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

A tough first quarter for pension funds in 2020

TORONTO, April 23, 2020 /CNW/ - Morneau Shepell (TSX: MSI) has released the results of its Performance Universe of Pension Managers' Pooled Funds for the first quarter of 2020.

According to the report, in the first quarter of 2020, diversified pooled fund managers posted a median return of negative 10.0 per cent before management fees.

"Stock markets experienced a strong correction in the first quarter following the Covid-19 crisis and the oil dispute. These events generated significant volatility in the stock and bond markets. The bond market posted a positive return of 1.6 per cent, while the Canadian Equity S&P/TSX Composite Index posted a return of negative 20.9 per cent and the U.S. Stock S&P 500 Index registered a return of negative 19.6 per cent (in U.S. dollars) and negative 12.2 per cent returns in Canadian dollars. The MSCI World Global Markets Index obtained a return of negative 13.3 per cent and the Emerging Markets Index posted a return of negative 16.9 per cent (both in Canadian dollars)," said Jean Bergeron, Vice President for the Morneau Shepell Asset & Risk Management consulting team.

"The current crisis is having a significant impact on pension fund financial positions. The negative returns and the higher solvency liability caused by the decrease in interest rates means that pension fund financial positions fell by an average of 8 per cent to 16 per cent," added Bergeron.

During the first quarter of 2020, diversified pooled fund managers obtained a median return of negative 10.0 per cent, which was 0.9 per cent lower 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.

Canadian bonds
In the first quarter of 2020, managers obtained a median return of positive 1.0 per cent on bonds (Universe mandate); the return was 0.6 per cent below the benchmark index.

During the first quarter of 2020, short-term, mid-term and long-term bond indices posted returns of 1.9 per cent, 3.3 per cent and 0.2 per cent respectively. The high-yield bond index posted a return of negative 9.0 per cent, while the real return bond index provided 0.0 per cent return.

Canadian equities
In the first quarter of 2020, the median return for Canadian equity managers was negative 20.4 per cent, which was 0.5 per cent higher than the negative 20.9 per cent posted by the S&P/TSX Index.

Since the beginning of 2020, the S&P/TSX Small Cap Index fell by 36.2 per cent, whereas the S&P/TSX Completion Index representing mid-cap stocks registered a decrease of 29.7 per cent, and the large-cap S&P/TSX 60 Index dropped by 18.5 per cent.

Foreign equities
Foreign equity managers' median returns and appropriate benchmark indices' returns for the first quarter of 2020 are as follows:

  • Negative 11.4 per cent for U.S. equities versus negative 12.2 per cent for the S&P 500 Index (C$);
  • Negative 16.0 per cent for international equities versus negative 15.3 per cent for the MSCI EAFE Index (C$);
  • Negative 14.4 per cent for global equities versus negative 13.3 per cent for the MSCI World Index (C$);
  • Negative 18.1 per cent for emerging market equities versus negative 16.1 per cent for the MSCI Emerging Markets Index (C$).

Alternative investments
The Dow Jones Credit Suisse Hedge Fund Index (formerly CSFB/Tremont Hedge Fund Index) posted a return of negative 0.6 per cent (C$) for the first quarter of 2020.

The Performance Universe covers about 302 funds managed by nearly 49 investment management firms.

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 Asset & Risk Management consulting team at Morneau Shepell produces the quarterly Performance Universe results. 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
Morneau Shepell is the leading provider of technology-enabled HR services that deliver an integrated approach to employee well-being through our cloud-based platform. Our focus is providing world-class solutions to our clients 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 consulting, actuarial and investment services. Morneau Shepell employs approximately 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 March 31, 2020
(annualized returns beyond one year)

Diversified












3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


-7.41

-4.70

-3.68

-0.75

3.55

4.72

6.21

5.21


1st quartile


-9.25

-6.88

-5.65

-3.18

1.53

2.84

4.64

3.67


Median


-9.98

-7.37

-6.35

-3.94

0.82

2.02

4.24

3.20


3rd quartile


-12.63

-10.03

-8.58

-6.73

-1.22

0.66

3.44

2.47


95th percentile


-15.65

-13.84

-11.82

-10.53

-3.32

-1.11

2.22

1.50


Benchmark*


-9.13

-7.19

-5.48

-2.96

1.87

2.88

4.81

3.37


Benchmark**


-10.03

-7.84

-6.14

-3.71

1.49

2.68

4.85

3.36














*


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


1.44

1.73

2.03

2.94

3.16

2.21

2.13

1.88


1st quartile


0.57

1.03

1.52

2.05

2.02

1.75

1.56

1.45


Median


0.47

0.94

1.47

1.99

1.94

1.69

1.50

1.37


3rd quartile


0.45

0.92

1.39

1.88

1.84

1.60

1.42

1.33


95th percentile


0.17

0.65

0.95

1.45

1.67

1.48

1.32

1.22









Canadian bonds











3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


2.27

1.55

2.78

5.62

6.30

5.71

4.93

3.92


1st quartile


1.27

0.55

1.81

4.63

5.02

3.85

3.73

3.06


Median


0.30

-0.43

0.91

3.91

4.69

3.57

3.36

2.86


3rd quartile


-1.78

-2.44

-0.75

2.23

3.30

2.95

3.06

2.61


95th percentile


-8.15

-7.19

-6.14

-4.84

-0.01

1.03

2.33

1.83







Canadian bonds (Universe mandate)









