Morneau Shepell Ltd. Releases the Results of its Performance Universe of Pension Managers' Pooled Funds for the First Quarter of 2011

PENSION FUNDS BEGIN 2011 ON A POSITIVE NOTE


MONTRÉAL, April 27 /CNW/ - Today, Morneau Shepell Ltd. ("Morneau Shepell") released the results of its Performance Universe of Pension Managers' Pooled Funds for the first quarter of 2011.

According to the report, in the first quarter of 2011, diversified pooled fund managers posted a median return of 2.6% before management fees.

According to Jean Bergeron, Partner in Morneau Shepell's Asset Management Consulting practice, "despite the slight setback in Canadian bonds this quarter, pension funds have managed to post positive returns in the first quarter of 2011 thanks to stock market increases. Furthermore, with the rise of interest rates, the solvency liabilities decreased by approximately 2% during this quarter. Thus, by combining the impact of positive returns and a decrease in the actuarial solvency liability, we estimate that the situation of an average pension fund has improved by about 4% in the first quarter of the year."

On average, during the first quarter of 2011, diversified pooled fund managers performed slightly better than the benchmark. In fact, these managers' median return (2.6%) was 0.4% higher than the benchmark portfolio (2.2%) (with allocation of 55% in equity and 45% in fixed income) used by a lot of pension funds.

Canadian equity

Since the beginning of the year, Canadian equity managers obtained a median return of 5.4% compared to a return of 5.6% for the S&P/TSX.

For the first quarter of 2011, the S&P/TSX Small Cap Index posted a return of 4.2% whereas the S&P/TSX Completion Index that represents mid-cap stocks had a return of 4.9%, and the large-cap S&P/TSX 60 Index climbed 5.8%.

Foreign Equity

Foreign equity managers' median returns and appropriate benchmark indices for the first quarter of 2011 are as follows:

>     3.2% for U.S. equities versus 3.3% for the S&P 500 Index (C$)

>     0.6% for international equities versus 1.2% for the MSCI EAFE Index (C$)

>     2.1% for global equities versus 2.6% for the MSCI World Index (C$)

>     -0.3% for emerging markets equities versus -0.1% for the MSCI Emerging Markets Index (C$)

Canadian bonds

For the first quarter of 2011, managers obtained a median return of 0.0% on bonds (Universe mandate), which is 0.3% higher than the DEX Universe Bond Index return (-0.3%).

Long-term bonds had a return of -1.4% during the first quarter, while medium- and short-term bonds posted returns of -0.2% and 0.3%, respectively. High-yield bonds achieved a return of 3.0%, while real return bonds provided a 0.5% return during the first quarter.

Alternative Investments

The Dow Jones Credit Suisse Hedge Fund Index (previously CSFB/Tremont Hedge Fund Index) posted a return of -0.4% (C$) during the first quarter of 2011.

The Performance Universe covers about 340 pooled funds managed by more than 46 investment management firms. The pooled funds included in the Universe have a market value in excess of $245 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 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.

    PERFORMANCE UNIVERSE    
    OF PENSION FUND MANAGERS    
    SUMMARY    
                   
Rates of return for periods ending March 31, 2011
(Annualized returns beyond one year)
                   
DIVERSIFIED                
                   
    3 months 6 months 9 months 1 year 2 years 3 years 4 years 5 years
  5th percentile 4.80 11.62 19.70 15.72 24.20 7.94 5.66 6.27
  1st quartile 3.16 8.66 16.37 12.15 20.03 6.03 4.25 5.22
  Median 2.61 7.25 14.92 11.13 16.86 4.81 3.15 4.47
  3rd quartile 2.21 6.75 14.12 9.99 15.33 3.99 2.66 4.02
  95th percentile 1.73 5.55 11.95 8.53 13.23 2.71 1.16 3.15
  Benchmark * 2.22 6.22 13.54 10.68 15.23 3.85 2.91 4.19
  Benchmark ** 2.36 6.69 14.40 10.86 15.76 3.47 2.36 3.83
                   
* 2% 91-day T-Bills, 43% DEX Universe, 30% S&P/TSX, 25% MSCI World (C$)
** 2% 91-day T-Bills, 38% DEX Universe, 30% S&P/TSX, 30% MSCI World (C$)
  Returns compounded quarterly
                   
