The change was driven by a 1.9-percentage-point drop in liability values, which was partially offset by a 0.7-percentage-point drop in asset values. The two decreases rounded to a funding hike of 1.1 percentage points, Wilshire said.
"Although U.S. equity returns represented by the FT Wilshire 5000 were positive, negative returns for most other asset classes resulted in the total asset value decreasing," said Ned McGuire, managing director at Wilshire, in a Feb. 2 news release. "However, due to the larger decrease in liability values, the estimated funded ratio increased and remains at its highest month-end level in a couple decades."
Wilshire's assumed asset allocation is 31% long-duration fixed income, 28% core fixed income, 25% domestic equity, 14% international equity and 2% real estate.
Legal & General Investment Management America estimated the average funding ratio of the typical U.S. corporate pension plan fell slightly to 103.9% as of Jan. 31 from 104.1% as of Dec. 31.