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Changes in Asset Allocation
This week we begin a periodic column that examines changes in asset allocation in the AP universe.
We will provide this analysis looking back over various time intervals (at least quarterly and annually).
In this initial column, we look back to April 22, 2007, and show changes over this five week period.
Prior to April 22, 2007, our database was undergoing a reclassification of securities (into the correct
market capitalization categories) to insure that our data agreed with industry standards. Also, this
analysis examines only the largest accounts, although ultimately we plan to look at the smaller and mid-sized
accounts. The largest accounts currently represent 94% of the assets in marketable securities in the AP universe.
A few observations are worth highlighting:
- Asset allocation by asset class is relatively static over this period. Although the Dow rose by approximately 545 points over these five weeks, advisors kept asset class allocations relatively constant.
- There was a shift out of US large cap stocks (-2.8%) into mid cap (+1.3%) and small cap (+1.5%) stocks. There was a shift from US value stocks (-4.3%) into blend (+2.9%) and growth (+1.4%) stocks. Large cap value showed a decline of -4.7%.
- In the foreign equity markets, the most pronounced change took place in the emerging markets. Assets in emerging equity markets grew 32%, with large cap emerging stocks gaining 1.9%. Emerging blended stocks gained 9.6%, while value stocks declined by 2.3% and growth stocks by 7.3%. Emerging large cap blended stocks gained 10.1%.
- Corporate bonds showed a shortening of maturity, with short term corporate bonds increasing by 3.4% and medium term bonds increasing by 2.8%, and long term bonds declining by 6.1%.
| By Asset Class |
04/22/07 |
05/27/07 |
Change |
| Bonds |
10,490,235,980 |
28.2% |
10,082,003,352 |
27.7% |
-0.5% |
| Cash |
2,848,347,530 |
8.1% |
3,062,506,925 |
8.4% |
0.3% |
| Equities |
23,715,543,517 |
63.4% |
23,114,480,013 |
63.5% |
0.1% |
| Other |
126,381,012 |
0.3% |
156,004,629 |
0.4% |
0.1% |
|
37,180,508,039
|
|
36,414,994,919
|
|
|
| By Domicile |
04/22/07 |
05/27/07 |
Change |
| Cash |
2,848,347,530 |
7.7% |
3,062,506,925 |
8.4% |
0.7% |
| Foreign |
3,572,196,222 |
9.6% |
3,569,149,103 |
9.8% |
0.2% |
| Unknown |
3,817,288,810 |
10.3% |
3,778,101,804 |
10.4% |
.1% |
| US |
26,942,675,477 |
72.5% |
26,005,237,087 |
71.4% |
-1.1% |
|
37,180,508,039
|
|
36,414,994,919
|
|
|
| US Equities by Market Cap |
04/22/07 |
05/27/07 |
Change |
| Large Cap |
12,685,601,130 |
68.1% |
11,832,441,536 |
65.3% |
-2.8% |
| Mid Cap |
3,690,165,884 |
19.8% |
3,829,350,048 |
21.1% |
1.3% |
| Small Cap |
2,263,810,152 |
12.1% |
2,463,320,024 |
13.6% |
