Skip to main content
LifeWorks releases the results of its Performance Universe of Pension Managers’ Pooled Funds
Corporate

LifeWorks releases the results of its Performance Universe of Pension Managers’ Pooled Funds

Pension funds post sharp declines in the second quarter of 2022

LifeWorks (TSX: LWRK) has released the results of its Performance Universe of Pension Managers’ Pooled Funds for the second quarter of 2022.

According to the report, in the second quarter of 2022, diversified pooled fund managers posted a median return of negative 9.4 per cent before management fees.

“Most equity markets declined in the second quarter. The Canadian S&P/TSX Composite Index decreased 13.2 per cent in the quarter while the MSCI World Index delivered a negative 13.4 per cent return (in Canadian dollars) and the U.S. S&P 500 Index lost 13.5 per cent (in Canadian dollars). The emerging markets index also declined, for a return of negative 8.4 per cent (in Canadian dollars). The Canadian bond market as a whole decreased by 5.7 per cent,” said Jean Bergeron, a partner in the LifeWorks investment and risk consulting team.

“The financial position of pension funds has declined on a solvency basis over the second quarter. We estimate that the solvency ratio of a typical pension fund has decreased by around 1.8 per cent over the second quarter of 2022. Since the beginning of the year, the solvency ratio of a typical pension fund has decreased by about 0.5 per cent,” added Bergeron.

During the second quarter of 2022, diversified pooled fund managers obtained, on average, returns higher than the benchmark portfolio. The median return was negative 9.4 per cent, higher 1.5 per cent than the benchmark portfolio used by many pension funds (with an allocation of 55 per cent in equity and 45 per cent in fixed income).

Canadian bonds

In the second quarter of 2022, managers obtained a median return of negative 5.8 per cent on bonds (Universe mandate), which was 0.1 per cent lower than the benchmark index.

During the second quarter of 2022, short-term, mid-term and long-term bond indices posted returns of negative 1.50 per cent, negative 4.8 per cent and negative 11.8 per cent, respectively. The high-yield bond index posted a return negative 5.0 per cent, while the real return bond index provided a negative 8.9 per cent return.

Canadian equities

In the second quarter of 2022, the median return for Canadian equity managers was negative 10.9 per cent, which was 2.3 per cent higher than the negative 13.2 per cent posted by the S&P/TSX Index.

During the second quarter of 2022, the S&P/TSX Small Cap Index dropped 20.8 per cent, whereas the S&P/TSX Completion Index representing mid-cap stocks decreased of 15.3 per cent, and the large-cap S&P/TSX 60 Index posted a return negative 12.7 per cent.

Foreign equities

Foreign equity managers’ median returns and appropriate benchmark index returns for the second quarter of 2022 are as follows:

  • Negative 12.2 per cent for U.S. equities versus negative 13.5 per cent for the S&P 500 Index (C$);
  • Negative 11.2 per cent for international equities versus negative 11.7 per cent for the MSCI EAFE Index (C$);
  • Negative 11.4 per cent for global equities versus negative 13.4 per cent for the MSCI World Index (C$); and
  • Negative 8.2 per cent for emerging market equities versus negative 8.4 per cent for the MSCI Emerging Markets Index (C$).

Alternative investments

The Dow Jones Credit Suisse Hedge Fund Index (formerly CSFB/Tremont Hedge Fund Index) posted a return of 0.8 per cent (C$) for the second quarter of 2022

The Performance Universe covers about 294 funds managed by nearly 46 investment management firms.

The results of our 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 investment and risk consulting team at LifeWorks produces the quarterly Performance Universe results. 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 LifeWorks

LifeWorks is a world leader in providing digital and in-person solutions that support the total wellbeing of individuals – mental, physical, financial and social. As the trusted leader in mental health and wellbeing, LifeWorks delivers a personalized continuum of care that helps our clients improve the lives of their people and by doing so, improve their business. Guided by our purpose to improve lives and improve business, we help our clients improve the wellbeing of their people, we help them improve workforce engagement and productivity, thereby improving the performance of our clients’ organizations. LifeWorks is a publicly traded company on the Toronto Stock Exchange (TSX: LWRK). The Company has approximately 7,000 employees, 25,000 clients, and serves 36 million individuals and their families around in more than 160 countries.

