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

A second-quarter reversal for pension funds in 2020

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

According to the report, in the second quarter of 2020, diversified pooled fund managers posted a median return of 11.0 per cent before management fees and negative 0.8 per cent since the beginning of the year.

"The dramatic fall in equity and credit prices in the first quarter of 2020 was sharply reversed this following quarter as the easing of COVID-19 lockdowns and early signs of an economic recovery supported both markets. The speed and magnitude of both the first-quarter sell-off and the subsequent rebound have been unprecedented. The MSCI World Index delivered a 14.2 per cent return for the second quarter. During the second quarter, the bond market posted a positive return of 5.9 per cent, the Canadian Equity S&P/TSX Composite Index posted a return of 17.0 per cent and the U.S. Stock S&P 500 Index registered a return of 20.5 per cent (in U.S. dollars) and a 15.8 per cent return in Canadian dollars.  The Emerging Markets Index posted a return of 13.1 per cent (in Canadian dollars)," said Jean Bergeron, Partner for the Morneau Shepell Asset & Risk Management consulting team.

"The second-quarter reversal has improved pension fund financial positions given the positive returns. However, the higher solvency liability caused by the decrease in interest rates means that pension fund financial positions fell by an average of 3.0 per cent to 10.0 per cent compared to the beginning of the year," added Bergeron.

During the second quarter of 2020, diversified pooled fund managers obtained a median return of 11.0 per cent, which was 1.2 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 second quarter of 2020, managers obtained a median return of positive 6.6 per cent on bonds (Universe mandate); the return was 0.7 per cent higher than the benchmark index.

During the second quarter of 2020, short-term, mid-term and long-term bond indices posted returns of 2.2 per cent, 4.8 per cent and 11.2 per cent respectively. The high-yield bond index posted a return of 7.6 per cent, while the real return bond index provided a 6.2 per cent return.

Canadian equities
In the second quarter of 2020, the median return for Canadian equity managers was 12.3 per cent, which was 4.7 per cent lower than the 17.0 per cent posted by the S&P/TSX Index.

During the second quarter of 2020, the S&P/TSX Small Cap Index gained 38.6 per cent, whereas the S&P/TSX Completion Index representing mid-cap stocks registered an increase of 25.5 per cent, and the large-cap S&P/TSX 60 Index grew by 15.0 per cent.

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

  • 15.0 per cent for U.S. equities versus 15.8 per cent for the S&P 500 Index (C$);
  • 11.6 per cent for international equities versus 9.9 per cent for the MSCI EAFE Index (C$);
  • 13.7 per cent for global equities versus 14.2 per cent for the MSCI World Index (C$);
  • 14.5 per cent for emerging market equities versus 13.1 per cent for the MSCI Emerging Markets Index (C$).

Alternative investments
The Dow Jones Credit Suisse Hedge Fund Index (formerly CSFB/Tremont Hedge Fund Index) posted a return of 2.0 per cent (C$) for the second quarter of 2020.

The Performance Universe covers about 303 funds managed by nearly 45 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 a leading provider of technology-enabled HR services that deliver an integrated approach to employee wellbeing through our cloud-based platform. Our focus is providing world-class solutions to our clients to support the mental, physical, social and financial wellbeing 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 June 30, 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


13.17

2.01

5.44

6.80

7.11

7.51

8.43

7.77


1st quartile


12.02

1.23

3.61

5.49

5.72

6.50

7.05

6.09


Median


10.96

-0.82

1.90

3.27

4.11

4.94

6.26

5.49


3rd quartile


9.45

-3.79

-0.73

0.08

1.54

3.54

5.01

4.51


95th percentile


7.22

-7.65

-4.86

-3.82

-0.01

2.00

4.17

3.57


Benchmark*


12.21

1.97

4.13

6.05

6.38

6.52

6.94

6.23


Benchmark**


12.56

1.26

3.74

5.65

6.05

6.46

7.08

6.26













*     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


2.70

4.18

4.48

4.78

4.36

3.20

2.60

2.40


1st quartile


0.36

0.80

1.24

1.73

1.89

1.73

1.55

1.44


Median


0.26

0.72

1.21

1.70

1.85

1.70

1.50

1.36


3rd quartile


0.22

0.67

1.15

1.66

1.78

1.61

1.43

1.32


95th percentile


0.14

0.44

0.91

1.22

1.61

1.51

1.33

1.23

Canadian bonds











3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


12.43

11.26

9.37

12.15

11.98

8.45

6.47

7.16


1st quartile


8.27

8.49

7.68

9.04

8.21

5.74

4.65

4.82


Median


6.94

7.58

6.80

8.18

7.91

5.54

4.44

4.57


3rd quartile


6.11

6.14

5.70

7.30

7.32

5.20

4.17

4.35


95th percentile


4.25

-1.24

-0.23

0.73

3.83

3.06

2.93

2.89

Canadian bonds (Universe mandate)