1.5% |
|
18,639,577,166
|
|
18,125,111,608
|
|
|
| US Equities by Style |
04/22/07 |
05/27/07 |
Change |
| Value |
3,380,262,250 |
18.1% |
2,502,927,225 |
13.8% |
-4.3% |
| Blend |
9,843,411,947 |
52.8% |
10,096,236,933 |
55.7% |
2.9% |
| Growth |
5,415,902,969 |
29.1% |
5,525,947,450 |
30.5% |
1.4% |
|
18,639,577,166
|
|
18,125,111,608
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| US Equities by Cap/Style |
04/22/07 |
05/27/07 |
Change |
| Large Cap Value |
2,486,563,429 |
13.3% |
1,561,436,203 |
8.6% |
-4.7% |
| Large Cap Blend |
7,171,962,057 |
38.5% |
7,137,184,779 |
39.4% |
0.9% |
| Large Cap Growth |
3,027,075,644 |
16.2% |
3,133,820,554 |
17.3% |
1.1% |
| Mid Cap Value |
361,490,724 |
1.9% |
410,149,574 |
2.3% |
0.4% |
| Mid Cap Blend |
1,550,992,070 |
8.3% |
1,728,872,900 |
9.5% |
1.2% |
| Mid Cap Growth |
1,777,683,090 |
9.5% |
1,690,327,574 |
9.3% |
-0.2% |
| Small Cap Value |
532,208,097 |
2.9% |
531,341,448 |
2.9% |
0.0% |
| Small Cap Blend |
1,120,457,820 |
6.0% |
1,230,179,254 |
6.8% |
0.8% |
| Small Cap Growth |
611,144,235 |
3.3% |
701,799,322 |
3.9% |
0.6% |
|
18,639,577,166
|
|
18,125,111,608
|
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Foreign Developed Equities
by Market Cap |
04/22/07 |
05/27/07 |
Change |
| Large Cap |
3,001,865,888 |
92.5% |
2,902,876,972 |
92.0% |
-0.5% |
| Mid Cap |
173,437,241 |
5.3% |
180,108,014 |
5.7% |
0.4% |
| Small Cap |
70,303,259 |
2.2% |
70,786,957 |
2.2% |
0.0% |
|
3,245,606,388
|
|
3,153,771,943
|
|
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Foreign Developed Equities
by Style |
04/22/07 |
05/27/07 |
Change |
| Value |
626,350,286 |
19.3% |
637,628,654 |
20.2% |
0.9% |
| Blend |
2,038,798,185 |
62.8% |
1,952,423,309 |
61.9% |
-0.9% |
| Growth |
580,457,917 |
17.9% |
563,719,980 |
17.9% |
0.0% |
|
3,245,606,388
|
|
3,153,771,943
|
|
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Foreign Developed Equities
by Cap/Style |
04/22/07 |
05/27/07 |
Change |
| Large Cap Value |
524,651,933 |
16.2% |
528,943,198 |
16.8% |
0.6% |
| Large Cap Blend |
1,962,852,422 |
60.5% |
1,860,265,471 |
59.0% |
-1.5% |
| Large Cap Growth |
514,361,533 |
15.8% |
513,668,303 |
16.3% |
0.5% |
| Mid Cap Value |
62,358,892 |
1.9% |
68,724,269 |
2.2% |
0.3% |
| Mid Cap Blend |
65,228,153 |
2.0% |
82,256,557 |
2.6% |
0.6% |
| Mid Cap Growth |
45,850,196 |
1.4% |
29,127,188 |
0.9% |
-0.5% |
| Small Cap Value |
39,339,461 |
1.2% |
39,961,187 |
1.3% |
0.1% |
| Small Cap Blend |
10,717,610 |
0.3% |
9,901,281 |
0.3% |
0.0% |
| Small Cap Growth |
20,246,188 |
0.6% |
20,924,489 |
0.7% |
0.1% |
|
3,245,606,388
|
|
3,153,771,943
|
|
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Foreign Emerging Equities
by Market Cap |
04/22/07 |
05/27/07 |
Change |
| Large Cap |
213,769,708 |
