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

High returns for pension funds in 2019

TORONTO , Jan. 23, 2020 /CNW/ - Morneau Shepell (MSI.TO) has released the results of its Performance Universe of Pension Managers' Pooled Funds for the fourth quarter and for year 2019.

According to the report, in the fourth quarter of 2019, diversified pooled fund managers posted a median return of 2.6 per cent before management fees. Since the beginning of the year, the return has been 15.8 per cent.

"Both stock and bond markets posted very positive returns in 2019. The bond market posted a return of 6.9 per cent for the year. The Canadian Equity S&P/TSX Composite Index posted a return of 22.9 per cent and the U.S. Equity S&P 500 index a return of 31.5 per cent (in U.S. dollars). This excellent performance was offset by the stronger Canadian dollar, which scaled down the return in Canadian dollars to 25.2 per cent. The MSCI World (Developed Markets) Index obtained a return of 21.2 per cent (in Canadian dollars) and the MSCI Emerging Markets index posted a return of 12.9 per cent (in Canadian dollars)," said Jean Bergeron, Vice President for the Morneau Shepell Asset & Risk Management consulting team.

"With respect to pension fund actuarial liability, the decrease in interest rates meant that solvency liability also rose significantly during the year. Thus, although pension fund returns were very positive for 2019, on a solvency basis pension fund financial positions improved by an average of only about 1.0 per cent from the beginning of the year," added Bergeron.

During the fourth quarter of 2019, diversified pooled fund managers obtained a median return of 2.6 per cent, which was 0.5 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. Since the beginning of the year, the median pension fund return was 15.8 per cent, which is 0.2 per cent lower than the benchmark portfolio.

Canadian bonds
In the fourth quarter of 2019, managers obtained a median return of negative 0.7 per cent on bonds (Universe mandate); for the year as a whole, managers obtained a median return of 7.1 per cent on bonds (Universe mandate). For both periods, the return was 0.2 per cent above the benchmark index.

During 2019, short-term, mid-term and long-term bond indices posted returns of 3.1 per cent, 5.8 per cent and 12.7 per cent respectively. The high-yield bond index posted 8.5 per cent, while the real return bond index provided an 8.0 per cent return.

Canadian equities
In the fourth quarter of 2019, the median return for Canadian equity managers was 3.0 per cent, which was 0.2 per cent lower than the 3.2 per cent posted by the S&P/TSX Index. However, for 2019 as a whole, Canadian equity managers obtained a median return of 21.7 per cent, which is 1.2 per cent under the S&P/TSX Index return of 22.9 per cent.

For year 2019, the S&P/TSX Small Cap Index gained 15.8 per cent, whereas the S&P/TSX Completion Index representing mid-cap stocks registered an increase of 26.1 per cent, and the large-cap S&P/TSX 60 Index grew by 21.9 per cent.

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

  • 23.7 per cent for U.S. equities versus 25.2 per cent for the S&P 500 Index (C$);
  • 18.0 per cent for international equities versus 15.9 per cent for the MSCI EAFE Index (C$);
  • 20.1 per cent for global equities versus 21.2 per cent for the MSCI World Index (C$);
  • 15.2 per cent for emerging markets equities versus 12.9 per cent for the MSCI Emerging Markets Index (C$).


Alternative investments
The Dow Jones Credit Suisse Hedge Fund Index (formerly CSFB/Tremont Hedge Fund Index) posted a return of 0.5 per cent (C$) for the fourth quarter of 2019 and 4.1 per cent for year 2019.

The Performance Universe covers about 322 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
Morneau Shepell is the leading provider of technology-enabled HR services that delivers 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 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 (MSI.TO). For more information, visit morneaushepell.com.




Summary



Rates of return for periods ending December 31, 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


4.17

6.10

8.53

18.10

8.35

9.31

9.07

8.83


1st quartile


3.05

4.72

7.55

16.79

6.64

7.69

7.99

7.27


Median


2.61

4.25

6.71

15.78

5.76

6.76

7.13

6.62


3rd quartile


2.24

3.61

5.67

13.73

4.89

6.14

6.68

6.22


95th percentile


1.83

2.37

3.95

10.76

3.51

5.00

5.64

5.09


Benchmark*


2.13

4.01

6.78

16.04

6.49

7.29

7.42

6.68


Benchmark**


2.44

4.33

7.03

16.63

6.60

7.49

7.70

6.90













*     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


0.50

1.02

1.60

3.08

2.57

1.99

1.85

1.92


1st quartile


0.49

0.96

1.54

2.10

1.92

1.64

1.46

1.39


Median


0.46

0.91

1.41

1.97

1.86

1.57

1.41

1.31


3rd quartile


0.43

0.84

1.34

1.88

1.79

1.53

1.35

1.26


95th percentile


0.30

0.55

1.27

1.78

1.69

1.40

1.22

1.13

Canadian bonds











3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


1.25

2.24

5.89

13.64

6.69

6.83

6.88

5.90


1st quartile


-0.35

0.96

3.98

8.41

4.64

4.39

4.36

4.14


Median


-0.68

0.60

3.24

7.39

4.36

3.91

3.58

3.63


3rd quartile


-0.86

0.42

2.90

6.85

4.18

3.67

3.31

3.33


95th percentile


-1.84

-0.01

1.79

5.23

3.81

3.34

3.01

3.08

Canadian bonds (Universe mandate)









