Fig. 11

Average Share of Equity Assets - Separate Local Linear and Global Polynomial Regression. Figures show weighted average share of assets invested in equities (y-axis), conditional on the funding ratio of the funds (x-axis). Estimates considering as sample only funds in a shortfall (below 100%), and sufficiently funded funds (equal and above 100%), respectively. Solid blue line shows averages estimated by a local linear regression using a tricube kernel with varying bandwidths, considering the closest 20% of observations. Solid red line shows averages from global polynomial regressions, with different numbers of polynomial terms to the left and right of 100%. Dotted lines show 95% confidence bands from bootstrapped standard errors (500 iterations). To the right of 100% the average equity share increases concavely in almost all years. The average equity share for funds in a shortfall (left) is discontinuously higher than the share invested by funded funds (right). The sample includes only private and public funds without state guarantees, and only includes funds with a funding ratio between 81.5 and 152.3% (0.5th–95th percentile range). Local linear regression estimates are not shown where the number of observations for regression does not exceed 10. Years, 2007, 2016, and 2017 in the main text