Morneau Shepell releases the results of its Performance Universe of Pension Managers' Pooled Funds for the Second Quarter of 2013 Français
Modest Pension Fund Returns
TORONTO, July 25, 2013 /CNW/ - Morneau Shepell (TSX: MSI) has released the results of its Performance Universe of Pension Managers' Pooled Funds for the second quarter of 2013.
According to the report, in the second quarter of 2013, diversified pooled fund managers posted a median return of 0.1% before management fees. Since the beginning of the year, the median return has been 4.8%.
"The poor performance of bonds and the Canadian stock market resulted, overall, in relatively modest pension fund returns for the quarter," said Jean Bergeron, partner and team leader of Morneau Shepell's Asset and Risk Management Consulting team. "Many Canadian equity managers, however, were still able to outperform the benchmark index (S&P/TSX). On the other hand, US and international equities had a very good quarter, so pension funds with a strong allocation in these two asset classes probably achieved higher than median returns."
"With respect to actuarial liability, the increase in the interest rates used to discount pension benefits resulted, for an average pension fund, in a reduction in the solvency liability during the quarter; this was also the case in the previous quarter," he said. "In fact, since the start of the year, the increase in rates has allowed the pension fund financial positions to improve significantly."
On average, during the second quarter of 2013, diversified pooled fund managers outperformed the benchmark. In fact, these managers' median return (0.1%) was 1.0% above that of the benchmark portfolio (with allocation of 55% in equity and 45% in fixed income) used by many pension funds (-0.9%).
Canadian Bonds
In the second quarter of 2013, managers obtained a median return of -2.4% on bonds (Universe mandate), which is the same as the DEX Universe Bond Index return (-2.4%).
During the same period, long-term bonds posted a return of -4.6%, while the return for medium-term bonds was -2.8% and for short-term bonds -0.6%. High-yield bonds achieved a return of 0%, while real return bonds provided a -9.3% return.
Canadian equity
During the second quarter of 2013, Canadian equity managers obtained a median return of -1.6%, compared to a return of -4.1% for the S&P/TSX.
During that same period, the S&P/TSX Small Cap Index decreased by 7.3%, whereas the S&P/TSX Completion Index that represents mid-cap stocks lost 4.0%, and the large-cap S&P/TSX 60 Index posted a return of -4.1%.
Foreign equity
Foreign equity managers' median returns and appropriate benchmark indices for the second quarter of 2013 are as follows:
- 6.8% for U.S. equities versus 6.5% for the S&P 500 Index (C$)
- 2.8% for international equities versus 2.8% for the MSCI EAFE Index (C$)
- 4.5% for global equities versus 4.5% for the MSCI World Index (C$)
- -4.2% for emerging markets equities versus -4.4% for the MSCI Emerging Markets Index (C$)
Alternative investments
The Dow Jones Credit Suisse Hedge Fund Index (previously CSFB/Tremont Hedge Fund Index) posted a return of 3.7% (C$) for the second quarter of 2013.
The Performance Universe covers about 355 pooled funds managed by nearly 50 investment management firms. The pooled funds included in the Universe have a market value of more than $225 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. 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 8,000 clients, ranging from small businesses to some of the largest corporations and associations in North America. With approximately 3,300 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, 2013 (ANNUALIZED RETURNS BEYOND ONE YEAR) |
