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

Good returns for pension funds for the fourth quarter of 2015

TORONTO, Jan. 19, 2016 /CNW/ - Morneau Shepell (TSX: MSI) has released the results of its Performance Universe of Pension Managers' Pooled Funds for the fourth quarter of 2015.

According to the report, in the fourth quarter of 2015, diversified pooled fund managers posted a median return of 2.8 per cent before management fees. The median year-to-date return was 4.8 per cent.

"Pension funds had an excellent fourth quarter, but returns were modest for the year as a whole," said Jean Bergeron, Partner responsible for Morneau Shepell's Asset and Risk Management Consulting team. "It was a very difficult year for stock markets, especially for Canadian equities and emerging-market equities. The strength of the U.S. dollar, however, helped to mitigate pension fund losses on stock markets. For a Canadian investor who held U.S. stock in 2015, exchange-rate gains were 19.6 per cent. Also, overall, equities managers outperformed the benchmarks indices."

"Pension fund financial positions on a solvency basis fell by about 5 per cent in 2015 due to poor stock market performance, the decrease in the interest rates used to determine the solvency liability and the use of a new mortality table," said Bergeron.

On average, during the fourth quarter of 2015, diversified pooled fund managers outperformed the benchmark. In fact, the median return (2.8 per cent) for these managers added (0.2 per cent) to the benchmark portfolio (with an allocation of 55 per cent in equity and 45 per cent in fixed income) and a return of (2.6 per cent) used by many pension funds. For the full year, the median manager added 1.0 per cent to the benchmark return with a median return of 4.8 per cent while the benchmark produced a return of 3.8 per cent.

Canadian bonds
In the fourth quarter of 2015, managers obtained a median return of 1.0 per cent on bonds (Universe mandate) which was equal to the benchmark FTSE TMX Canada Universe Bond Index return (1.0 per cent). For 2015 as a whole, managers posted a median return of 3.4 per cent which was 0.1 per cent below the benchmark FTSE TMX Canada Universe Bond Index return (3.5 per cent).

Since the beginning of 2015, long-term bonds posted a return of 3.8 per cent, while the return for medium-term bonds was 4.9 per cent and for short-term bonds 2.6 per cent. High-yield bonds posted negative 3.8 per cent, while real return bonds provided a 2.8 per cent return.

Canadian equities
During the fourth quarter of 2015, the median return for Canadian equity managers was negative 0.6 per cent, compared to the S&P/TSX Index negative 1.4 per cent.

Since the beginning of 2015, Canadian equity managers obtained a median return of negative 4.6 per cent which is 3.7 per cent higher than the S&P/TSX Index return of negative 8.3 per cent.

During 2015 the S&P/TSX Small Cap Index decreased by 13.3 per cent, whereas the S&P/TSX Completion Index representing mid-cap stocks decreased by 10.0 per cent, and the large-cap S&P/TSX 60 Index posted a loss of 7.8 per cent.

Foreign equities
Foreign equity managers' median returns and appropriate benchmark indices for the whole year of 2015 are as follows:

  • 20.4 per cent for U.S. equities versus 21.0 per cent for the S&P 500 Index (C$);
  • 19.6 per cent for international equities versus 19.0 per cent for the MSCI EAFE Index (C$);
  • 19.1 per cent for global equities versus 18.9 per cent for the MSCI World Index (C$);
  • 4.3 per cent for emerging markets equities versus negative 2.4 per cent for the MSCI Emerging Markets Index (C$).

Alternative investments
The Dow Jones Credit Suisse Hedge Fund Index (previously CSFB/Tremont Hedge Fund Index) posted a return of 18.5 per cent (C$) for 2015.

The Performance Universe covers about 367 pooled funds managed by nearly 52 investment management firms. The pooled funds included in the Universe have a market value of more than $283 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 Inc.
Morneau Shepell is the only human resources consulting and technology company that takes an integrative approach to employee assistance, health, benefits and retirement needs. The Company is the leading provider of employee and family assistance programs, 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 approximately 20,000 clients, ranging from small businesses to some of the largest corporations and associations in North America. With almost 4,000 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.

