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

Positive returns for pension funds in third quarter of 2019

TORONTO, Oct. 28, 2019 /CNW/ - Morneau Shepell (TSX: MSI) has released the results of its Performance Universe of Pension Managers' Pooled Funds for the third quarter of 2019.

According to the report, in the third quarter of 2019, diversified pooled fund managers posted a median return of 1.5 per cent before management fees. Since the beginning of the year, the return has been 12.8 per cent.

"In general, markets posted positive returns in the third quarter, despite higher volatility. The FTSE Canada Universe Bond Index posted a return of 1.2 per cent. The Canadian Equity S&P/TSX Composite Index posted a return of 2.5 per cent and the MSCI World (Developed Markets) Index obtained a return of 1.9 per cent (in Canadian dollars). Emerging markets were the only ones with negative returns, with the MSCI Emerging Markets index posting a negative 2.8 per cent (in Canadian dollars)," said Jean Bergeron, vice-president responsible for the Morneau Shepell Asset & Risk Management consulting team.

"Although returns have been good since the year started, the decrease in interest rates has caused the solvency liability of many pension funds to increase at a faster pace than their assets. This means that on a solvency basis, pension fund financial positions have decreased by about 2 to 5 per cent since the beginning of the year," added Bergeron.

During the third quarter of 2019, diversified pooled fund managers obtained a median return of 1.5 per cent, which was 0.3 per cent under the benchmark portfolio (with an allocation of 55 per cent in equity and 45 per cent in fixed income) used by many pension funds.

Canadian bonds
In the third quarter of 2019, managers obtained a median return of 1.2 per cent on bonds (Universe mandate), which was equal to the benchmark index.

During the same period, short-term, mid-term and long-term bond indices posted returns of 0.3 per cent, 0.9 per cent and 2.5 per cent respectively. The high-yield bond index posted 2.0 per cent, while the real return bond index provided a 1.3 per cent return.

Canadian equities
In the third quarter of 2019, the median return for Canadian equity managers was 2.4 per cent, which was 0.1 per cent lower than the 2.5 per cent posted by the S&P/TSX Index.

During the same period, the S&P/TSX Small Cap Index decreased by 1.2 per cent, whereas the S&P/TSX Completion Index representing mid-cap stocks registered an increase of 1.7 per cent, and the large-cap S&P/TSX 60 Index grew by 2.7 per cent.

Foreign equities
Foreign equity managers' median returns and appropriate benchmark indices' returns for the third quarter of 2019 are as follows:

  • 2.5 per cent for U.S. equities versus 2.9 per cent for the S&P 500 Index (C$);
  • 0.1 per cent for international equities versus 0.2 per cent for the MSCI EAFE Index (C$);
  • 0.9 per cent for global equities versus 1.9 per cent for the MSCI World Index (C$);
  • Negative 2.1 per cent for emerging markets equities versus negative 2.8 per cent for the MSCI Emerging Markets Index (C$).

 

Alternative investments
The Dow Jones Credit Suisse Hedge Fund Index (formerly CSFB/Tremont Hedge Fund Index) posted a return of 1.5 per cent (C$) for the third quarter of 2019.

The Performance Universe covers about 319 pooled funds managed by nearly 51 investment management firms. The pooled funds included in the Universe have a market value of more than $548 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 leading provider of technology-enabled HR services that deliver an integrated approach to well-being through our cloud-based platform. Our focus is providing everything our clients need to support the mental, physical, social and financial well-being of their people. By improving lives, we improve business. Our approach spans services in employee and family assistance, health and wellness, recognition, pension and benefits administration, retirement and benefits consulting, actuarial and investment services. Morneau Shepell employs almost 6,000 employees who work with some 24,000 client organizations that use our services in 162 countries. 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, 2019
(annualized returns beyond one year)

 

Diversified

               
   

3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years

 

5th percentile

2.54

5.64

15.23

10.47

9.27

8.76

9.14

8.96

 

1st quartile

1.73

4.56

13.51

7.35

7.40

7.23

7.89

7.49

 

Median

1.47

3.78

12.69

6.14

6.49

6.43

7.21

6.54

 

3rd quartile

1.15

3.23

11.06

4.45

5.43

5.83

6.73

5.98

 

95th percentile

0.38

1.84

8.40

2.16

3.86

4.71

5.66

5.37

 

Benchmark*

1.84

4.56

13.63

8.92

7.68

6.46

7.55

6.75

 

Benchmark**

1.85

4.47

13.85

8.53

7.66

6.72

7.77

6.87

                   
 

*     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

0.53

1.18

2.77

4.12

2.66

1.80

1.91

2.01

 

1st quartile

0.49

1.07

1.60

2.12

1.84

1.55

1.43

1.37

 

Median

0.46

0.97

1.52

2.02

1.80

1.51

1.34

1.29

 

3rd quartile

0.42

0.92

1.42

1.91

1.70

1.45

1.30

1.25

 

95th percentile

0.19

0.80

1.31

1.84

1.60

1.31

1.14

1.09

 

Canadian bonds

 
   

3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years

 

5th percentile

2.48

7.65

15.59

17.26

10.38

5.59

7.12

6.85

 

1st quartile

1.43

4.14

8.79

10.21

6.11

3.68

4.57

4.62

 

Median

1.24

3.87

8.05

9.67

5.71

3.12

4.06

4.21

 

3rd quartile

1.16

3.55

7.44

9.02

5.49

2.85

3.73

4.01

 

95th percentile

0.56

1.77

5.36

4.76

3.96

2.38

3.52

3.63

 

Canadian bonds (Universe mandate)

 
   

3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years

 

5th percentile

1.50

4.27

8.84

10.36

6.16

3.77

4.55

4.56

 

1st quartile

1.28

3.95

8.26

9.99

5.88

3.13

4.07

4.23

 

Median

1.21

3.82

7.80

9.65

5.68

2.94

3.83

4.03

 

3rd quartile

1.15

3.55

7.44

9.31

5.51

2.

