A tough first quarter for pension funds in 2020
According to the report, in the first quarter of 2020, diversified pooled fund managers posted a median return of negative 10.0 per cent before management fees.
"Stock markets experienced a strong correction in the first quarter following the Covid-19 crisis and the oil dispute. These events generated significant volatility in the stock and bond markets. The bond market posted a positive return of 1.6 per cent, while the Canadian Equity S&P/TSX Composite Index posted a return of negative 20.9 per cent and the
"The current crisis is having a significant impact on pension fund financial positions. The negative returns and the higher solvency liability caused by the decrease in interest rates means that pension fund financial positions fell by an average of 8 per cent to 16 per cent," added Bergeron.
During the first quarter of 2020, diversified pooled fund managers obtained a median return of negative 10.0 per cent, which was 0.9 per cent lower than the benchmark portfolio (with an allocation of 55 per cent in equity and 45 per cent in fixed income) used by many pension funds.
Canadian bonds
In the first quarter of 2020, managers obtained a median return of positive 1.0 per cent on bonds (Universe mandate); the return was 0.6 per cent below the benchmark index.
During the first quarter of 2020, short-term, mid-term and long-term bond indices posted returns of 1.9 per cent, 3.3 per cent and 0.2 per cent respectively. The high-yield bond index posted a return of negative 9.0 per cent, while the real return bond index provided 0.0 per cent return.
Canadian equities
In the first quarter of 2020, the median return for Canadian equity managers was negative 20.4 per cent, which was 0.5 per cent higher than the negative 20.9 per cent posted by the S&P/TSX Index.
Since the beginning of 2020, the S&P/TSX Small Cap Index fell by 36.2 per cent, whereas the S&P/TSX Completion Index representing mid-cap stocks registered a decrease of 29.7 per cent, and the large-cap S&P/TSX 60 Index dropped by 18.5 per cent.
Foreign equities
Foreign equity managers' median returns and appropriate benchmark indices' returns for the first quarter of 2020 are as follows:
- Negative 11.4 per cent for
U.S. equities versus negative 12.2 per cent for the S&P 500 Index (C$); - Negative 16.0 per cent for international equities versus negative 15.3 per cent for the MSCI EAFE Index (C$);
- Negative 14.4 per cent for global equities versus negative 13.3 per cent for the MSCI World Index (C$);
- Negative 18.1 per cent for emerging market equities versus negative 16.1 per cent for the MSCI Emerging Markets Index (C$).
Alternative investments
The Dow Jones
The Performance Universe covers about 302 funds managed by nearly 49 investment management firms.
The results of
The
About
Summary | ||||||||||||||||
Rates of return for periods ending | ||||||||||||||||
Diversified | ||||||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | |||||||||