For more information, visit morneaushepell.com.


Summary

Rates of return for periods ending December 31, 2015
(annualized returns beyond one year)

Diversified





















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


3.97

2.24

1.11

7.99

10.29

12.96

12.32

10.60


1st quartile


3.38

1.01

-0.30

6.43

9.21

11.58

11.20

9.03


Median


2.78

0.23

-1.04

4.84

7.90

10.66

10.53

7.94


3rd quartile


2.05

-0.82

-2.22

2.52

6.27

9.52

9.32

7.27


95th percentile


0.13

-5.02

-5.75

-4.79

1.17

3.96

5.45

3.89


Benchmark*


2.60

-0.38

-2.47

3.78

7.96

8.61

8.40

7.14


Benchmark**


2.72

-0.54

-2.53

3.79

7.95

9.02

8.78

7.22













*     2% 91-day T-Bills. 21.5% FTSE TMX Canada Long Term, 21.5% FTSE TMX CANADA Universe, 27.5% S&P/TSX, 27.5% MSCI ACWI (C$)


**   2% 91-day T-Bills. 19% FTSE TMX Canada Long Term, 19% FTSE TMX CANADA Universe, 30% S&P/TSX, 30% MSCI ACWI (C$)


Returns compounded quarterly






Money market





















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


0.47

0.55

0.78

1.88

1.87

1.36

1.38

1.39


1st quartile


0.24

0.47

0.72

1.13

1.18

1.16

1.18

1.20


Median


0.21

0.41

0.66

0.99

1.08

1.11

1.14

1.15


3rd quartile


0.18

0.35

0.58

0.90

1.03

1.08

1.10

1.12


95th percentile


0.14

0.24

0.41

0.74

0.87

0.93

0.97

1.00


FTSE TMX CANADA
T-Bill 91 days


0.09

0.23

0.38

0.63

0.77

0.85

0.89

0.91












Canadian bonds



















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


1.85

1.76

0.35

4.43

10.42

5.03

6.00

7.55


1st quartile


1.11

1.22

-0.38

3.77

6.44

4.14

4.62

5.43


Median


0.97

0.99

-0.71

3.32

6.11

3.72

4.06

5.11


3rd quartile


0.63

0.46

-1.74

2.69

5.54

3.53

3.73

4.89


95th percentile


-1.02

-3.76

-4.69

-0.11

2.13

2.37

2.59

3.76


FTSE TMX CANADA Universe


0.98

1.12

-0.61

3.52

6.12

3.63

3.62

4.80












Canadian bonds (Universe mandate)















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


1.28

1.50

-0.01

3.97

6.84

4.34

4.52

5.42


1st quartile


1.08

1.22

-0.36

3.72

6.27

3.95

4.10

5.13


Median


1.00

1.12

-0.58

3.38

6.12

3.67

3.93

4.98


3rd quartile


0.87

0.91

-0.79

3.26

5.92

3.58

3.73

4.83


95th percentile


0.37

0.13

-1.34

2.18

5.49

3.20

3.53

4.54


FTSE TMX CANADA Universe


0.98

1.12

-0.61

3.52

6.12

3.63

3.62

4.80












Rates of return for periods ending December 31, 2015
(annualized returns beyond one year)