90.5% |
288,400,614 |
92.4% |
1.9% |
| Mid Cap |
9,169,527 |
3.9% |
9,623,082 |
3.1% |
-0.8% |
| Small Cap |
13,231,916 |
5.6% |
14,246,407 |
4.6% |
-1.0% |
|
236,171,151
|
|
312,270,103
|
|
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Foreign Emerging Equities
by Style |
04/22/07 |
05/27/07 |
Change |
| Value |
28,143,884 |
11.9% |
29,936,499 |
9.6% |
-2.3%> |
| Blend |
119,905,264 |
50.8% |
188,633,300 |
60.4% |
9.6% |
| Growth |
88,122,003 |
37.3% |
93,700,304 |
30.0% |
-7.3% |
|
236,171,151
|
|
312,270,103
|
|
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Foreign Emerging Equities
by Cap/Style |
04/22/07 |
05/27/07 |
Change |
| Large Cap Value |
22,065,322 |
9.3% |
22,516,591 |
7.2% |
-2.1% |
| Large Cap Blend |
117,379,324 |
49.7% |
186,620,248 |
59.8% |
10.1% |
| Large Cap Growth |
74,325,062 |
31.5% |
79,263,775 |
25.4% |
-6.1% |
| Mid Cap Value |
3,887,894 |
1.6% |
4,205,401 |
1.3% |
-0.3% |
| Mid Cap Blend |
1,289,240 |
0.5% |
1,406,143 |
0.5% |
0.0% |
| Mid Cap Growth |
3,992,393 |
1.7% |
4,011,538 |
1.3% |
-0.4% |
| Small Cap Value |
2,190,668 |
0.9% |
3,214,507 |
1.0% |
0.1% |
| Small Cap Blend |
1,236,700 |
0.5% |
606,909 |
0.2% |
-0.3% |
| Small Cap Growth |
9,804,548 |
4.2% |
10,424,991 |
3.3% |
-0.9% |
|
236,171,151
|
|
312,270,103
|
|
|
| Bonds by Type |
04/22/07 |
05/27/07 |
Change |
| Corporate |
5,080,819,361 |
48.4% |
4,617,775,101 |
45.8% |
-2.6% |
| Foreign |
90,418,683 |
0.9% |
103,107,057 |
1.0% |
0.1% |
| Municipal |
3,222,278,950 |
30.7% |
3,262,350,378 |
32.4% |
1.7% |
| Unknown |
2,096,718,986 |
20.0% |
2,098,770,816 |
20.8% |
0.8% |
|
10,490,235,980
|
|
10,082,003,352
|
|
|
| Corporate Bonds by Maturity |
04/22/07 |
05/27/07 |
Change |
| Short Term |
2,520,438,470 |
49.6% |
2,447,979,077 |
53.0% |
3.4% |
| Medium Term |
1,191,289,263 |
23.4% |
1,210,095,274 |
26.2% |
2.8% |
| Long Term |
1,369,091,628 |
26.9% |
959,700,750 |
20.8% |
-6.1% |
|
5,080,819,361
|
|
4,617,775,101
|
|
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| Corporate Bonds by Quality |
04/22/07 |
05/27/07 |
Change |
| Investment Grade |
4,031,937,638 |
78.6% |
3,607,814,667 |
78.1% |
-0.5% |
| Medium Grade |
1,007,838,163 |
20.6% |
972,658,431 |
21.1% |
0.5% |
| High Yield |
41,043,560 |
0.8% |
37,302,003 |
0.8% |
0.0% |
|
5,080,819,361
|
|
4,617,775,101
|
|
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Corporate Bonds
by Maturity/Quality |
04/22/07 |
05/27/07 |
Change |
| Short Term Investment Grade |
2,203,960,101 |
43.4% |
2,120,991,151 |
45.9% |
2.5% |
| Short Term Medium Grade |
316,478,369 |
6.2% |
326,987,926 |
7.1% |
0.9% |
| Medium Term Investment Grade |
840,102,444 |
16.5% |
876,477,053 |
19.0% |
2.5% |
| Medium Term Medium Grade |
351,186,819 |
6.9% |
333,618,221 |
7.2% |
0.3% |
| Long Term Investment Grade |
