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Morneau Shepell releases the results of its Performance Universe of Pension Managers' Pooled Funds

Pension funds post slightly negative third-quarter returns

TORONTO, Oct. 25, 2018 /CNW/ - Morneau Shepell (TSX: MSI) has released the results of its Performance Universe of Pension Managers' Pooled Funds for the third quarter of 2018.

According to the report, in the third quarter of 2018, diversified pooled fund managers posted a median return of 0.4 per cent before management fees.

"Global stock markets delivered mixed returns in the third quarter with U.S. equities outperforming other major markets, with returns of 5.7 per cent in Canadian dollars for the S&P 500. It was a negative quarter for emerging market equities, returning -2.7 per cent in Canadian dollars, and Canadian equities, returning -0.6 per cent. Bond returns in Canada were also negative in the third quarter, at about -1.0 per cent for the market as a whole," said Jean Bergeron, vice-president responsible for the Morneau Shepell Asset & Risk Management consulting team.

"Although asset returns were negative, the decrease in actuarial liability was larger. Pension fund financial positions on a solvency basis thus improved for the third quarter of 2018. The solvency ratio for an average pension plan has improved by about 0.5 to 2.0 per cent since the beginning of the quarter," added Bergeron.

On average, during the third quarter of 2018, diversified pooled fund managers obtained a median return of 0.4 per cent, which was 0.6 per cent higher than the benchmark portfolio (with an allocation of 55 per cent in equity and 45 per cent in fixed income) used by many pension funds return (negative 0.2 per cent).

Canadian bonds

In the third quarter of 2018, managers obtained a median return of negative 0.8 per cent on bonds (Universe mandate), which was 0.2 per cent higher than the benchmark index.

During the same period, long-term bonds posted a return of negative 2.4 per cent, while the return for medium-term bonds was negative 0.8 per cent and for short-term bonds 0.0 per cent. High-yield bonds posted 1.0 per cent, while real return bonds provided a negative 2.2 per cent return.

Canadian equities

In the third quarter of 2018, the median return for Canadian equity managers was negative 0.3 per cent, which is 0.3 per cent higher than the negative 0.6 per cent achieved by the S&P/TSX Index.

During the same period, the S&P/TSX Small Cap Index lost 2.8 per cent, whereas the S&P/TSX Completion Index representing mid-cap stocks registered a decrease of 0.3 per cent, and the large-cap S&P/TSX 60 Index was down by 0.7 per cent.

Foreign equities

Foreign equity managers' median returns and appropriate benchmark indices in the third quarter of 2018 are as follows:

  • 5.4 per cent for U.S. equities versus 5.9 per cent for the S&P 500 Index (C$); 
  • Negative 0.7 per cent for international equities versus negative 0.4 per cent for the MSCI EAFE Index (C$);
  • 2.8 per cent for global equities versus 3.2 per cent for the MSCI World Index (C$);
  • Negative 2.6 per cent for emerging markets equities versus negative 2.7 per cent for the MSCI Emerging Markets Index (C$).

Alternative investments

The Dow Jones Credit Suisse Hedge Fund Index (formerly CSFB/Tremont Hedge Fund Index) posted a return of negative 1.1 per cent (C$) for the third quarter of 2018.

The Performance Universe covers about 327 pooled funds managed by nearly 51 investment management firms. The pooled funds included in the Universe have a market value of more than $268 billion.

The results of Morneau Shepell's study are based on the returns provided by leading portfolio managers, ranging from independent investment management firms to insurance companies, trust companies and financial institutions. The returns are calculated before deduction of management fees.

The quarterly Performance Universe results are produced by the Asset & Risk Management consulting team at Morneau Shepell. This team provides independent consulting services on all aspects of asset and liability management of pension funds, endowment funds, and other institutional investment funds.