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DIVERSIFIED | |||||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | ||||||||
5th percentile | 1.60 | 8.24 | 12.09 | 15.59 | 10.09 | 12.11 | 11.46 | 8.26 | |||||||
1st quartile | 0.87 | 6.40 | 9.73 | 13.63 | 7.39 | 10.08 | 9.68 | 6.13 | |||||||
Median | 0.10 | 4.80 | 7.66 | 11.64 | 5.52 | 8.40 | 8.31 | 4.47 | |||||||
3rd quartile | -0.54 | 3.61 | 6.16 | 9.86 | 4.26 | 7.19 | 7.09 | 3.64 | |||||||
95th percentile | -1.74 | -0.12 | 1.64 | 5.67 | -0.12 | 4.76 | 5.98 | 2.93 | |||||||
Benchmark* | -0.89 | 3.02 | 4.70 | 8.14 | 4.79 | 7.41 | 7.21 | 3.72 | |||||||
Benchmark** | -0.76 | 3.45 | 8.92 | 8.92 | 4.78 | 7.65 | 7.38 | 3.51 | |||||||
* 2% 91-day T-Bills, 43% DEX Universe, 27.5% S&P/TSX, 27.5% 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 | 0.37 | 0.73 | 1.10 | 1.48 | 1.42 | 1.36 | 1.29 | 1.62 | |||||||
1st quartile | 0.30 | 0.61 | 0.94 | 1.26 | 1.27 | 1.30 | 1.15 | 1.40 | |||||||
Median | 0.30 | 0.59 | 0.90 | 1.20 | 1.19 | 1.17 | 1.03 | 1.30 | |||||||
3rd quartile | 0.28 | 0.56 | 0.87 | 1.16 | 1.17 | 1.13 | 0.98 | 1.25 | |||||||
95th percentile | 0.26 | 0.51 | 0.78 | 1.00 | 1.04 | 1.03 | 0.87 | 1.15 | |||||||
DEX T-Bill 91 days | 0.24 | 0.48 | 0.76 | 1.00 | 0.98 | 0.95 | 0.80 | 1.03 | |||||||
CANADIAN BONDS | |||||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | ||||||||
5th percentile | -0.60 | 1.54 | 4.14 | 7.19 | 8.07 | 8.69 | 9.88 | 8.85 | |||||||
1st quartile | -2.02 | -0.97 | -0.28 | 1.24 | 6.04 | 6.22 | 7.93 | 7.38 | |||||||
Median | -2.36 | -1.57 | -1.08 | 0.52 | 5.00 | 5.13 | 6.13 | 6.14 | |||||||
3rd quartile | -2.66 | -1.93 | -1.50 | -0.27 | 4.60 | 4.78 | 5.69 | 5.85 | |||||||
95th percentile | -4.78 | -4.79 | -4.56 | -2.85 | 3.82 | 4.19 | 5.00 | 5.33 | |||||||
DEX Universe | -2.36 | -1.68 | -1.39 | -0.17 | 4.55 | 4.59 | 5.16 | 5.53 | |||||||
CANADIAN BONDS (UNIVERSE MANDATE) | |||||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | ||||||||
5th percentile | -1.86 | -0.79 | 0.07 | 1.97 | 5.24 | 5.56 | 7.01 | 6.66 | |||||||
1st quartile | -2.11 | -1.21 | -0.60 | 0.93 | 5.07 | 5.15 | 6.09 | 6.20 | |||||||
Median | -2.36 | -1.56 | -1.09 | 0.48 | 4.82 | 4.89 | 5.82 | 5.91 | |||||||
3rd quartile | -2.52 | -1.70 | -1.37 | -0.01 | 4.56 | 4.68 | 5.36 | 5.72 | |||||||
95th percentile | -2.81 | -2.08 | -1.60 | -0.40 | 4.03 | 4.19 | 4.95 | 5.36 | |||||||
DEX Universe | -2.36 | -1.68 | -1.39 | -0.17 | 4.55 | 4.59 | 5.16 | 5.53 |
RATES OF RETURN FOR PERIODS ENDING JUNE 30, 2013 (ANNUALIZED RETURNS BEYOND ONE YEAR) |
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INTERNATIONAL BONDS | ||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | ||||||||
5th percentile | -0.71 | 1.84 | 5.52 | 8.07 | 7.37 | |||||||
1st quartile | -1.07 | 1.72 | 5.47 | 7.92 | 7.15 | |||||||
Median | -1.53 | 1.58 | 5.42 | 7.74 | 6.87 | |||||||
3rd quartile | -1.99 | 1.43 | 5.37 | 7.55 | 6.59 | |||||||
95th percentile | -2.36 | 1.31 | 5.32 | 7.40 | 6.37 | |||||||
Citigroup (WGBI) (C$) | 0.81 | -0.01 | -0.56 | -1.17 | 3.53 | |||||||
MORTGAGES | ||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | |||||
5th percentile | -0.17 | 1.19 | 2.10 | 2.83 | 4.08 | 4.74 | 6.01 | 5.94 | ||||
1st quartile | -0.23 | 0.97 | 1.78 | 2.56 | 4.05 | 4.67 | 5.70 | 5.54 | ||||
Median | -0.31 | 0.69 | 1.37 | 2.24 | 4.01 | 4.58 | 5.31 | 5.05 | ||||
3rd quartile | -0.40 | 0.66 | 1.26 | 2.10 | 3.99 | 4.42 | 5.10 | 4.94 | ||||
95th percentile | -0.47 | 0.64 | 1.18 | 1.99 | 3.97 | 4.28 | 4.93 | 4.86 | ||||
DEX Mortgage Market | 0.36 | 1.67 | 3.02 | 4.30 | 4.63 | 4.88 | 4.81 | 6.18 | ||||
CANADIAN EQUITY - BROAD* | ||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | |||||
5th percentile | 2.77 | 9.71 | 14.17 | 21.11 | 7.33 | 12.89 | 13.56 | 7.04 | ||||
