The average funding ratio of 126 state retirement systems increased to an estimated 77% in fiscal year 2011, up from 69% a year earlier, according to a Wilshire Associates report.
Wilshire's “2012 Report on State Retirement Systems: Funding Levels and Asset Allocation” attributed the funding increase to strong global equity performance in the year ended June 30.
The state plans' average asset allocation as of June 30 was 31.1% domestic equities; 23.2% domestic fixed income; 19.9% international equities; 9.5% other; 8.2% private equity; 6.4% real estate; and 1.7% international fixed income.
In 2001, international equities accounted for only 12.5%, and private equity and real estate accounted for only 3.9% and 3.4%, respectively.
Wilshire also estimates the median state retirement system has an expected rate of return of 6.4%, a full 160 basis points less than the median actuarial assumed rate of return of 8%. The estimate does not include any assumptions based on active management.
The report uses data from the annual reports of 126 state retirement systems, 102 of which reported actuarial values on or after June 30, 2011, and 24 of which reported those values prior to that date.