About Morneau Shepell Inc.
Morneau Shepell is the only human resources consulting and technology company that takes an integrated approach to employee well-being, health, benefits and retirement needs. The Company is the largest administrator of retirement and benefits plans and the largest provider of integrated absence management solutions in Canada. LifeWorks by Morneau Shepell is a total well-being solution that combines employee assistance, wellness, recognition and incentive programs. As a leader in strategic HR consulting and innovative pension design, the Company also helps clients solve complex workforce problems and provides integrated productivity, health and retirement solutions. Established in 1966, Morneau Shepell serves approximately 24,000 clients, ranging from small businesses to some of the largest corporations and associations. With more than 4,500 employees in offices worldwide, Morneau Shepell provides services to organizations around the globe. Morneau Shepell is a publicly-traded company on the Toronto Stock Exchange (TSX: MSI). For more information, visit morneaushepell.com.

 


 

Summary

Rates of return for periods ending September 30, 2018
(annualized returns beyond one year)

Diversified












3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


1.75

5.66

4.91

9.16

9.97

9.78

9.20

11.00


1st quartile


0.81

4.18

3.50

7.75

7.51

8.50

7.46

9.04


Median


0.44

3.44

2.64

6.84

6.30

7.65

6.80

8.60


3rd quartile


-0.04

2.82

2.12

6.00

5.63

7.04

6.10

8.10


95th percentile


-0.65

1.79

1.18

3.96

4.24

6.01

4.84

6.75


Benchmark*


-0.22

2.66

1.95

6.45

5.26

7.09

6.21

7.95


Benchmark**


-0.09

2.99

2.20

6.80

5.82

7.52

6.46

8.27













*    

45% fixed income,55% equity


**  

40% fixed income,60% equity



Returns compounded quarterly


Money market




3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


0.46

0.92

1.28

1.63

1.32

1.29

1.49

1.55


1st quartile


0.45

0.87

1.24

1.57

1.26

1.17

1.21

1.17


Median


0.42

0.82

1.16

1.49

1.19

1.11

1.11

1.12


3rd quartile


0.37

0.70

1.03

1.35

1.04

0.99

1.02

1.01


95th percentile


0.11

0.46

0.73

1.09

0.58

0.84

0.84

0.88


Canadian bonds




3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


1.04

2.05

2.57

4.39

4.37

6.24

4.83

6.14


1st quartile


-0.48

0.06

0.34

3.00

0.55

3.23

3.61

4.36


Median


-0.79

-0.28

-0.09

2.06

-0.23

2.19

2.96

3.71


3rd quartile


-0.95

-0.48

-0.35

1.76

-0.62

1.88

2.63

3.43


95th percentile


-2.42

-1.47

-1.60

1.46

-1.37

1.48

2.19

3.14


Canadian bonds (Universe mandate)




3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


-0.03

0.65

1.09

2.68

1.34

2.72

3.25

3.92


1st quartile


-0.65

-0.06

0.10

2.18

0.02

2.22

2.94

3.73


Median


-0.82

-0.27

-0.11

1.87

-0.26

1.96

2.70

3.50


3rd quartile


-0.92

-0.37

-0.28

1.74

-0.55

1.79

2.60

3.33


95th percentile


-1.01

-0.54

-0.40

1.52

-0.77

1.54

2.38

3.18


 


Rates of return for periods ending September 30, 2018
(annualized returns beyond one year)

