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

Santa Monica, Calif., January 27, 2025 – The aggregate funded ratio for U.S. state pension plans decreased by an estimated 1.8 percentage points during the fourth quarter of 2024 to end the quarter at 87.3%,a 7.4% increase from December 2023, 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 1.3% decrease in asset value and a 0.7% increase in liability value. Although the aggregate funded ratio is estimated to have decreased by 1.8% in the fourth quarter, it is estimated to have increased by 7.4% for the calendar year 2024.

“This quarter’s decrease in the aggregate funded status was driven by an overall decline in asset values, resulting from negative returns across many asset classes during the fourth quarter. U.S. equity, as measured by the FT Wilshire 5000 Index^SM, was one of the few positive-returning asset classes, up 2.6% in the fourth quarter,” stated Ned McGuire, Managing Director at Wilshire. “During the calendar year 2024, the FT Wilshire 5000 Index^SM attained several all-time highs and posted an over 20% return for the second consecutive year, propelling the year-end funded ratio by more than 7% for the calendar year,” Mr. McGuire added.

A 12-month review of the funded ratio follows:

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 inline 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 $1.5 trillion in assets and manages $124 billion in assets as of September 30, 2024. 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℠

The FT Wilshire US 5000 Index℠ is a broad-based market capitalization-weighted index that aims to capture 100%of the U.S. investible market capitalization.

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 Wilshire US 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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