Morneau Shepell releases the results of its Performance Universe of Pension Managers' Pooled Funds for the second quarter of 2015

Negative second quarter pension fund returns

MONTREAL, July 21, 2015 /CNW/ - Morneau Shepell (TSX: MSI) has released the results of its Performance Universe of Pension Managers' Pooled Funds for the second quarter of 2015.

According to the report, in the second quarter of 2015, diversified pooled fund managers posted a median return of negative 1.2 per cent before management fees. The median year-to-date return was 4.5 per cent.

"After good first quarter returns, pension fund returns were negative in the second quarter following the decline in stock and bond markets," said Jean Bergeron, Partner responsible for Morneau Shepell's Asset and Risk Management Consulting team. "Since the beginning of the year, the median pension fund return is 4.5 per cent."

"On a solvency basis, however, pension fund financial positions improved in the second quarter due to the increase in the bond yields used to determine solvency liability," added Bergeron. "Given the higher yields, the average solvency liability decreased much more than pension fund assets decreased during the quarter. As a result, the financial position of the average pension fund on a solvency basis is about the same as it was at the start of the year."

On average, during the second quarter of 2015, diversified pooled fund managers overperformed the benchmark. In fact, the median return (negative 1.2 per cent) for these managers was 0.9 per cent higher than the benchmark portfolio (with an allocation of 55 per cent in equity and 45 per cent in fixed income) and a return of negative 2.1 per cent used by many pension funds.

Canadian bonds

In the second quarter of 2015, managers obtained a median return of negative 1.6 per cent on bonds (Universe mandate) which was superior to the benchmark FTSE TMX Canada Universe Bond Index return (negative 1.7 per cent).

During the same period, long-term bonds posted a return of negative 4.6 per cent, while the return for medium-term bonds was negative 1.2 per cent and for short-term bonds 0.2 per cent. High-yield bonds posted a return of 2.7 per cent, while real return bonds provided a negative 3.7 per cent return.

Canadian equities

During the second quarter of 2015, the median return for Canadian equity managers was negative 1.4 per cent, compared to the S&P/TSX Index negative 1.6 per cent.

During that same period, the S&P/TSX Small Cap Index increased by 1.3 per cent, whereas the S&P/TSX Completion Index that represents mid-cap stocks decreased 1.3 per cent, and the large-cap S&P/TSX 60 Index posted a loss of 1.8 per cent.

Foreign equities

Foreign equity managers' median returns and appropriate benchmark indices for the second quarter of 2015 are as follows:

  • negative 1.1 per cent for U.S. equities versus negative 1.1 per cent for the S&P 500 Index (C$);
  • negative 0.5 per cent for international equities versus negative 0.8 per cent for the MSCI EAFE Index (C$);
  • negative 0.4 per cent for global equities versus negative 1.1 per cent for the MSCI World Index (C$);
  • negative 0.6 per cent for emerging markets equities versus negative 0.6 per cent for the MSCI Emerging Markets Index (C$).

Alternative investments

The Dow Jones Credit Suisse Hedge Fund Index (previously CSFB/Tremont Hedge Fund Index) posted a return of negative 1.9 per cent (C$) for the second quarter of 2015.

The Performance Universe covers about 354 pooled funds managed by nearly 50 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 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 pension and benefits plans. 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 21,000 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.

Summary

Rates of return for periods ending June 30, 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


-0.28

6.63

10.18

12.63

16.38

14.82

12.15

12.48


1st quartile


-0.92

5.55

8.35

9.80

14.54

13.84

10.25

11.40


Median


-1.19

4.52

6.83

7.59

13.54

13.19

9.55

10.78


3rd quartile


-1.53

3.49

5.76

6.27

12.29

12.03

8.82

9.65


95th percentile


-1.89

1.32

0.50

0.09

8.80

9.08

5.83

7.38


Benchmark*


-2.09

4.18

6.71

8.04

12.47

10.61

8.67

9.58


Benchmark**


-2.00

4.35

6.75

8.04

12.95

11.20

8.84

9.85













*     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


0.29

1.62

2.32

2.72

2.15

1.45

1.44

1.41


1st quartile


0.25

0.62

0.95

1.30

1.28

1.23

1.22

1.24


Median


0.24

0.55

0.85

1.14

1.17

1.19

1.18

1.17


3rd quartile


0.21

0.51

0.79

1.08

1.13

1.11

1.13

1.12


95th percentile


0.15

0.43

0.68

0.95

0.99

1.01

1.03

1.02


FTSE TMX CANADA
T-Bill 91 days

0.15

0.40

0.62

0.87

0.92

0.95

0.95

0.94











Canadian bonds











3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


0.21

3.26

7.86

10.13

9.13

6.75

8.32

8.56


1st quartile


-1.45

2.58

5.29

6.50

6.65

4.80

6.29

6.58


Median


-1.66

2.36

4.90

6.08

6.04

4.28

5.46

5.49


3rd quartile


-1.92

2.19

4.64

5.54

5.67

3.79

5.26

5.25


95th percentile


-4.50

1.13

2.22

2.33

3.97

2.56

4.26

4.56


FTSE TMX CANADA Universe


-1.71

2.37

5.13

6.25

5.79

3.77

5.17

5.07












Canadian bonds (Universe mandate)









