Pension Surplus Risk Index
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In addition to the primary index, NISA provides a table of the risk levels of the major industry sectors, or sector indices. The methodology for calculating the sector indices is identical to the PSRX, but narrowed to only include constituents in the given sector.
Additional PSRX data
The chart below shows the history of the PSRX since inception1. The 10th & 90th percentile bands help provide a range of pension plan funded status volatility.
The asset portfolio and the liability volatility are key determinants of the PSRX. The relative level of those components has varied considerably since inception.
The PSRX asset allocation changes annually based on data provided in firms’ 10-Ks. The chart below shows allocations for the 2016 plan year as determined by NISA.
The chart below shows the history of the average funded status of constituent plans included in the PSRX.
1 The levels for the PSRX, sector indices and Pension Risk Calculator include data for periods prior to when the index was in live production. Historical levels for the index prior to live production in September 2012 are calculated using the same methodology. Past market experience is not necessarily indicative of future market experience.