Mortgages



















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


0.74

1.45

2.15

3.64

4.74

4.43

4.23

4.64


1st quartile


0.72

1.32

1.95

3.57

4.62

4.26

4.07

4.54


Median


0.71

1.16

1.69

3.49

4.48

4.05

3.87

4.40


3rd quartile


0.69

0.99

1.43

3.41

4.34

3.83

3.67

4.27


95th percentile


0.68

0.86

1.23

3.34

4.22

3.66

3.51

4.17


FTSE TMX CANADA
Mortgage Market


0.84

1.69

2.55

3.59

4.27

3.88

4.13

4.30












Canadian equity – Broad*

















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


3.44

-0.39

-2.48

1.54

9.12

14.98

15.02

11.25


1st quartile


1.23

-4.03

-5.46

-2.46

4.90

10.12

10.12

6.44


Median


-0.60

-6.49

-7.87

-4.57

3.10

8.02

8.59

4.44


3rd quartile


-1.40

-8.09

-9.57

-7.76

0.08

5.19

6.67

3.09


95th percentile


-2.73

-11.83

-13.23

-13.08

-4.69

2.26

3.90

1.16


S&P/TSX


-1.40

-9.14

-10.63

-8.32

0.68

4.62

5.26

2.30


S&P/TSX Capped


-1.40

-9.14

-10.63

-8.32

0.68

4.62

5.26

2.30


*     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


6.42

-4.18

-3.18

1.79

6.92

15.30

13.50

7.84


1st quartile


5.75

-6.79

-5.65

-0.49

4.85

12.20

11.98

6.43


Median


2.46

-10.33

-7.91

-3.74

0.49

8.32

9.12

4.95


3rd quartile


0.75

-11.23

-10.84

-8.89

-3.27

5.73

6.29

1.35


95th percentile


-0.15

-14.87

-12.33

-15.18

-7.73

1.61

2.76

0.19


S&P/TSX Small Cap


1.12

-14.22

-13.09

-13.31

-7.99

-3.06

-2.85

-5.73


BMO Small Cap weighted


0.21

-14.56

-13.76

-13.75

-7.17

-2.44

-1.24

-3.97












U.S. equity





















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


11.49

13.11

11.66

25.42

24.62

31.17

27.31

23.18


1st quartile


10.30

11.09

9.22

21.68

22.73

29.48

25.49

20.67


Median


9.23

9.03

7.83

20.39

21.28

28.14

24.51

20.05


3rd quartile


7.66

6.19

4.48

15.85

17.54

24.89

22.20

18.20


95th percentile


4.09

-0.17

-0.29

3.74

12.18

21.25

17.71

14.91


S&P 500 (C$)


11.01

10.98

9.74

20.95

22.47

28.52

24.58

20.26














Rates of return for periods ending December 31, 2015
(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


11.20

12.54

13.41

33.36

19.59

23.66

22.53

15.94


1st quartile


9.74

6.71

6.61

22.98

14.42

19.13

18.94

12.94


Median


8.46

5.27

4.93

19.63

11.14

18.00

17.57

11.34


3rd quartile


6.99

1.65

1.47

16.54

9.76

16.83

16.52

10.62


95th percentile


5.09

-0.94

-2.79

8.06

5.68

11.47

12.68

8.13


MSCI EAEO (C$)


8.49

4.58

3.73

18.95

11.05

17.34

16.68

10.78












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


11.35

12.62

12.63

27.24

21.86

26.66

23.73

19.45


1st quartile


9.76

8.49

7.99

21.39

17.50

23.42

21.73

16.58


Median


8.81

6.98

6.29

19.15

15.95

21.65

19.96

15.05


3rd quartile


7.64

4.20

4.47

16.80

14.39

20.00

18.70

13.36


95th percentile


5.31

0.30

0.72

10.51

10.31

16.45

15.56

9.80


MSCI Monde (C$)


9.31

7.47

6.27

18.89

16.62

22.50

20.12

15.05












Emerging markets





















3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


6.52

-1.05

-0.34

8.24

9.97

9.87

13.00

7.44


1st quartile


6.19

-3.15

-3.97

5.44

9.01

7.34

9.40

4.83


Median


5.65

-5.19

-6.01

4.26

5.12

5.72

8.17

3.23


3rd quartile


4.15

-6.38

-6.99

3.15

4.07

2.83

5.75

1.77


95th percentile


1.70

-7.56

-9.49

-1.20

2.18

1.13

4.87

0.32


MSCI Emerging markets


4.37

-7.85

-8.42

2.42

4.70

4.56

7.31

2.15

























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 - Investment

For further information: Nathan Gibson, Manager, Corporate Communications, 416-390-2641, ngibson@morneaushepell.com; Jean Bergeron, FSA, FICA, CFA, Partner, 514-392-7852, jbergeron@morneaushepell.com

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