual outlook for equities and bonds and explain what it could mean for US corporate pension plans contemplating either derisking or rerisking moves from here.
event
6 min
Article
2026-02-28
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Article
12 min
Liability-driven investing
Multi-asset
Strategic allocation
DB Private Program
iStrat
Private pension (DB)
Article
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
LDI in 2025: Ten questions corporate plan sponsors are asking
Members of our LDI Team address a range of topics that US corporate plans will be thinking about this year, from pension funding and accounting issues to portfolio diversification opportunities.
event
12 min
Article
2026-01-31
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Whitepaper
16 min
Liability-driven investing
Strategic allocation
Regulatory
DB Private Program
Multi-asset
Whitepaper
iStrat
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Setting ROAs for 2025: A guide for US corporate and public plans
How are pension plans adjusting their ROA assumptions? And how do those assumptions line up with our long-term capital market assumptions? Find out in this annual update.
Multiple authors
event
16 min
Whitepaper
2025-11-30
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Article
5 min
Liability-driven investing
Risk management
Tactical allocation
iStrat
Private pension (DB)
Multi-asset
Article
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Why more corporate plans should pass on pension risk transfers
LDI Team Chair Amy Trainor explains why she believes a pension risk transfer may, in many cases, not be the best choice for fully funded plans from a cost/benefit standpoint.
event
5 min
Article
2025-11-30
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Whitepaper
25 min
Liability-driven investing
Portfolio construction
DB Private Program
iStrat
Equity
Fixed income
Whitepaper
Tactical allocation
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Extra credit for corporate plans: Advanced topics in LDI implementation
To help corporate DB plans refine their liability-hedging strategies, members of our LDI Team take a deep dive on 3 key liability risks and offer ideas to help improve the design of hedging portfolios.
event
25 min
Whitepaper
2026-08-31
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Article
9 min
Private investing
iStrat
Strategic allocation
Article
Investment Grade Private Credit
Americas
Liability-driven investing
Private credit
DB Private Program
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Private placements: A primer for corporate DB plans preparing to derisk
With many corporate DB plans exploring derisking opportunities, Portfolio Manager Elisabeth Perenick and Multi-Asset Strategist Amy Trainor discuss the potential role that private investment-grade credit, or private placements, could play and consider common questions about liquidity and allocation sizing.
event
9 min
Article
2025-08-31
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Whitepaper
22 min
Fixed income
Liability-driven investing
Asset allocation
DB Private Program
Private pension (DB)
Strategic allocation
Whitepaper
iStrat
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
The evolution of derisking: Assessing new and time-tested liability-hedging ideas
As defined benefit plans contemplate the best path to their eventual “end state,” members of our LDI team update their liability-hedging research with a blend of traditional benchmark ideas and new opportunities to capitalize on changing market conditions and a broader investment universe.
event
22 min
Whitepaper
2026-06-30
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Article
3 min
LDI Alert
Interest rates
Private pension (DB)
Liability-driven investing
Volatility
Tactical allocation
Article
iStrat
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
Time to derisk? Funded status up, but potential volatility ahead
LDI Team Chair Amy Trainor explains why US corporate DB plans may have a rare and limited opportunity to derisk and offers suggested action steps.
event
3 min
Article
2025-05-06
Archived
info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
URL References
Related Insights
contact us
legal Information
© Copyright 2025 Wellington Management Company LLP. All rights reserved. WELLINGTON MANAGEMENT ® is a registered service mark of Wellington Group Holdings LLP. For institutional or professional investors only.
Enjoying this content?
Get similar insights delivered straight to your inbox. Simply choose what you’re interested in and we’ll bring you our best research and market perspectives.
highlight_off
Thank you for joining our email preference center.
You’ll soon receive an email with a link to access and update your preferences.