987,875,093 |
19.4% |
610,346,463 |
13.2% |
-6.2% |
| Long Term Medium Grade |
340,172,975 |
6.7% |
312,052,284 |
6.8% |
0.1% |
| Long Term High Yield |
41,043,560 |
0.8% |
37,302,003 |
0.8% |
0.0% |
|
5,080,819,361
|
|
4,617,775,101
|
|
|
| Muni Bonds by Maturity |
04/22/07 |
05/27/07 |
Change |
| Short Term |
897,520,869 |
27.9% |
907,982,329 |
27.8% |
-0.1% |
| Medium Term |
977,887,101 |
30.3% |
986,171,646 |
30.2% |
-0.1% |
| Long Term |
1,346,870,980 |
41.8% |
1,368,196,403 |
41.9% |
0.1% |
|
3,222,278,950
|
|
3,262,350,378
|
|
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| Muni Bonds by Quality |
04/22/07 |
05/27/07 |
Change |
| Investment Grade |
2,664,350,548 |
82.7% |
2,675,628,087 |
82.0% |
-0.7% |
| Medium Grade |
366,419,488 |
11.4% |
381,879,180 |
11.7% |
0.3% |
| High Yield |
191,508,914 |
5.9% |
204,843,111 |
6.3% |
0.4% |
|
3,222,278,950
|
|
3,262,350,378
|
|
|
| Muni Bonds by Maturity/Quality |
04/22/07 |
05/27/07 |
Change |
| Short Term Investment Grade |
763,544,003 |
23.8% |
770,587,595 |
23.6% |
-0.2% |
| Short Term Medium Grade |
133,976,866 |
4.0% |
137,394,734 |
4.2% |
0.2% |
| Medium Term Investment Grade |
830,198,696 |
26.3% |
835,549,283 |
25.6% |
-0.7% |
| Medium Term Medium Grade |
147,688,405 |
3.1% |
150,622,363 |
4.6% |
1.5% |
| Long Term Investment Grade |
1,070,607,849 |
34.4% |
1,069,491,209 |
32.8% |
-1.6% |
| Long Term Medium Grade |
84,754,217 |
2.7% |
93,862,083 |
2.9% |
0.2% |
| Long Term High Yield |
191,508,914 |
5.7% |
204,843,111 |
6.3% |
0.6% |
|
3,222,278,950
|
|
3,262,350,378
|
|
|
| Foreign Bonds by Maturity |
04/22/07 |
05/27/07 |
Change |
| Short Term |
17,614,177 |
19.5% |
19,846,925 |
19.2% |
-0.3% |
| Medium Term |
49,925,565 |
55.2% |
61,013,071 |
59.2% |
4.0% |
| Long Term |
22,878,941 |
25.3% |
22,247,061 |
21.6% |
-3.7% |
|
90,418,683
|
|
103,107,057
|
|
|
| Foreign Bonds by Quality |
04/22/07 |
05/27/07 |
Change |
| Investment Grade |
63,143,010 |
69.4% |
66,092,573 |
64.1% |
-5.3% |
| Medium Grade |
19,468,560 |
18.1% |
29,263,264 |
28.4% |
10.3% |
| High Yield |
7,807,113 |
12.5% |
7,751,220 |
7.5% |
-5.0% |
|
90,418,683
|
|
103,107,057
|
|
|
| Foreign Bonds by Maturity/Quality |
04/22/07 |
05/27/07 |
Change |
| Short Term Investment Grade |
17,614,177 |
19.5% |
19,846,925 |
19.2% |
-0.3% |
| Medium Term Investment Grade |
33,672,929 |
37.2% |
34,783,731 |
33.7% |
-3.5% |
| Medium Term Medium Grade |
16,252,636 |
18.0% |
26,229,340 |
25.4% |
7.4% |
| Long Term Investment Grade |
11,855,904 |
13.1% |
11,461,917 |
11.1% |
-2.0% |
| Long Term Medium Grade |
3,215,924 |
3.6% |
3,033,924 |
2.9% |
-0.7% |
| Long Term High Yield |
7,807,113 |
8.6% |
7,751,220 |
7.5% |
-1.1% |
|
90,418,683
|
|
103,107,057
|
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