3.67

3.90

 

95th percentile

0.97

2.82

6.53

7.02

4.79

2.57

3.52

3.79

 

 

 

Rates of return for periods ending September 30, 2019
(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

3.90

8.00

22.07

13.83

9.66

9.40

10.35

8.23

 

1st quartile

3.16

6.59

20.38

7.97

7.96

8.22

9.43

6.69

 

Median

2.38

5.12

18.24

6.62

5.90

7.40

8.79

5.82

 

3rd quartile

1.20

2.90

14.69

2.55

3.81

6.11

7.67

5.22

 

95th percentile

-0.28

-0.30

7.10

-4.96

-0.13

3.95

5.74

2.46

 

S&P/TSX

2.48

5.13

19.11

7.06

6.47

7.36

9.04

5.31

 

S&P/TSX Capped

2.48

5.13

19.11

7.06

6.47

7.36

9.04

5.31

 

*     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

5.41

9.34

20.73

3.18

7.80

7.06

10.04

6.65

 

1st quartile

2.01

4.39

18.96

-0.25

4.00

3.24

6.38

3.26

 

Median

-0.11

1.04

13.76

-6.12

-0.53

0.39

5.74

0.77

 

3rd quartile

-1.83

-2.05

10.19

-7.05

-3.81

-2.28

3.25

0.43

 

95th percentile

-3.76

-9.37

-6.17

-21.41

-11.93

-5.67

-0.16

-4.30

 

S&P/TSX Small Cap

-1.22

-1.48

9.07

-6.62

-3.33

-1.84

6.45

0.10

 

BMO Small Cap weighted

-0.63

0.79

12.17

-4.92

-1.70

0.20

7.28

1.12

             

U.S. equity

           
             
   

3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years

 

5th percentile

4.69

7.65

19.85

14.31

19.39

17.55

16.15

18.19

 

1st quartile

3.30

6.30

18.92

10.19

16.95

15.66

14.21

15.15

 

Median

2.51

4.32

16.65

6.46

15.11

13.62

12.86

14.03

 

3rd quartile

1.14

3.15

14.54

5.04

12.25

12.58

11.34

13.07

 

95th percentile

-0.48

-0.11

9.28

0.22

7.67

9.16

10.63

10.99

 

S&P 500 (C$)

2.91

5.12

17.03

6.65

14.21

13.75

13.68

14.61

 

 

 

Rates of return for periods ending September 30, 2019
(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

2.21

5.89

16.05

7.85

8.84

11.00

10.39

11.84

 

1st quartile

0.70

3.41

12.88

4.99

5.99

7.70

8.00

9.46

 

Median

0.08

1.45

9.60

1.52

3.40

6.64

7.13

7.39

 

3rd quartile

-1.03

-0.96

6.03

-3.49

1.01

5.21

5.64

6.57

 

95th percentile

-2.91

-3.62

1.36

-7.39

-1.55

3.71

3.65

4.69

 

MSCI EAFE (C$)

0.23

1.65

9.35

1.06

3.59

6.74

6.16

6.83

     

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

3.64

6.13

19.20

11.67

15.49

15.63

14.72

15.81

 

1st quartile

1.69

4.10

15.80

7.11

11.90

11.27

11.49

12.73

 

Median

0.89

2.24

12.87

3.67

8.58

9.97

9.95

10.86

 

3rd quartile

-0.11

0.99

9.24

0.64

5.88

8.12

8.80

9.78

 

95th percentile

-0.97

-1.57

6.05

-5.14

2.25

6.63

7.79

7.55

 

MSCI World (C$)

1.86

3.62

14.01

4.30

9.51

10.48

10.15

10.88

           

Emerging markets

         
           
   

3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years

 

5th percentile

-0.94

-0.70

8.82

6.15

4.89

9.76

12.48

10.27

 

1st quartile

-1.57

-1.35

6.95

4.49

3.62

8.59

10.50

8.75

 

Median

-2.14

-2.69

5.18

2.82

1.80

7.19

9.65

7.37

 

3rd quartile

-3.10

-3.68

4.08

0.59

1.18

5.66

7.78

5.97

 

95th percentile

-4.05

-6.73

-1.99

-1.54

0.20

1.92

5.35

4.21

 

MSCI Emerging markets

-2.84

-4.26

2.97

0.75

1.82

6.63

8.64

6.25

 

 

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 fourth 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; Jean Bergeron, FSA, FCIA, CFA, Vice-president, Asset and Risk Management, 514.392.7852, jbergeron@morneaushepell.com