Morneau Shepell releases the results of its Performance Universe of Pension Managers' Pooled Funds for the Second Quarter of 2014

Another quarter of positive returns for pension funds

MONTRÉAL, July 22, 2014 /CNW/ - Morneau Shepell (TSX: MSI) has released the results of its Performance Universe of Pension Managers' Pooled Funds for the second quarter of 2014.

According to the report, in the second quarter of 2014, diversified pooled fund managers posted a median return of 2.9 per cent before management fees.

"The stock market continued to grow in the second quarter and the decrease in interest rates generated good returns in the bond market. This market performance kept pension fund returns in positive territory for the eighth quarter in a row," said Jean Bergeron, partner and team leader of Morneau Shepell's Asset and Risk Management Consulting team.

"Given the decrease in interest rates used to discount pension benefits, the solvency liability of an average pension fund was up about 3.7 per cent in the second quarter," added Bergeron. "Pension fund financial positions have thus deteriorated slightly since the beginning of the year, although overall they have remained relatively stable."

On average, during the second quarter of 2014, diversified pooled fund managers had a performance similar to the benchmark. In fact, these managers' median return (2.9 per cent) was similar to the benchmark portfolio (with allocation of 55 per cent in equity and 45 per cent in fixed income) used by many pension funds (2.9 per cent).

Canadian bonds

In the second quarter of 2014, managers obtained a median return of 2.0 per cent on bonds (Universe mandate) equal to the FTSE TMX Canada Universe Bond Index return (2.0 per cent).

During the same period, long-term bonds posted a return of 3.8 per cent, while the return for medium-term bonds was 2.1 per cent and for short-term bonds 0.7 per cent. High-yield bonds achieved a return of 2.6 per cent, while real return bonds provided a 4.3 per cent return.

Canadian equities

During the second quarter of 2014, Canadian equity managers obtained a median return of 6.4 per cent which is similar to the S&P/TSX Index (6.4 per cent).

During that same period, the S&P/TSX Small Cap Index increased by 9.4 per cent, whereas the S&P/TSX Completion Index that represents mid-cap stocks gained 6.7 per cent, and the large-cap S&P/TSX 60 Index posted gains of 6.3 per cent.

Foreign equities

Foreign equity managers' median returns and appropriate benchmark indices for the second quarter of 2014 are as follows:

  • 0.9 per cent for U.S. equities versus 1.6 per cent for the S&P 500 Index (C$)
  • 0.0 per cent for international equities versus 0.4 per cent for the MSCI EAFE Index (C$)
  • 0.7 per cent for global equities versus -1.2 per cent for the MSCI World Index (C$)
  • 3.9 per cent for emerging markets equities versus 3.0 per cent for the MSCI Emerging Markets Index (C$)

Alternative investments

The Dow Jones Credit Suisse Hedge Fund Index (previously CSFB/Tremont Hedge Fund Index) posted a return of -1.7 per cent (C$) for the second quarter of 2014.

The Performance Universe covers about 360 pooled funds managed by nearly 50 investment management firms. The pooled funds included in the Universe have a market value of more than $250 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 and 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 largest company in Canada offering human resources consulting and outsourcing services. The Company is the leading provider of employee and family assistance programs, as well as the largest administrator of retirement and benefits plans and the largest provider of integrated absence management solutions in Canada. Through health and productivity, administrative, and retirement solutions, Morneau Shepell helps clients reduce costs, increase employee productivity and improve their competitive position. Established in 1966, Morneau Shepell serves more than 20,000 clients, ranging from small businesses to some of the largest corporations and associations in North America. With approximately 3,500 employees in offices across North America, Morneau Shepell provides services to organizations across Canada, in the United States, and 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 June 30, 2014
(annualized returns beyond one year)










Diversified






















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


4.98

9.72

16.77

22.56

17.91

12.96

14.07

13.05


1st quartile


3.40

8.42

15.64

20.61

16.56

11.43

12.65

11.85


Median


2.95

7.55

14.62

19.01

15.48

9.68

11.35

10.46


3rd quartile


2.58

7.06

13.99

18.47

14.41

9.00

10.10

9.38


95th percentile


1.86

5.98

12.34

15.68

12.13

5.82

7.86

8.37


Benchmark*


2.95

7.37

13.14

16.82

12.40

8.66

9.69

9.07


Benchmark**


3.04

7.61

13.88

17.92

13.33

8.99

10.13

9.41













*     2% 91-day T-Bills. 43% FTSE TMX CANADA Universe. 27.5% S&P/TSX. 27.5% MSCI World (C$)


**   2% 91-day T-Bills. 38% FTSE TMX CANADA Universe. 30% S&P/TSX. 30% MSCI World (C$)


Returns compounded quarterly










Money market























3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


0.35

0.71

1.07

1.44

1.45

1.41

1.37

1.31


1st quartile


0.30

0.62

0.94

1.28

1.25

1.25

1.26

1.14


Median


0.30

0.60

0.91

1.23

1.21

1.21

1.19

1.06


3rd quartile


0.27

0.56

0.85

1.15

1.14

1.16

1.13

1.01


95th percentile


0.25

0.50

0.77

1.04

1.05

1.05

1.04

0.91


FTSE TMX CANADA T-Bill 91 days

0.22

0.44

0.69

1.00

1.00

0.99

0.96

0.84









Canadian bonds






















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


3.87

9.38

9.50

9.61

7.77

8.38

8.76

9.84


1st quartile


2.25

5.65

7.20

7.25

3.68

6.23

6.41

7.69


Median


2.04

5.09

5.76

6.02

3.16

5.30

5.35

6.15


3rd quartile


1.89

4.81

5.35

5.51

2.62

4.94

5.00

5.51


95th percentile


1.19

3.98

4.42

4.26

1.95

4.10

4.45

5.10


FTSE TMX CANADA Universe


1.99

4.82

5.22

5.34

2.55

4.81

4.78

5.19







Canadian bonds (Universe mandate)


