ID-CORP, ID-CAD, ID-RS

Summary

Rates of return for periods ending June 30, 2022
(annualized returns beyond one year)

Diversified

 

 

 

 

 

 

 

 

 

 

3 months

6 months

9 months

1 Year

2 years

3 years

4-year

5 years

 

5th percentile

-7.95

-9.90

-5.21

-3.92

11.56

8.25

7.41

7.14

 

1st quartile

-8.68

-10.83

-6.59

-5.80

6.93

5.64

5.12

6.04

 

Median

-9.38

-12.98

-8.51

-7.97

4.35

3.83

4.03

4.66

 

3rd quartile

-9.90

-14.52

-10.27

-9.01

2.34

3.23

3.56

3.95

 

95th percentile

-12.22

-17.36

-13.07

-11.67

0.60

1.15

1.72

2.84

 

Benchmark*

-10.92

-15.13

-10.98

-11.04

0.58

2.37

3.44

4.10

 

Benchmark**

-11.14

-14.99

-10.74

-10.72

1.54

2.89

3.77

4.47

 

*   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-year

5 years

 

5th percentile

0.30

0.45

0.58

0.73

0.70

1.12

1.56

1.52

 

1st quartile

0.29

0.40

0.47

0.53

0.46

0.92

1.27

1.22

 

Median

0.27

0.36

0.42

0.46

0.37

0.83

1.14

1.17

 

3rd quartile

0.18

0.23

0.28

0.35

0.32

0.79

1.09

1.13

 

95th percentile

-1.36

-3.65

-4.10

-3.88

-1.22

0.45

1.00

1.06

 

Canadian bonds

 

 

3 months

6 months

9 months

1 Year

2 years

3 years

4-year

5 years

 

5th percentile

-3.48

-7.19

-5.92

-5.64

1.33

1.32

2.19

2.59

 

1st quartile

-5.41

-11.46

-10.53

-10.69

-4.95

-0.97

1.15

1.10

 

Median

-5.83

-12.33

-11.08

-11.36

-6.27

-1.71

0.58

0.67

 

3rd quartile

-6.30

-13.09

-11.88

-12.18

-7.04

-2.06

0.23

0.36

 

95th percentile

-11.86

-22.10

-18.41

-19.57

-12.96

-5.42

-1.47

-0.80

 

Canadian bonds (Universe mandate)

 

 

3 months

6 months

9 months

1 Year

2 years

3 years

4-year

5 years

 

5th percentile

-4.45

-8.18

-7.33

-7.24

-2.68

0.12

1.44

1.65

 

1st quartile

-5.60

-12.01

-10.61

-10.97

-5.95

-1.49

0.65

0.80

 

Median

-5.79

-12.36

-11.08

-11.37

-6.39

-1.76

0.53

0.62

 

3rd quartile

-6.18

-12.96

-11.70

-12.07

-6.87

-1.94

0.24

0.39

 

95th percentile

-6.67

-13.88

-12.46

-12.58

-7.64

-2.50

-0.03

0.19

Rates of return for periods ending June 30, 2022
(annualized returns beyond one year)

Canadian equity – Broad*

 

 

 

 

 

 

 

 

3 months

6 months

9 months

1 Year

2 years

3 years

4-year

5 years

 

5th percentile

-7.02

-3.71

2.74

5.04

23.17

11.85

10.03

10.02

 

1st quartile

-9.59

-6.02

0.96

1.86

18.68

9.83

8.51

8.87

 

Median

-10.87

-7.54

-1.55

-1.14

14.78

8.86

7.58

7.96

 

3rd quartile

-12.18

-10.44

-4.52

-3.93

13.23

7.47

6.42

7.16

 

95th percentile

-13.09

-16.12

-10.77

-9.27

10.18

3.97

3.83

4.85

 

S&P/TSX

-13.19

-9.87

-4.04

-3.87

13.43

7.97

6.93

7.62

 

S&P/TSX Capped

-13.19

-9.87

-4.04

-3.87

13.43

7.97

6.93

7.62

 

* 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-year

5 years

 

5th percentile

-13.47

-8.11

-4.10

-3.23

23.03

15.39

8.85

9.24

 

1st quartile

-14.44

-12.61

-8.76

-8.35

20.78

10.22

7.82

7.27

 

Median

-15.75

-19.42

-15.73

-11.55

12.88

9.56

7.00

6.63

 