3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


7.73

8.95

8.07

9.29

8.34

5.99

4.60

4.88


1st quartile


6.94

8.03

7.33

8.69

8.09

5.66

4.50

4.64


Median


6.62

7.59

6.88

8.21

7.94

5.55

4.31

4.51


3rd quartile


5.90

7.00

6.47

7.75

7.64

5.42

4.15

4.36


95th percentile


4.55

4.79

4.86

5.92

6.24

4.55

3.76

3.82

 


Rates of return for periods ending June 30, 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


19.51

-3.51

-0.66

1.61

5.00

6.82

7.19

6.52


1st quartile


16.24

-5.42

-3.80

-1.51

1.28

4.59

6.13

5.26


Median


12.32

-8.51

-5.82

-3.17

-0.50

2.92

5.10

4.43


3rd quartile


9.92

-11.69

-9.54

-7.84

-3.18

1.23

4.15

3.48


95th percentile


8.05

-18.17

-15.56

-14.59

-6.34

-2.88

0.14

0.32


S&P/TSX


16.97

-7.47

-4.54

-2.17

0.80

3.91

5.65

4.45


S&P/TSX Capped


16.97

-7.47

-4.54

-2.17

0.80

3.91

5.65

4.45


*     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


40.39

-2.92

5.61

9.95

5.42

5.64

7.54

6.70


1st quartile


36.49

-4.20

3.46

5.93

2.58

4.64

6.26

3.36


Median


31.18

-6.18

1.57

1.51

-3.40

0.62

1.82

1.29


3rd quartile


26.71

-7.61

-1.10

-3.44

-4.43

-2.00

-0.75

-0.05


95th percentile


26.14

-21.83

-19.99

-22.33

-21.41

-13.27

-7.97

-7.18


S&P/TSX Small Cap


38.52

-14.28

-8.96

-10.07

-9.10

-4.51

-2.51

-0.16


BMO Small Cap weighted


36.70

-12.82

-7.35

-7.93

-6.68

-2.92

-0.21

0.91

U.S. equity












3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


23.56

15.32

23.87

23.62

17.23

21.42

21.28

16.23


1st quartile


17.88

3.51

11.43

14.16

12.75

15.12

15.58

13.11


Median


14.96

2.15

7.43

11.59

9.77

11.60

13.32

11.44


3rd quartile


12.17

-2.59

3.15

5.78

8.50

9.30

11.16

9.97


95th percentile


8.68

-6.62

-4.81

-1.07

4.67

6.51

9.12

7.91


S&P 500 (C$)


15.79

1.70

8.78

11.95

10.84

12.55

14.00

12.68

 

Rates of return for periods ending June 30, 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


16.10

3.60

13.08

12.62

9.53

10.74

11.89

9.58


1st quartile


14.23

-2.37

5.02

4.67

4.15

5.25

8.66

6.43


Median


11.64

-5.52

0.25

0.98

0.81

3.32

7.33

4.71


3rd quartile


9.00

-11.70

-5.34

-5.19

-3.26

-0.09

4.96

2.57


95th percentile


7.17

-15.83

-10.49

-12.80

-8.11

-3.59

2.83

0.39


MSCI EAFE (C$)


9.93

-6.88

-1.35

-1.12

-0.36

2.42

6.62

3.85

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


23.85

13.33

21.86

21.74

15.64

16.65

16.93

14.46


1st quartile


17.17

1.29

7.83

9.46

8.93

10.20

12.59

9.67


Median


13.69

-3.96

1.12

3.05

4.83

6.72

8.66

7.97


3rd quartile


11.10

-9.26

-4.63

-3.43

-0.31

3.21

6.73

5.97


95th percentile


6.86

-13.51

-7.69

-6.62

-3.94

0.58

4.75

4.02


MSCI World (C$)


14.21

-1.03

5.23

7.19

6.41

8.41

10.78

8.78

Emerging markets












3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


21.09

3.34

11.62

8.21

7.37

7.90

13.00

9.56


1st quartile


15.88

-2.91

7.14

5.34

3.72

5.40

10.69

7.11


Median


14.49

-5.30

3.32

-1.15

1.14

4.73

8.42

6.27


3rd quartile


13.15

-8.52

-5.52

-8.02

-1.59

-0.25

3.78

3.58


95th percentile


9.33

-14.08

-10.09

-11.77

-6.03

-3.55

1.22

1.73


MSCI Emerging markets


13.09

-5.13

4.00

1.05

0.99

3.90

8.64

5.05

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, Senior 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