3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


2.71

1.71

2.97

5.56

5.55

4.51

3.89

3.25


1st quartile


1.55

0.73

2.06

4.65

4.99

3.83

3.53

3.00


Median


1.00

0.27

1.50

4.14

4.79

3.68

3.36

2.81


3rd quartile


0.24

-0.47

0.84

3.50

4.39

3.42

3.12

2.67


95th percentile


-2.73

-3.42

-2.49

0.15

2.73

2.49

2.67

2.32
















 


Rates of return for periods ending March 31, 2020
(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


-12.46

-11.47

-8.87

-6.35

1.88

2.00

4.98

3.72


1st quartile


-17.63

-15.57

-12.69

-10.52

-1.86

-0.09

3.33

1.87


Median


-20.42

-17.78

-16.21

-13.88

-4.21

-1.95

2.78

1.30


3rd quartile


-21.95

-19.76

-18.15

-16.10

-6.36

-3.11

1.77

0.10


95th percentile


-28.50

-25.83

-24.87

-23.87

-10.67

-6.51

-1.81

-2.28


S&P/TSX


-20.90

-18.39

-16.37

-14.21

-3.69

-1.92

2.85

0.89


S&P/TSX Capped


-20.90

-18.39

-16.37

-14.21

-3.69

-1.92

2.85

0.89


*   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


-24.42

-18.14

-13.70

-10.63

-5.43

-2.20

1.66

1.88


1st quartile


-26.77

-20.75

-19.44

-17.45

-8.78

-5.20

-0.51

-1.75


Median


-29.44

-24.89

-25.66

-24.12

-13.99

-9.50

-4.71

-4.58


3rd quartile


-34.14

-27.90

-28.84

-29.20

-17.44

-12.97

-6.17

-6.01


95th percentile


-38.55

-37.08

-38.91

-42.82

-29.71

-20.22

-11.47

-11.12


S&P/TSX Small Cap


-38.12

-34.28

-35.08

-35.25

-20.26

-15.94

-6.35

-6.22


BMO Small Cap weighted


-36.22

-32.22

-32.65

-31.69

-17.88

-13.78

-4.49

-5.03










U.S. equity












3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


-5.23

1.80

1.48

5.15

12.05

13.27

14.69

12.74


1st quartile


-8.32

-2.49

0.23

2.87

9.27

11.03

12.50

9.81


Median


-11.44

-6.82

-4.52

-3.00

5.46

6.66

9.51

7.89


3rd quartile


-15.47

-10.40

-7.96

-5.48

2.57

3.98

8.28

6.69


95th percentile


-22.07

-17.61

-15.50

-14.90

-1.84

-0.45

4.97

4.46


S&P 500 (C$)


-12.18

-6.05

-3.32

-1.24

5.86

7.39

10.41

9.17













 

Rates of return for periods ending March 31, 2020
(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

-8.41

-0.34

0.06

4.13

3.94

8.11

8.21

7.17


1st quartile

-11.14

-6.95

-6.99

-4.09

-0.68

3.23

5.27

3.94


Median

-16.03

-10.23

-10.07

-8.87

-5.04

0.76

3.30

2.62


3rd quartile

-19.42

-14.00

-14.77

-15.52

-9.36

-3.06

1.34

0.57


95th percentile

-26.86

-21.69

-22.47

-21.77

-11.95

-4.90

-0.24

-1.27


MSCI EAFE (C$)

-15.29

-10.26

-10.05

-8.78

-4.60

0.33

3.85

1.73







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

-6.67

-0.12

1.10

3.54

8.20

11.05

12.25

9.74


1st quartile

-11.07

-5.48

-3.89

-1.96

3.91

6.77

9.17

7.12


Median

-14.35

-8.70

-7.89

-6.15

0.13

3.11

6.29

5.08


3rd quartile

-18.61

-14.52

-13.77

-13.37

-4.66

-0.79

3.99

3.62


95th percentile

-25.79

-20.19

-19.92

-19.03

-9.91

-3.38

1.79

0.83


MSCI World (C$)

-13.34

-7.86

-6.15

-4.53

1.44

4.16

7.53

5.68










Emerging markets











3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile

-14.76

-6.28

-8.15

-7.63

-4.10

3.96

9.62

6.07


1st quartile

-15.90

-8.07

-9.61

-9.11

-5.98

2.92

7.81

4.13


Median

-18.12

-10.75

-14.45

-14.48

-8.67

0.54

5.14

2.51


3rd quartile

-20.47

-17.46

-19.31

-18.40

-10.55

-3.71

1.93

0.84


95th percentile

-23.70

-20.15

-21.28

-22.33

-14.00

-6.48

-0.89

-1.33


MSCI Emerging markets

-16.11

-8.04

-10.65

-11.96

-7.92

0.91

5.66

2.37


 

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, 855-622-3327, media@morneaushepell.com; Jean Bergeron, FSA, FCIA, CFA, Partner, Asset and Risk Management, 514-239-5099, jbergeron@morneaushepell.com