5th percentile | -7.41 | -4.70 | -3.68 | -0.75 | 3.55 | 4.72 | 6.21 | 5.21 | ||||||||
1st quartile | -9.25 | -6.88 | -5.65 | -3.18 | 1.53 | 2.84 | 4.64 | 3.67 | ||||||||
Median | -9.98 | -7.37 | -6.35 | -3.94 | 0.82 | 2.02 | 4.24 | 3.20 | ||||||||
3rd quartile | -12.63 | -10.03 | -8.58 | -6.73 | -1.22 | 0.66 | 3.44 | 2.47 | ||||||||
95th percentile | -15.65 | -13.84 | -11.82 | -10.53 | -3.32 | -1.11 | 2.22 | 1.50 | ||||||||
Benchmark* | -9.13 | -7.19 | -5.48 | -2.96 | 1.87 | 2.88 | 4.81 | 3.37 | ||||||||
Benchmark** | -10.03 | -7.84 | -6.14 | -3.71 | 1.49 | 2.68 | 4.85 | 3.36 | ||||||||
* | 45% fixed income,55% equity | |||||||||||||||
** | 40% fixed income,60% equity | |||||||||||||||
Returns compounded quarterly | ||||||||||||||||
Money market | ||||||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | |||||||||
5th percentile | 1.44 | 1.73 | 2.03 | 2.94 | 3.16 | 2.21 | 2.13 | 1.88 | ||||||||
1st quartile | 0.57 | 1.03 | 1.52 | 2.05 | 2.02 | 1.75 | 1.56 | 1.45 | ||||||||
Median | 0.47 | 0.94 | 1.47 | 1.99 | 1.94 | 1.69 | 1.50 | 1.37 | ||||||||
3rd quartile | 0.45 | 0.92 | 1.39 | 1.88 | 1.84 | 1.60 | 1.42 | 1.33 | ||||||||
95th percentile | 0.17 | 0.65 | 0.95 | 1.45 | 1.67 | 1.48 | 1.32 | 1.22 | ||||||||
Canadian bonds | ||||||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | |||||||||
5th percentile | 2.27 | 1.55 | 2.78 | 5.62 | 6.30 | 5.71 | 4.93 | 3.92 | ||||||||
1st quartile | 1.27 | 0.55 | 1.81 | 4.63 | 5.02 | 3.85 | 3.73 | 3.06 | ||||||||
Median | 0.30 | -0.43 | 0.91 | 3.91 | 4.69 | 3.57 | 3.36 | 2.86 | ||||||||
3rd quartile | -1.78 | -2.44 | -0.75 | 2.23 | 3.30 | 2.95 | 3.06 | 2.61 | ||||||||
95th percentile | -8.15 | -7.19 | -6.14 | -4.84 | -0.01 | 1.03 | 2.33 | 1.83 | ||||||||
Canadian bonds (Universe mandate) | ||||||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | |||||||||
5th percentile | 2.71 | 1.71 | 2.97 | 5.56 | 5.55 | 4.51 | 3.89 | 3.25 | ||||||||
1st quartile | 1.55 | 0.73 | 2.06 | 4.65 | 4.99 | 3.83 | 3.53 | 3.00 | ||||||||
Median | 1.00 | 0.27 | 1.50 | 4.14 | 4.79 | 3.68 | 3.36 | 2.81 | ||||||||
3rd quartile | 0.24 | -0.47 | 0.84 | 3.50 | 4.39 | 3.42 | 3.12 | 2.67 | ||||||||
95th percentile | -2.73 | -3.42 | -2.49 | 0.15 | 2.73 | 2.49 | 2.67 | 2.32 | ||||||||
Rates of return for periods ending | |||||||||||
Canadian equity – Broad* | |||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | ||||
5th percentile | -12.46 | -11.47 | -8.87 | -6.35 | 1.88 | 2.00 | 4.98 | 3.72 | |||
1st quartile | -17.63 | -15.57 | -12.69 | -10.52 | -1.86 | -0.09 | 3.33 | 1.87 | |||
Median | -20.42 | -17.78 | -16.21 | -13.88 | -4.21 | -1.95 | 2.78 | 1.30 | |||
3rd quartile | -21.95 | -19.76 | -18.15 | -16.10 | -6.36 | -3.11 | 1.77 | 0.10 | |||
95th percentile | -28.50 | -25.83 | -24.87 | -23.87 | -10.67 | -6.51 | -1.81 | -2.28 | |||
S&P/TSX | -20.90 | -18.39 | -16.37 | -14.21 | -3.69 | -1.92 | 2.85 | 0.89 | |||
S&P/TSX Capped | -20.90 | -18.39 | -16.37 | -14.21 | -3.69 | -1.92 | 2.85 | 0.89 | |||
* 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 | -24.42 | -18.14 | -13.70 | -10.63 | -5.43 | -2.20 | 1.66 | 1.88 | |||