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


2.27

5.67

6.43

6.96

4.26

5.82

5.95

6.83


1st quartile


2.08

5.15

5.79

6.01

3.48

5.33

5.35

6.14


Median


2.01

5.01

5.54

5.74

3.16

5.16

5.18

5.77


3rd quartile


1.93

4.81

5.28

5.42

2.64

4.88

4.92

5.39


95th percentile


1.72

4.48

4.91

4.97

2.30

4.49

4.55

5.06


FTSE TMX CANADA Universe


1.99

4.82

5.22

5.34

2.55

4.81

4.78

5.19


Rates of return for periods ending June 30, 2014
(annualized returns beyond one year)










Mortgages























3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


1.61

3.09

4.41

5.70

4.24

4.62

4.96

5.93


1st quartile


1.48

3.00

4.20

5.29

3.85

4.45

4.72

5.53


Median


1.32

2.89

3.94

4.79

3.36

4.24

4.42

5.04


3rd quartile


1.18

2.65

3.58

4.37

3.22

4.11

4.40

4.95


95th percentile


1.06

2.47

3.29

4.03

3.11

4.01

4.39

4.89


FTSE TMX CANADA Mortgage Market

0.86

3.18

4.19

4.63

4.47

4.63

4.82

4.78








Canadian equity – Broad*




















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


8.42

15.45

25.19

35.30

27.51

14.28

17.58

16.73


1st quartile


6.86

13.00

22.95

31.74

23.54

12.58

15.01

14.00


Median


6.39

12.43

21.58

30.39

20.62

10.16

12.54

12.06


3rd quartile


5.86

11.88

20.57

28.22

19.17

8.53

11.37

10.96


95th percentile


4.13

8.27

17.61

24.49

17.10

6.35

9.13

9.14


S&P/TSX


6.41

12.86

21.09

28.66

17.82

7.60

10.78

11.01


S&P/TSX Capped

6.41

12.86

21.09

28.66

17.82

7.60

10.78

11.01


*     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


14.60

22.49

38.37

54.18

36.45

19.46

21.74

24.32


1st quartile


10.43

20.58

33.53

49.29

33.74

16.93

20.58

23.04


Median


8.03

16.08

29.53

44.17

29.97

14.68

17.16

19.84


3rd quartile


6.60

13.40

25.39

35.87

24.46

12.08

15.80

18.82


95th percentile


5.17

10.09

20.70

29.48

16.35

0.68

8.22

12.67


S&P/TSX Small Cap

9.36

18.04

26.17

36.22

16.12

2.74

8.80

14.06


BMO Small Cap weighted

8.54

18.15

26.44

36.15

17.78

5.33

11.25

16.33










U.S. equity























3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


3.49

9.95

25.08

30.44

29.96

22.56

23.43

20.08


1st quartile


1.51

8.08

23.16

28.03

27.42

21.11

20.60

17.92


Median


0.91

6.71

21.80

26.10

26.48

20.38

19.65

16.34


3rd quartile


0.25

5.45

19.98

25.15

24.96

19.06

18.99

15.54


95th percentile


-0.57

3.48

16.69

22.61

22.81

16.84

17.89

14.47


S&P 500 (C$)


1.57

7.48

22.62

26.41

25.50

20.58

20.03

16.80

















Rates of return for periods ending June 30, 2014
(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


2.47

8.25

17.59

30.07

27.81

15.12

16.61

14.13


1st quartile


0.89

5.35

15.39

25.27

24.22

13.51

15.45

12.42


Median


0.04

4.35

14.48

23.12

23.22

12.20

13.95

10.97


3rd quartile


-1.06

3.31

12.98

21.34

20.85

11.49

12.92

9.99


95th percentile


-2.72

1.03

9.86

18.10

18.13

9.13

11.08

8.43


MSCI EAEO (C$)


0.45

5.04

14.78

24.77

23.76

11.71

13.34

9.85







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


3.84

10.32

23.29

32.71

35.03

19.04

20.81

17.61


1st quartile


1.31

6.75

19.34

26.93

25.79

17.97

18.38

15.04


Median


0.71

6.03

17.74

24.15

24.34

16.10

17.19

13.91


3rd quartile


-0.14

5.04

16.75

22.49

23.09

14.20

15.05

12.89


95th percentile


-1.56

3.39

13.37

19.76

18.69

11.22

12.66

11.18


MSCI Monde (C$)


1.19

6.44

18.83

25.25

23.97

15.54

16.28

13.02










Emerging markets

















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


5.39

10.60

17.42

18.99

16.04

9.49

11.31

10.99


1st quartile


4.49

8.41

14.87

17.77

13.86

7.01

8.93

10.48


Median


3.88

7.99

12.46

15.59

11.50

4.28

7.27

8.89


3rd quartile


2.60

5.89

10.42

12.91

9.37

3.37

5.93

7.77


95th percentile


1.89

4.97

9.56

10.26

7.57

2.43

5.16

6.11


MSCI Emerging markets

2.97

6.58

12.22

15.79

11.22

3.28

6.42

7.69

 

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: Nathan Gibson, Manager, Corporate Communications, Morneau Shepell, 416-390-2641, ngibson@morneaushepell.com