While the estimated aggregate funding ratio for U.S. state pension plans increased during the fourth quarter, the full-year results are far less rosy, according to Wilshire Advisors estimates.
For the quarter ended Dec. 31, the estimated ratio increased by 3.1 percentage points from three months earlier to 68.4%, the result of an estimated 5.2% increase in asset values partially offset by a liability value increase of 0.5%.
For the full year, however, the ratio saw an estimated drop of 18.3 percentage points from Wilshire's estimate of 86.7% as of Dec. 31, 2021.
Ned McGuire, managing director at Wilshire Advisors, said in a news release Thursday that the fourth quarter brought about the first quarterly increase since the fourth quarter of 2021, but did little to soften the impact of three straight quarterly drops.
"Calendar year 2022 caps a volatile year for markets with the FT Wilshire 5000 Index ending 2022 down 19%, which is its fourth worst calendar year return," Mr. McGuire said. "This quarter's ending funded ratio has fallen to its level at the end of the second quarter of 2020 after the onset of COVID-19."
Wilshire's assumed asset allocation of U.S. state pension plans is 31% domestic equities, 23% core fixed income, 17% international equities, 14% real assets, 9% private equity and 6% high-yield fixed income.