MONEY MARKET                
                   
    3 months 6 months 9 months 1 year 2 years 3 years 4 years 5 years
  5th percentile 0.41 0.72 1.00 1.19 1.21 1.86 2.60 2.96
  1st quartile 0.34 0.65 0.87 1.05 0.97 1.59 2.36 2.73
  Median 0.30 0.60 0.79 0.95 0.84 1.54 2.31 2.71
  3rd quartile 0.28 0.55 0.74 0.86 0.71 1.43 2.26 2.64
  95th percentile 0.25 0.53 0.70 0.80 0.61 1.34 2.14 2.56
  DEX T-Bill 91 days 0.28 0.51 0.65 0.77 0.55 1.17 2.02 2.45
               
CANADIAN BONDS                
                   
    3 months 6 months 9 months 1 year 2 years 3 years 4 years 5 years
  5th percentile 2.09 3.37 7.70 10.55 16.00 9.10 7.02 7.27
  1st quartile 0.20 -0.23 3.24 7.52 9.16 6.50 6.05 5.88
  Median -0.04 -0.65 2.76 5.70 7.25 5.85 5.56 5.53
  3rd quartile -0.25 -1.01 2.32 5.25 6.05 5.32 5.38 5.38
  95th percentile -1.33 -2.59 1.96 4.76 5.11 5.02 4.56 5.05
  DEX Universe -0.27 -0.98 2.14 5.13 5.13 5.07 5.24 5.29
                   
CANADIAN BONDS (Universe mandate)          
                   
    3 months 6 months 9 months 1 year 2 years 3 years 4 years 5 years
  5th percentile 0.58 0.82 3.67 6.30 9.32 6.55 6.49 6.04
  1st quartile 0.13 -0.37 2.82 5.80 7.54 6.05 5.82 5.67
  Median -0.04 -0.65 2.61 5.43 6.79 5.65 5.47 5.49
  3rd quartile -0.19 -0.95 2.27 5.16 5.73 5.26 5.33 5.37
  95th percentile -0.30 -1.06 1.99 4.75 5.10 4.93 5.05 5.12
  DEX Universe -0.27 -0.98 2.14 5.13 5.13 5.07 5.24 5.29
               
INTERNATIONAL BONDS                
                   
    3 months 6 months 9 months 1 year 2 years 3 years 4 years  
  5th percentile 1.42 2.14 6.34 8.64 10.43 9.36 8.25  
  1st quartile 1.18 1.54 4.89 7.83 7.62 7.32 7.40  
  Median 0.39 -0.10 3.78 6.17 6.12 4.78 6.35  
  3rd quartile -0.39 -1.69 2.53 4.17 5.52 4.13 5.30  
  95th percentile -0.60 -2.14 0.75 2.57 4.88 3.61 4.46  
  Citigroup (WGBI) (C$) -1.48 -6.32 -2.13 2.83 -6.24 1.29 2.67  
                   
               
MORTGAGES                
                   
    3 months 6 months 9 months 1 year 2 years 3 years 4 years 5 years
  5th percentile 1.12 2.23 4.31 7.36 7.36 6.13 6.65 5.15
  1st quartile 0.95 1.73 4.01 7.03 6.35 5.53 5.95 5.14
  Median 0.74 1.11 3.63 6.63 5.10 4.78 5.08 5.14
  3rd quartile 0.51 0.98 3.10 5.84 5.06 4.72 5.06 5.13
  95th percentile 0.33 0.87 2.67 5.22 5.03 4.68 5.04 5.12
  DEX Mortgage Market 0.53 1.41 3.58 4.35 5.47 7.69 7.13 6.87
                   

CANADIAN EQUITY - BROAD *

             
                   
    3 months 6 months 9 months 1 year 2 years 3 years 4 years 5 years
  5th percentile 8.44 18.50 31.55 23.74 34.33 9.34 7.80 8.17
  1st quartile 6.19 17.34 29.18 20.52 31.92 7.51 5.78 7.04
  Median 5.44 15.64 27.09 18.75 30.49 5.84 4.83 6.28
  3rd quartile 4.48 14.48 24.31 16.10 27.93 4.52 3.70 5.39
  95th percentile 3.32 11.47 19.91 13.08 24.12 2.00 1.92 4.19
  S&P/TSX 5.60 15.57 27.43 20.41 30.83 4.97 4.73 6.03
  S&P/TSX Capped 5.60 15.57 27.43 20.41 30.83 4.97 4.72 6.03
* Some funds may include up to 30% of foreign content
                   