1st quartile | 0.00 | 6.12 | 10.68 | 16.46 | 4.51 | 9.73 | 9.78 | 3.79 | ||||
Median | -1.58 | 3.06 | 5.75 | 11.81 | 0.87 | 7.06 | 8.14 | 1.07 | ||||
3rd quartile | -2.77 | 0.76 | 2.85 | 9.81 | -1.02 | 5.70 | 6.89 | -0.25 | ||||
95th percentile | -4.33 | -1.61 | -0.98 | 7.34 | -2.48 | 3.31 | 5.47 | -2.22 | ||||
S&P/TSX | -4.08 | -0.88 | 0.82 | 7.90 | -1.60 | 5.39 | 6.99 | -0.53 | ||||
S&P/TSX Capped | -4.08 | -0.88 | 0.82 | 7.90 | -1.60 | 5.39 | 6.99 | -0.53 | ||||
* 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 | 2.14 | 9.68 | 15.30 | 25.66 | 8.04 | 14.47 | 19.07 | 8.32 | ||||
1st quartile | 1.89 | 7.92 | 11.63 | 20.17 | 4.51 | 12.52 | 17.08 | 7.83 | ||||
Median | 0.37 | 6.24 | 7.46 | 17.18 | 0.98 | 10.54 | 15.93 | 5.00 | ||||
3rd quartile | -2.95 | 1.64 | 1.68 | 10.60 | -0.18 | 7.62 | 13.38 | 2.83 | ||||
95th percentile | -7.96 | -8.72 | -8.36 | 1.84 | -11.79 | 1.50 | 7.22 | -4.19 | ||||
S&P/TSX Small Cap | -7.35 | -6.76 | -8.62 | -1.02 | -10.77 | 0.95 | 9.11 | -1.77 | ||||
BMO Small Cap weighted | -7.59 | -6.49 | -7.54 | 1.88 | -7.36 | 4.01 | 11.85 | 1.70 | ||||
RATES OF RETURN FOR PERIODS ENDING JUNE 30, 2013 (ANNUALIZED RETURNS BEYOND ONE YEAR) |
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U.S. EQUITY | ||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | |||||
5th percentile | 8.75 | 23.87 | 27.63 | 30.85 | 20.33 | 21.26 | 17.71 | 12.49 | ||||
1st quartile | 7.91 | 21.81 | 25.09 | 27.98 | 18.14 | 18.25 | 15.40 | 9.23 | ||||
Median | 6.85 | 20.44 | 23.25 | 25.61 | 17.32 | 17.70 | 13.81 | 7.79 | ||||
3rd quartile | 5.87 | 19.09 | 21.25 | 24.01 | 15.94 | 16.57 | 12.84 | 6.77 | ||||
95th percentile | 4.56 | 14.58 | 16.13 | 18.82 | 12.12 | 15.38 | 11.75 | 5.10 | ||||
S&P 500 (C$) | 6.54 | 20.33 | 21.31 | 24.59 | 17.76 | 17.97 | 14.52 | 7.67 | ||||
INTERNATIONAL EQUITY (EUROPE AND ASIA) | ||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | |||||
5th percentile | 5.47 | 13.26 | 21.91 | 27.70 | 11.07 | 14.27 | 11.20 | 5.44 | ||||
1st quartile | 4.03 | 11.59 | 20.22 | 25.48 | 8.18 | 12.31 | 9.69 | 3.23 | ||||
Median | 2.83 | 10.18 | 18.38 | 22.24 | 7.02 | 11.02 | 7.79 | 1.16 | ||||
3rd quartile | 1.40 | 8.59 | 15.93 | 20.42 | 5.43 | 9.28 | 6.59 | 0.45 | ||||
95th percentile | 0.26 | 5.45 | 11.30 | 15.32 | 3.81 | 8.60 | 5.41 | -1.77 | ||||
MSCI EAFE (C$) | 2.82 | 10.30 | 18.95 | 22.76 | 5.70 | 9.77 | 6.41 | 0.15 | ||||
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 | 8.22 | 19.07 | 28.50 | 32.92 | 16.45 | 18.44 | 15.62 | 9.85 | ||||
1st quartile | 5.15 | 16.33 | 21.94 | 26.36 | 14.07 | 16.20 | 12.63 | 6.85 | ||||
Median | 4.46 | 14.64 | 19.69 | 23.95 | 11.47 | 14.12 | 11.48 | 5.37 | ||||
3rd quartile | 3.64 | 13.36 | 18.49 | 21.99 | 9.88 | 12.09 | 10.08 | 4.22 | ||||
95th percentile | 2.05 | 8.27 | 13.40 | 19.46 | 5.93 | 10.32 | 8.73 | 2.52 | ||||
MSCI World (C$) | 4.51 | 14.88 | 19.14 | 22.71 | 10.98 | 13.44 | 10.15 | 3.51 | ||||
EMERGING MARKETS | ||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | |||||
5th percentile | -2.21 | 1.70 | 9.32 | 14.84 | 7.41 | 10.14 | 10.74 | 7.89 | ||||
1st quartile | -3.56 | -0.93 | 6.16 | 10.74 | 1.28 | 7.15 | 10.06 | 3.70 | ||||
Median | -4.20 | -3.92 | 3.32 | 7.36 | 0.06 | 4.76 | 6.45 | 2.18 | ||||
3rd quartile | -4.81 | -4.47 | 1.97 | 5.13 | -2.80 | 3.82 | 5.33 | 0.43 | ||||
95th percentile | -7.14 | -5.48 | -0.95 | 3.81 | -3.47 | 1.32 | 3.41 | -2.27 | ||||
MSCI Emerging Markets | -4.42 | -4.01 | 2.59 | 6.82 | -2.45 | 3.47 | 5.75 | 0.66 | ||||
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.
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Cathren Ronberg
Director, Corporate Communications
Morneau Shepell
1.416.355.5632
[email protected]
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