The insistent refrain "new all-time record" has been played so often recently that it sounds like a broken record.

For readers born after the age of vinyl, the term refers to when the needle gets stuck in a groove, repeating a phrase over and over until you either move the arm or throw the record at a wall in disgust.

Given a series of new highs for the S&P 500, the Dow Jones Industrial Average and the Nasdaq, the obvious question is who is doing all this buying? My first assumption was that investors, whose portfolios lagged because of their lack of U.S. equity exposure through a triumphant 31.5% year for the S&P, might be jumping on board.

The largest group of U.S. institutional investors are the state and municipal pension plans. To get a sense their scale, consider that the California and New York state funds contain close to $600 billion combined, with the nationwide system comprising over $4 trillion in assets. An increase of a few percentage points in long-only equity allocation would certainly help drive stocks higher.

Unfortunately, my theory about public plans was unilaterally incorrect; state pension directors are doing the exact opposite and continue to reduce their domestic equity exposure.

According to several contacts within government pension offices, the typical U.S. public plan has been reducing its allocation to long-only U.S. equity for several years, shifting primarily toward private equity. Calpers, for example, carries a 24% weight in domestic equity while the state of Massachusetts was in the teens as of the last reporting period.