3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


-0.97

2.64

5.36

6.53

6.49

4.82

5.75

5.80


1st quartile


-1.55

2.46

5.17

6.33

6.09

4.33

5.48

5.50


Median


-1.65

2.34

4.90

6.08

5.82

4.08

5.37

5.31


3rd quartile


-1.75

2.18

4.72

5.70

5.65

3.77

5.24

5.16


95th percentile


-1.95

1.96

4.30

5.21

5.30

3.51

4.77

4.77


FTSE TMX CANADA Universe


-1.71

2.37

5.13

6.25

5.79

3.77

5.17

5.07












Mortgages












3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


0.69

2.46

3.88

4.89

5.31

4.49

4.70

4.97


1st quartile


0.62

2.39

3.83

4.84

5.19

4.34

4.62

4.85


Median


0.53

2.31

3.76

4.77

5.03

4.16

4.53

4.72


3rd quartile


0.43

2.23

3.70

4.71

4.88

3.97

4.44

4.58


95th percentile


0.36

2.16

3.64

4.66

4.75

3.83

4.36

4.47


FTSE TMX CANADA Mortgage Market

0.84

1.86

2.74

3.62

4.12

4.18

4.38

4.58










Canadian equity – Broad*









3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


-0.13

5.67

6.32

7.06

18.85

19.13

11.52

13.24


1st quartile


-0.76

2.95

3.98

3.74

16.09

15.17

8.67

11.49


Median


-1.43

1.17

0.22

0.50

13.51

13.71

7.70

10.24


3rd quartile


-1.93

-0.76

-2.90

-3.79

12.18

12.07

5.79

8.89


95th percentile


-3.02

-1.99

-5.99

-9.33

7.89

7.90

3.23

5.81


S&P/TSX


-1.63

0.91

-0.57

-1.16

12.77

11.12

5.34

8.28


S&P/TSX Capped


-1.63

0.91

-0.57

-1.16

12.77

11.12

5.34

8.28


*     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


3.60

7.97

4.81

2.71

24.22

23.57

13.69

16.88


1st quartile


2.58

7.11

2.46

-1.36

20.46

20.52

11.18

14.20


Median


1.23

5.70

0.09

-3.58

15.97

15.00

8.73

12.49


3rd quartile


0.73

3.22

-2.97

-9.95

13.93

14.18

7.48

11.56


95th percentile


-0.66

-1.83

-5.61

-11.89

9.88

11.41

4.41

9.43


S&P/TSX Small Cap


1.31

1.05

-7.76

-16.40

6.72

4.07

-2.42

3.22


BMO Small Cap weighted


0.93

0.94

-6.38

-14.64

7.80

5.79

-0.07

5.51












U.S. equity












3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


0.56

14.40

25.40

32.88

30.55

29.89

23.66

24.11


1st quartile


-0.46

10.65

23.05

29.20

28.99

27.33

22.89

22.04


Median


-1.09

9.87

19.73

26.30

25.76

25.47

21.64

20.94


3rd quartile


-1.77

7.61

17.33

22.41

23.16

23.88

19.69

19.10


95th percentile


-2.73

3.09

10.95

12.70

18.98

20.19

16.56

17.08


S&P 500 (C$)


-1.11

8.99

18.46

25.75

26.08

25.58

21.85

21.15














International equity (Europe and Asia)








3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


1.70

18.22

23.08

21.46

23.19

24.33

16.25

17.30


1st quartile


0.23

15.55

17.47

16.59

20.35

21.92

14.15

15.59


Median


-0.53

14.36

15.65

14.49

19.25

20.16

12.58

13.98


3rd quartile


-1.19

12.52

12.64

12.56

17.69

19.21

11.64

12.80


95th percentile


-2.09

9.08

9.88

7.62

13.83

15.61

10.21

11.06


MSCI EAEO (C$)


-0.82

13.74

13.67

12.25

18.35

19.80

11.85

13.13











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


1.58

16.38

23.00

23.67

25.19

28.85

20.13

21.26


1st quartile


0.46

13.08

19.22

21.83

23.72

24.11

18.07

18.29


Median


-0.42

11.24

16.84

19.14

21.89

22.14

16.62

17.70


3rd quartile


-1.14

9.49

14.28

17.07

19.70

20.83

14.74

15.52


95th percentile


-2.14

8.03

10.21

9.87

15.32

18.84

11.90

12.87


MSCI Monde (C$)


-1.12

10.62

15.81

18.88

22.02

22.25

16.37

16.80











Emerging markets











3 months

6 months

9 months

1 year

2 years

3 years

4 years

5 years


5th percentile


1.14

14.02

15.38

17.83

19.20

15.07

10.04

11.29


1st quartile


0.64

10.85

11.15

12.73

15.22

13.29

7.15

8.47


Median


-0.59

9.05

7.64

9.49

12.80

11.62

6.34

7.21


3rd quartile


-1.95

7.11

5.93

6.87

9.47

8.04

4.12

6.36


95th percentile


-2.77

4.47

1.70

2.20

7.25

6.41

3.11

5.66


MSCI Emerging markets


-0.62

11.15

10.08

11.62

13.68

11.35

5.31

7.44












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: Josée St-Pierre, Senior consultant, Marketing, 514-392-7862, jstpierre@morneaushepell.com; Jean Bergeron, FSA, FICA, CFA, Partner, 514-392-7852, jbergeron@morneaushepell.com

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