Canadian equity – Broad*




3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


2.04

7.70

4.06

9.96

12.07

12.92

8.61

10.87


1st quartile


0.33

6.68

2.83

7.69

9.20

10.43

6.78

9.57


Median


-0.25

6.12

1.91

6.46

8.06

9.71

6.21

9.20


3rd quartile


-0.68

5.34

0.91

4.64

6.87

8.64

4.88

7.73


95th percentile


-2.17

3.15

-0.75

2.60

5.12

7.46

3.48

6.20


S&P/TSX


-0.57

6.16

1.36

5.87

7.52

9.70

4.87

7.80


S&P/TSX Capped


-0.57

6.16

1.36

5.87

7.52

9.70

4.87

7.80


*    

Some funds may include up to 30% in foreign content


Canadian equity - Specialized




3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


4.29

8.17

6.95

14.44

11.55

14.73

11.59

14.86


1st quartile


1.46

5.82

3.49

10.30

8.77

11.41

6.58

10.80


Median


-0.21

4.04

-2.67

5.26

2.70

9.57

3.18

7.28


3rd quartile


-2.76

1.32

-4.59

1.70

0.63

6.76

2.26

5.73


95th percentile


-4.43

-0.51

-8.13

-4.15

-0.75

6.53

-0.59

2.48


S&P/TSX Small Cap


-2.81

3.59

-4.42

0.07

0.64

11.21

1.85

4.24


BMO Small Cap weighted


-1.15

4.65

-3.46

1.63

2.86

11.69

2.69

5.09


U.S. equity




3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


8.32

14.23

22.54

31.08

23.68

18.09

20.09

21.65


1st quartile


6.38

13.48

16.47

24.25

19.10

15.83

17.61

19.12


Median


5.39

11.53

13.38

21.81

16.72

14.43

15.94

18.08


3rd quartile


4.91

10.12

11.91

19.72

15.20

13.19

15.12

16.89


95th percentile


2.75

8.13

9.61

16.79

13.65

12.60

13.65

16.44


S&P 500 (C$)


5.89

11.85

14.08

22.30

17.48

16.12

16.69

19.27


 

Rates of return for periods ending September 30, 2018
(annualized returns beyond one year)

International equity (Europe and Asia)




3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


1.68

5.02

6.07

11.59

13.07

11.80

13.79

13.11


1st quartile


0.34

0.36

1.96

8.00

11.60

9.97

11.11

11.22


Median


-0.66

-0.17

1.18

5.76

9.79

8.21

9.11

10.17


3rd quartile


-1.34

-0.91

0.25

4.46

8.71

7.46

7.93

8.84


95th percentile


-2.57

-3.59

-2.17

2.00

7.52

6.14

6.95

8.18


MSCI EAFE (C$)


-0.41

0.36

1.69

6.18

9.70

7.91

8.33

9.31


Global equity (U.S.A., Europe and Asia)




3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


4.50

8.45

12.10

21.67

19.42

16.56

17.71

17.50


1st quartile


3.43

7.07

8.94

16.25

15.39

13.47

14.06

15.44


Median


2.77

5.87

7.17

13.53

13.06

12.13

13.02

14.31


3rd quartile


1.72

4.12

3.97

10.00

11.29

11.18

11.80

13.22


95th percentile


-0.91

-1.27

0.31

7.07

8.94

9.48

9.10

10.19


MSCI World (C$)


3.16

7.08

8.77

14.97

13.70

12.17

12.59

14.41


Emerging markets




3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


0.54

-4.78

-1.61

5.71

13.39

15.89

11.31

12.47


1st quartile


-1.28

-6.17

-2.71

4.75

11.46

13.00

9.48

10.96


Median


-2.59

-7.53

-3.96

2.66

9.00

11.83

8.55

9.54


3rd quartile


-3.82

-10.05

-7.04

-1.11

6.71

9.06

7.04

8.10


95th percentile


-4.80

-11.95

-9.16

-2.10

2.57

7.18

5.49

6.90


MSCI Emerging markets


-2.67

-8.49

-4.46

2.90

9.70

11.41

7.67

8.87












 

The information herein has been drawn from sources believed to be reliable, but the accuracy or completeness of the information is not guaranteed, nor in providing it does Morneau Shepell Asset & Risk Management Ltd. ("MS ARM") or its affiliates ("Morneau Shepell") assume any responsibility or liability. MS ARM or Morneau Shepell is not liable for any errors or omissions in the information or for any loss or damage suffered. Where such statements are based in whole or in part on information provided by third parties, they are not guaranteed to be accurate or complete. The information does not provide individual financial, legal, tax or investment advice and is for information purposes only.

SOURCE Morneau Shepell Inc.

For further information: Heather MacDonald, Manager, Corporate Communications, 416.390.2625, hmacdonald@morneaushepell.com