We analyze changes in portfolios of pension funds since the start of current low interest rate environment. We find that they have on average decreased the allocation to equity and increased the allocation to fixed income, which is inconsistent with the literature on strategic asset allocation. Next, more generally, we empirically investigate the relationship between variables that predict asset returns and portfolio allocation in levels as well as changes. We find that dividend-price ratio shows the strongest relationship among other variables. However, we find a negative relationship as opposed to a positive one predicted by the literature. Overall, the results suggest that pension funds are unable to incorporate predictive information in their strategic asset allocation, but they take active decisions by under or over-weighting their portfolio relative to the stated strategic portfolio to benefit from time-varying investment opportunities.