3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


0.08

1.57

3.77

8.17

4.60

4.28

4.33

4.08


1st quartile


-0.56

0.73

3.27

7.49

4.36

3.95

3.63

3.63


Median


-0.68

0.53

3.11

7.14

4.27

3.78

3.42

3.39


3rd quartile


-0.84

0.41

2.87

6.76

4.16

3.64

3.22

3.27


95th percentile


-0.94

0.13

2.57

6.42

4.02

3.50

3.06

3.14

 


Rates of return for periods ending December 31, 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


5.89

7.38

11.40

25.47

9.25

9.59

11.11

8.69


1st quartile


3.65

6.11

9.30

23.31

6.74

7.89

10.19

7.13


Median


2.96

5.37

8.44

21.71

5.46

6.85

9.62

6.50


3rd quartile


2.19

4.60

6.66

18.59

4.02

5.63

8.59

5.73


95th percentile


1.29

2.49

3.05

9.82

-0.41

2.79

6.15

3.77


S&P/TSX


3.17

5.72

8.46

22.88

5.81

6.89

10.28

6.28


S&P/TSX Capped


3.17

5.72

8.46

22.88

5.81

6.89

10.28

6.28


*     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


9.52

14.16

18.25

30.39

7.80

8.34

10.76

9.13


1st quartile


8.66

10.45

13.03

28.92

4.85

5.76

7.70

5.63


Median


7.72

7.84

8.62

21.68

0.21

2.37

6.41

4.34


3rd quartile


5.82

4.96

5.39

19.46

-2.11

-1.60

3.58

2.85


95th percentile


2.26

-1.55

-7.22

-4.03

-13.09

-6.99

0.54

-3.03


S&P/TSX Small Cap


6.20

4.91

4.63

15.84

-2.64

-0.87

7.77

3.18


BMO Small Cap weighted


6.27

5.60

7.12

19.20

-1.23

1.24

8.87

3.91

U.S. equity












3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


8.11

11.05

13.86

28.40

18.56

19.12

15.66

16.91


1st quartile


7.44

9.49

12.72

27.16

16.22

15.66

13.23

14.21


Median


6.00

8.71

11.18

23.65

14.02

13.72

11.57

13.23


3rd quartile


5.15

7.09

9.36

20.38

11.60

11.78

10.75

12.55


95th percentile


3.03

5.48

5.18

13.77

8.63

9.63

9.60

10.58


S&P 500 (C$)


6.97

10.08

12.45

25.18

14.09

14.00

12.63

14.25

 

Rates of return for periods ending December 31, 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


10.17

10.74

14.62

25.37

10.50

14.85

10.29

12.65


1st quartile


8.10

7.76

10.96

20.77

7.14

11.31

7.95

10.90


Median


6.66

6.68

8.59

17.98

4.93

8.91

6.93

8.97


3rd quartile


5.92

5.44

5.21

12.68

1.81

6.87

5.21

7.98


95th percentile


5.13

3.25

1.99

7.25

-0.84

4.65

3.34

6.12


MSCI EAFE (C$)


5.94

6.19

7.69

15.85

4.34

8.34

5.53

8.08

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


9.72

10.62

13.49

28.20

15.72

18.56

13.94

15.70


1st quartile


7.88

8.56

11.02

23.98

12.03

14.04

10.60

12.43


Median


6.76

7.74

9.23

20.09

9.07

10.92

9.34

11.32


3rd quartile


5.64

6.69

7.48

15.65

6.24

9.05

8.51

10.22


95th percentile


2.79

4.83

4.05

13.11

2.28

7.48

6.51

8.37


MSCI World (C$)


6.32

8.30

10.17

21.22

9.83

11.32

9.39

11.22

Emerging markets












3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


12.01

9.93

9.42

20.95

5.96

14.55

13.92

12.30


1st quartile


10.48

8.09

7.31

16.66

5.17

12.69

11.43

10.41


Median


8.89

6.10

5.47

15.19

2.34

11.93

10.50

9.81


3rd quartile


6.13

3.82

3.88

8.98

1.59

9.29

8.55

7.58


95th percentile


1.38

-0.93

-1.87

0.32

-2.12

4.30

4.51

5.30


MSCI Emerging markets


9.62

6.51

4.95

12.87

2.72

10.74

9.98

8.43

 

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.


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