Investment opportunities for insurance companies have become increasingly challenging due to negative yields, tight spreads, and high equity prices. That’s according to Goldman Sachs Asset Management’s annual insurance survey, “Too Much Capital, Too Little Return,” released Tuesday.

Indeed, insurers demonstrated the greatest amount of pessimism since GSAM began conducting the survey four years ago, according to the report.

“Insurers are concentrating on finding new investment opportunities which are sparse because yields still remain at low levels, and insurers are not anticipating a meaningful increase in rates this year,” said Michael Siegel, GSAM’s global head of insurance asset management, in a press release announcing the report.

Still, a third of the 267 insurance executives surveyed across the globe said they intend to increase overall portfolio risk, believing that equity asset classes — particularly private equity, U.S. equities, and European equities — will outperform credit assets this year, Siegel said. Insurers are looking to decrease allocations to highly liquid assets such as cash, short-term instruments, and government and agency debt, and increase allocations to less-liquid, private asset classes, such as commercial mortgage loans, infrastructure debt, private equity, and middle market loans.

EMEA and Pan Asian insurers had “a stronger risk appetite” compared to insurers in the Americas, according to the report. Americas-based insurers that have demonstrated a strong risk appetite over the years are now comfortable with their risk levels and are planning to maintain overall risk.

Deflation is a growing concern, according to the report.

“Despite years of unprecedented global monetary easing, insurers have become more concerned about deflation in the near term due to slow global growth and lower commodity prices,” the report’s authors wrote. “Insurers anticipate commodities will be amongst the lowest returning asset classes this year.  Insurers have pushed out their concerns regarding inflation to the medium term.”

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