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

Pension funds post strong positive returns in 2021

TORONTO--(BUSINESS WIRE)--LifeWorks (TSX: LWRK) has released the results of its Performance Universe of Pension Managers’ Pooled Funds for the fourth quarter of 2021.

According to the report, in the fourth quarter of 2021, diversified pooled fund managers posted a median return of 4.9 per cent before management fees and 13.8 per cent since the beginning of the year.

“Overall, equity markets advanced over the fourth quarter to close the year higher. In Canadian dollar terms, the MSCI World Index delivered a 7.5 per cent return over the quarter. The Canadian S&P/TSX Composite Index advanced 6.5 per cent, and the US S&P 500 Index advanced 11.0 per cent in US dollar terms (10.5 per cent in Canadian dollars). The Emerging Markets Index retracted, returning negative 1.5 per cent in Canadian dollar terms. Overall, the Canadian bond market nudged up 1.5 per cent,” said Jean Bergeron, partner in LifeWorks investment and risk consulting team.

“The financial position of pension plans improved over the fourth quarter and for 2021 as a whole. Most benefited from a combination of strong positive equity returns and higher bond yields; rate increases greatly contributed to the decrease in solvency liability and the improvement in pension plan financial positions. We estimate that the solvency ratio of a typical pension plan has increased by around 12.2 per cent over 2021,” added Bergeron.

During the fourth quarter of 2021, diversified pooled fund managers obtained, on average, returns equivalent to the benchmark portfolio. The median return was 4.9 per cent, equal to the benchmark portfolio used by many pension funds (with an allocation of 55 per cent in equity and 45 per cent in fixed income).

Since the beginning of the year, the median pension fund return was 13.8 per cent, which was 3.9 per cent higher than the benchmark portfolio.

Canadian bonds

In the fourth quarter of 2021, managers obtained a median return of 1.5 per cent on bonds (Universe mandate), which was equal to the benchmark index. Since the beginning of the year, the median return was 0.4 per cent higher than the benchmark index.

During the fourth quarter of 2021, short-term, mid-term and long-term bond indices posted returns of negative 0.5 per cent, 0.3 per cent and 4.8 per cent, respectively. The high-yield bond index posted a return of 0.0 per cent, while the real return bond index provided a 6.4 per cent return.

Canadian equities

In the fourth quarter of 2021, the median return for Canadian equity managers was 7.1 per cent, which was 0.6 per cent higher than the 6.5 per cent posted by the S&P/TSX Index.

During the fourth quarter of 2021, the S&P/TSX Small Cap Index gained 3.0 per cent, whereas the S&P/TSX Completion Index representing mid-cap stocks registered an increase of 1.9 per cent, and the large-cap S&P/TSX 60 Index posted a return of 7.8 per cent.

Foreign equities

Foreign equity managers’ median returns and appropriate benchmark index returns for the fourth quarter of 2021 are as follows:

• 10.3 per cent for U.S. equities versus 10.5 per cent for the S&P 500 Index (C$);
• 2.6 per cent for international equities versus 2.4 per cent for the MSCI EAFE Index (C$);
• 6.7 per cent for global equities versus 7.5 per cent for the MSCI World Index (C$); and
• Negative 1.5 per cent for emerging market equities versus negative 1.5 per cent for the MSCI Emerging Markets Index (C$).

Alternative investments

The Dow Jones Credit Suisse Hedge Fund Index (formerly CSFB/Tremont Hedge Fund Index) posted a return of 0.4 per cent (C$) for the fourth quarter of 2021 and a return of 7.8 per cent for the year 2021.

The Performance Universe covers about 290 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

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Summary
Rates of return for periods ending December 31, 2021 (annualized returns beyond one year)
Diversified
		3 months	6 months	9 months	1 year	2 years	3 years	4 years	5 years
	5th percentile	7.79	9.45	17.31	21.86	16.46	16.92	10.95	11.20
	1st quartile	5.67	6.67	12.81	15.90	12.96	14.28	9.21	9.73
	Median	4.92	6.23	11.34	13.83	11.31	12.72	8.80	8.48
	3rd quartile	4.53	5.38	10.88	12.03	10.22	11.58	7.82	7.81
	95th percentile	3.63	3.45	7.81	9.46	8.43	9.16	6.38	6.40
	Benchmark*	4.90	4.83	10.18	9.86	10.25	12.15	8.35	8.46
	Benchmark**	5.00	5.02	10.62	11.03	10.82	12.72	8.69	8.81
	* 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	0.14	0.28	0.45	0.60	2.72	2.84	2.65	2.30
	1st quartile	0.08	0.16	0.26	0.32	0.91	1.31	1.43	1.37
	Median	0.06	0.11	0.20	0.25	0.62	1.09	1.24	1.20
	3rd quartile	0.02	0.08	0.14	0.18	0.58	1.02	1.19	1.15
	95th percentile	-0.49	-0.26	-0.10	-0.35	0.43	0.90	1.11	1.09
Canadian bonds
		3 months	6 months	9 months	1 year	2 years	3 years	4 years	5 years
	5th percentile	4.74	3.31	7.28	4.54	6.32	7.66	5.68	5.92
	1st quartile	1.60	1.44	3.66	-0.91	4.51	5.98	4.77	4.58
	Median	1.45	1.14	2.96	-1.98	3.96	5.23	4.19	3.96
	3rd quartile	1.15	1.01	2.64	-2.41	3.45	4.74	3.92	3.70
	95th percentile	0.44	0.73	1.94	-4.01	2.68	3.88	3.09	2.70
Canadian bonds (Universe mandate)
		3 months	6 months	9 months	1 year	2 years	3 years	4 years	5 years
	5th percentile	1.64	1.85	4.65	0.92	5.44	6.76	5.10	4.88
	1st quartile	1.54	1.17	3.14	-1.79	4.03	5.16	4.19	3.94
	Median	1.47	1.12	2.87	-2.09	3.76	4.82	4.03	3.76
	3rd quartile	1.31	1.02	2.70	-2.40	3.35	4.52	3.81	3.66
	95th percentile	1.12	0.76	2.37	-2.95	2.80	4.05	3.46	3.27

