NISA Investment Advisors' Pension Surplus Risk index fell 0.3 percentage points in November to 7.1%. Over that period, the volatility of the index's asset component was unchanged at 8.8%, while the volatility of the liability component fell to 7% from 7.3%. The average plan funded status rose to 91.6% from 91.1%.
The fourth quarter so far has been in stark contrast to the previous two quarters, in which the index fell to its historic low by the end of September and the average funded status reached its highest level since the global financial crisis.
November's modest improvements followed a volatile October in which global equities fell 7.6%, as measured by the MSCI All-Country World index. High-grade corporate yields stepped back slightly during the month after three consecutive months of increases. The index could continue its downward trend in December with equities down 2.4% in the month through Thursday's close.
The Pension Surplus Risk index represents an expected rise or fall in assets given a one-standard deviation change in returns in a given year.