U.S. State Pension Plans Funding Status – First Quarter 2024

Santa Monica, Calif., April 12, 2024 – The aggregate funded ratio for U.S. state pension plans increased by an estimated 3.3 percentage points during the first quarter of 2024 to end the quarter at 83.2%, according to Wilshire, a diversified global financial services firm. Wilshire assists in providing a suite of OCIO and advisory services to some of the nation’s largest retirement plans which help fund the retirement of millions of Americans.

The quarterly change in funding resulted from a 4.9% increase in asset value partially offset by a 0.7% increase in liability value. The aggregate funded ratio is estimated to have increased by 7.1% over the trailing twelve months.

“The increase in the aggregate funded status was driven by strong asset returns across most classes, except fixed income, in the first quarter, with the FT Wilshire 5000 Index reporting its second straight strong quarter, up 23% for the past six months,” stated Ned McGuire, Managing Director, Wilshire. “This increase in the first quarter ended funded ratio brings U.S. State Pension Plans Funding Status above the 80% threshold again, marking its third highest point since data collection began,” Mr. McGuire added.  

A 12-month review of the funded ratio follows:

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The aggregate figures represent an estimate of the combined assets and liabilities of state pension plans included in Wilshire’s 2024 state funding study. The funded ratio is based on liabilities, service cost, benefit payments and contributions in line with Wilshire’s 2024 state funding study.

The Data

Wilshire’s practice is to collect data on public pension plans from Annual Comprehensive Financial Reports (ACFR) filings as of their fiscal year-end (FYE). All data for fiscal year 2023 is based on the 241 constituents in Wilshire State and City & County pension plans that maintain defined benefit pension plans as of year-end 2023. The estimated monthly funded ratios are based on liabilities, service cost, benefit payments and contributions in line with Wilshire’s 2024 State and City & County funding studies.

The assumed asset allocation is below:

About Wilshire

Wilshire is a leading global financial services firm and trusted partner to a diverse range of approximately 500 leading institutional investors and financial intermediaries. Our clients rely on us to improve investment outcomes for a better future. Wilshire advises on over $1.4 trillion in assets and manages $121 billion in assets as of December 31, 2023. Wilshire is headquartered in the United States with offices worldwide. More information on Wilshire can be found at www.wilshire.com.

Index Definitions

FT Wilshire US 5000 Index℠

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MSCI ACWI ex USA ($) Index

The MSCI ACWI ex USA Index captures large- and mid-cap representation across developed markets countries (excluding the United States) and emerging markets countries. The index covers approximately 85% of the global equity opportunity set outside the United States.

Bloomberg U.S. Aggregate Index

The Bloomberg U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.

Bloomberg U.S. High Yield Index

The Bloomberg U.S. High Yield Index measures the USD-denominated, non-investment grade (middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below), fixed-rate corporate bond market. Excludes bonds from issuers with an emerging markets country of risk.

Wilshire US Real Estate Securities Index℠

The WilshireUS Real Estate Securities Index℠ measures U.S.-based publicly traded real estate securities. The purpose is to create an index of publicly traded real estate equity securities without the limitations of appraisal-based indexes.

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