Rates of return for periods ending December 31, 2021 (annualized returns beyond one year)
Canadian equity – Broad*
		3 months	6 months	9 months	1 year	2 years	3 years	4 years	5 years
	5th percentile	8.58	11.53	19.30	32.27	17.75	20.24	12.49	12.03
	1st quartile	7.92	9.28	17.41	27.45	16.11	18.20	11.24	11.03
	Median	7.06	7.81	16.68	25.69	14.79	17.12	10.24	10.14
	3rd quartile	6.24	6.96	14.12	23.52	13.27	15.94	9.35	9.35
	95th percentile	4.08	5.09	10.38	18.45	10.95	10.87	6.47	7.30
	S&P/TSX	6.47	6.66	15.77	25.09	14.93	17.52	10.28	10.04
	S&P/TSX Capped	6.47	6.66	15.77	25.09	14.93	17.52	10.28	10.04
	* 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	5.08	10.06	20.33	30.17	25.67	26.30	14.60	14.02
	1st quartile	4.47	7.12	17.29	28.77	24.51	24.90	14.13	12.70
	Median	3.72	5.88	16.20	25.38	22.91	24.27	13.10	11.98
	3rd quartile	3.42	4.55	14.29	22.08	19.86	22.30	10.55	9.57
	95th percentile	0.14	0.75	10.25	20.04	16.91	14.77	3.82	2.97
	BMO Small Cap weighted	3.34	2.46	11.74	24.79	19.51	19.40	8.64	8.19
	S&P/TSX Small Cap	3.03	0.41	9.60	20.27	16.51	16.29	6.51	5.75
U.S. equity
		3 months	6 months	9 months	1 year	2 years	3 years	4 years	5 years
	5th percentile	13.10	18.34	28.66	35.73	27.30	27.43	22.65	22.20
	1st quartile	11.57	15.85	23.03	29.77	23.76	24.73	19.55	18.35
	Median	10.32	13.61	21.14	27.41	20.88	21.87	16.97	16.25
	3rd quartile	8.22	11.54	18.46	22.73	19.42	19.95	14.28	14.79
	95th percentile	3.93	5.17	12.65	13.80	11.83	14.38	12.09	12.13
	S&P 500 (C$)	10.48	14.23	22.21	28.16	21.96	23.03	17.96	17.12

Rates of return for periods ending December 31, 2021 (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	6.81	9.89	15.15	16.03	16.99	19.54	14.27	16.08
	1st quartile	3.28	6.01	10.79	12.92	12.94	14.81	9.07	11.68
	Median	2.57	3.76	8.02	10.67	8.31	12.42	6.89	9.56
	3rd quartile	2.09	2.35	5.43	7.36	6.45	8.59	4.74	7.03
	95th percentile	-0.69	-0.74	1.44	3.86	1.47	3.98	2.23	3.90
	MSCI EAFE (C$)	2.39	4.29	8.06	10.32	8.10	10.62	6.20	8.25
Global equity (U.S.A., Europe and Asia)
		3 months	6 months	9 months	1 year	2 years	3 years	4 years	5 years
	5th percentile	9.61	12.28	21.58	26.64	23.41	23.99	18.90	19.88
	1st quartile	7.68	10.31	18.25	22.41	19.60	20.59	15.16	15.46
	Median	6.69	9.10	14.76	18.93	16.11	16.95	11.86	12.51
	3rd quartile	4.83	5.97	10.62	14.87	11.19	13.15	9.11	10.19
	95th percentile	2.12	0.50	3.84	11.29	7.25	9.66	6.67	7.56
	MSCI World (C$)	7.45	9.92	16.69	20.78	17.27	18.57	13.49	13.66
Emerging markets
		3 months	6 months	9 months	1 year	2 years	3 years	4 years	5 years
	5th percentile	1.53	0.31	5.32	7.16	11.34	12.26	6.96	11.82
	1st quartile	0.26	-3.97	-0.99	1.11	8.28	10.81	5.57	10.68
	Median	-1.51	-7.38	-6.48	-4.78	6.81	8.93	4.70	9.24
	3rd quartile	-2.35	-9.51	-8.27	-5.59	4.96	6.63	4.12	7.39
	95th percentile	-3.24	-10.09	-9.08	-9.77	0.03	2.67	0.52	3.46
	MSCI Emerging markets	-1.53	-7.29	-3.98	-3.06	6.32	8.46	4.51	8.95

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.