1st quartile | -26.77 | -20.75 | -19.44 | -17.45 | -8.78 | -5.20 | -0.51 | -1.75 | |||
Median | -29.44 | -24.89 | -25.66 | -24.12 | -13.99 | -9.50 | -4.71 | -4.58 | |||
3rd quartile | -34.14 | -27.90 | -28.84 | -29.20 | -17.44 | -12.97 | -6.17 | -6.01 | |||
95th percentile | -38.55 | -37.08 | -38.91 | -42.82 | -29.71 | -20.22 | -11.47 | -11.12 | |||
S&P/TSX Small Cap | -38.12 | -34.28 | -35.08 | -35.25 | -20.26 | -15.94 | -6.35 | -6.22 | |||
BMO Small Cap weighted | -36.22 | -32.22 | -32.65 | -31.69 | -17.88 | -13.78 | -4.49 | -5.03 | |||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | ||||
5th percentile | -5.23 | 1.80 | 1.48 | 5.15 | 12.05 | 13.27 | 14.69 | 12.74 | |||
1st quartile | -8.32 | -2.49 | 0.23 | 2.87 | 9.27 | 11.03 | 12.50 | 9.81 | |||
Median | -11.44 | -6.82 | -4.52 | -3.00 | 5.46 | 6.66 | 9.51 | 7.89 | |||
3rd quartile | -15.47 | -10.40 | -7.96 | -5.48 | 2.57 | 3.98 | 8.28 | 6.69 | |||
95th percentile | -22.07 | -17.61 | -15.50 | -14.90 | -1.84 | -0.45 | 4.97 | 4.46 | |||
S&P | -12.18 | -6.05 | -3.32 | -1.24 | 5.86 | 7.39 | 10.41 | 9.17 | |||
Rates of return for periods ending | ||||||||||||
International equity ( | ||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | |||||
5th percentile | -8.41 | -0.34 | 0.06 | 4.13 | 3.94 | 8.11 | 8.21 | 7.17 | ||||
1st quartile | -11.14 | -6.95 | -6.99 | -4.09 | -0.68 | 3.23 | 5.27 | 3.94 | ||||
Median | -16.03 | -10.23 | -10.07 | -8.87 | -5.04 | 0.76 | 3.30 | 2.62 | ||||
3rd quartile | -19.42 | -14.00 | -14.77 | -15.52 | -9.36 | -3.06 | 1.34 | 0.57 | ||||
95th percentile | -26.86 | -21.69 | -22.47 | -21.77 | -11.95 | -4.90 | -0.24 | -1.27 | ||||
MSCI EAFE (C$) | -15.29 | -10.26 | -10.05 | -8.78 | -4.60 | 0.33 | 3.85 | 1.73 | ||||
Global equity ( | ||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | |||||
5th percentile | -6.67 | -0.12 | 1.10 | 3.54 | 8.20 | 11.05 | 12.25 | 9.74 | ||||
1st quartile | -11.07 | -5.48 | -3.89 | -1.96 | 3.91 | 6.77 | 9.17 | 7.12 | ||||
Median | -14.35 | -8.70 | -7.89 | -6.15 | 0.13 | 3.11 | 6.29 | 5.08 | ||||
3rd quartile | -18.61 | -14.52 | -13.77 | -13.37 | -4.66 | -0.79 | 3.99 | 3.62 | ||||
95th percentile | -25.79 | -20.19 | -19.92 | -19.03 | -9.91 | -3.38 | 1.79 | 0.83 | ||||
-13.34 | -7.86 | -6.15 | -4.53 | 1.44 | 4.16 | 7.53 | 5.68 | |||||
Emerging markets | ||||||||||||
3 months | 6 months | 9 months | 1 year | 2 years | 3 years | 4 years | 5 years | |||||
5th percentile | -14.76 | -6.28 | -8.15 | -7.63 | -4.10 | 3.96 | 9.62 | 6.07 | ||||
1st quartile | -15.90 | -8.07 | -9.61 | -9.11 | -5.98 | 2.92 | 7.81 | 4.13 | ||||
Median | -18.12 | -10.75 | -14.45 | -14.48 | -8.67 | 0.54 | 5.14 | 2.51 | ||||
3rd quartile | -20.47 | -17.46 | -19.31 | -18.40 | -10.55 | -3.71 | 1.93 | 0.84 | ||||
95th percentile | -23.70 | -20.15 | -21.28 | -22.33 | -14.00 | -6.48 | -0.89 | -1.33 | ||||
MSCI Emerging markets | -16.11 | -8.04 | -10.65 | -11.96 | -7.92 | 0.91 | 5.66 | 2.37 |
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
SOURCE
© Canada Newswire, source