3rd quartile

-17.36

-23.14

-21.39

-18.09

9.89

8.20

5.59

5.54

 

95th percentile

-20.13

-24.86

-22.64

-22.94

7.76

7.48

1.39

1.36

 

BMO Small Cap weighted

-19.76

-14.20

-11.34

-12.09

18.55

8.97

5.18

5.16

 

S&P/TSX Small Cap

-20.83

-14.17

-11.57

-13.81

16.59

6.92

2.95

3.43

 

U.S. equity

 

 

 

 

 

 

 

 

 

 

3 months

6 months

9 months

1 Year

2 years

3 years

4-year

5 years

 

5th percentile

-4.76

-6.24

-0.75

1.73

14.96

13.10

13.99

15.29

 

1st quartile

-9.21

-15.62

-7.08

-3.97

11.46

10.00

10.40

11.95

 

Median

-12.22

-17.88

-8.79

-5.90

9.79

9.34

9.92

10.74

 

3rd quartile

-13.17

-19.09

-10.31

-7.52

8.22

7.14

8.10

9.41

 

95th percentile

-17.13

-27.70

-21.38

-19.75

2.64

4.95

4.33

7.31

 

S&P 500 (C$)

-13.48

-18.65

-10.12

-7.07

9.09

10.03

9.96

11.15

Rates of return for periods ending June 30, 2022
(annualized returns beyond one year)

 

International equity (Europe and Asia)

 

 

 

3 months

6 months

9 months

1 Year

2 years

3 years

4-year

5 years

 

5th percentile

-6.45

-8.52

-6.30

-5.89

8.10

6.87

5.72

6.98

 

1st quartile

-9.16

-15.54

-12.88

-13.20

3.73

4.04

2.46

4.37

 

Median

-11.17

-19.10

-17.47

-15.79

2.09

1.64

1.12

2.60

 

3rd quartile

-12.65

-22.97

-19.62

-18.79

-1.39

-0.87

-0.01

1.37

 

95th percentile

-14.04

-24.57

-21.62

-20.56

-3.65

-2.48

-2.49

-1.06

 

MSCI EAFE (C$)

-11.71

-17.86

-15.90

-14.34

1.53

0.64

0.58

2.06

 

Global equity (U.S.A., Europe and Asia)

 

 

3 months

6 months

9 months

1 Year

2 years

3 years

4-year

5 years

 

5th percentile

-6.49

-10.33

-3.70

-1.98

12.35

9.68

8.66

10.75

 

1st quartile

-10.00

-14.83

-9.21

-7.52

8.50

7.25

7.46

8.59

 

Median

-11.42

-18.52

-12.78

-11.57

6.38

5.52

5.17

5.97

 

3rd quartile

-12.92

-21.93

-17.17

-15.84

4.65

3.75

3.85

4.81

 

95th percentile

-14.43

-26.01

-24.05

-21.97

0.28

2.09

1.56

3.67

 

MSCI World (C$)

-13.44

-18.82

-12.77

-10.77

6.21

6.54

6.31

7.52

 

Emerging markets

 

 

3 months

6 months

9 months

1 Year

2 years

3 years

4-year

5 years

 

5th percentile

-6.19

-4.25

-5.96

-7.27

8.41

4.86

3.55

4.63

 

1st quartile

-7.51

-14.15

-15.46

-19.06

1.60

0.51

1.73

3.26

 

Median

-8.18

-18.84

-19.99

-22.74

-0.37

0.05

0.48

2.16

 

3rd quartile

-9.05

-20.05

-21.39

-27.97

-2.81

-1.62

-0.60

0.50

 

95th percentile

-11.23

-21.08

-22.97

-28.33

-5.22

-5.74

-3.24

-1.95

 

MSCI Emerging markets

-8.43

-15.72

-17.01

-21.87

0.21

0.49

0.60

2.41

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 LifeWorks Investment Management Ltd. (“LWIM”) or its affiliates (“LifeWorks”) assume any responsibility or liability. LWIM or LifeWorks 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.

Brontë Campbell
LifeWorks
1-855-622-3327
media@lifeworks.com

Jean Bergeron, FSA, FCIA, CFA
Partner, Investment and Risk Management
514-392-7852
jean.bergeron@lifeworks.com

Source: LifeWorks