CANADIAN EQUITY - SPECIALIZED              
                   
    3 months 6 months 9 months 1 year 2 years 3 years 4 years 5 years
  5th percentile 8.17 29.93 45.08 35.55 57.66 17.76 12.11 12.10
  1st quartile 6.65 26.07 41.88 33.99 52.14 12.37 8.70 9.56
  Median 5.05 23.85 37.93 30.92 49.72 10.80 5.91 7.37
  3rd quartile 3.52 21.79 36.94 27.14 44.54 5.57 4.21 5.30
  95th percentile 0.24 19.17 34.95 24.62 41.33 3.34 1.71 2.71
  S&P/TSX Small Cap 4.25 23.25 40.76 34.25 54.09 9.12 4.51 5.27
  BMO Small Cap weighted 3.69 24.17 41.87 33.74 57.54 12.10 6.62 7.09
               
U.S. EQUITY                
                   
    3 months 6 months 9 months 1 year 2 years 3 years 4 years 5 years
  5th percentile 7.04 17.35 29.97 20.10 29.44 8.03 1.23 3.25
  1st quartile 3.88 11.68 20.48 11.53 16.23 2.04 -1.24 0.37
  Median 3.21 11.02 18.66 9.39 15.24 0.38 -3.12 -0.64
  3rd quartile 2.21 9.33 17.24 7.71 13.07 -0.25 -4.19 -1.67
  95th percentile 1.36 7.31 14.78 5.57 9.97 -1.90 -5.31 -3.15
  S&P 500 (C$) 3.26 10.54 18.91 10.39 15.39 0.42 -3.85 -1.13
                 
INTERNATIONAL EQUITY (Europe and Asia)            
                   
    3 months 6 months 9 months 1 year 2 years 3 years 4 years 5 years
  5th percentile 3.20 6.64 20.82 11.18 22.50 0.63 -1.50 2.12
  1st quartile 1.93 5.07 18.37 9.72 16.96 -1.72 -4.58 -0.43
  Median 0.57 4.53 16.91 6.91 15.04 -3.81 -5.78 -1.24
  3rd quartile 0.13 3.68 15.89 5.74 13.94 -5.07 -6.80 -1.94
  95th percentile -1.03 1.82 11.44 3.20 12.59 -7.42 -8.63 -3.85
  MSCI EAFE (C$) 1.19 4.49 17.50 5.87 14.83 -4.72 -6.99 -2.31
                   
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 4.03 13.32 26.28 18.46 34.25 7.94 0.88 3.03
  1st quartile 2.85 8.64 19.87 11.06 20.08 2.12 -0.90 1.06
  Median 2.05 7.53 18.07 8.04 16.44 -0.42 -4.12 -0.66
  3rd quartile 1.30 6.53 16.26 5.64 13.79 -1.55 -5.14 -1.26
  95th percentile 0.46 4.41 12.81 3.36 12.40 -4.02 -6.70 -2.85
  MSCI World (C$) 2.59 8.26 18.91 8.77 15.61 -2.01 -5.14 -1.56
                   
EMERGING MARKETS                
                   
    3 months 6 months 9 months 1 year 2 years 3 years 4 years  
  5th percentile 1.48 4.75 21.56 15.43 30.62 4.47 5.45  
  1st quartile 0.90 3.60 19.42 13.96 27.42 2.15 4.49  
  Median -0.29 2.39 17.14 11.73 26.96 1.63 3.38  
  3rd quartile -1.53 2.09 16.09 9.23 24.63 -0.54 2.25  
  95th percentile -2.29 0.45 9.54 6.08 23.12 -2.37 1.20  
  MSCI Emerg. Markets -0.05 3.94 18.56 13.83 29.09 2.76 4.09  
                   

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SOURCE Morneau Shepell Ltd.

For further information:

Jean Bergeron, FSA, FCIA, CFA
Partner
Tel.: 514 392-7852
jbergeron@morneausobeco.com

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