Towards the fund’s worst half-year

As of June 30, due to the financial crisis that has been raging for several months, the Caisse de dépôt et Placement du Québec is likely to have posted its worst half-year return in the last 14 years, i.e. since 2009, the first year in which the Caisse had decided at the beginning of Michael Sabia’s reign to to start publishing half-year results.

We shouldn’t be surprised if the Caisse’s fortunes melt by at least 10% in the first six months of 2022.

Specifically, such a 10% drop suggests that the value of the net assets of the Caisse’s gargantuan portfolio would fall by $42 billion, from $420 billion (as of December 31, 2021) to about $378 billion on June 30 last year.

The last time the Caisse reported a negative half-year return was in June 2020. Following the outbreak of the COVID-19 pandemic and the global economic crisis that followed, the Caisse had posted a 2.3% loss for the half-year ended June 30 .Which was quite modest. The fund was ‘saved’ by its investments in fixed income securities (bonds etc.) which ended the half year in positive territory.


Now what makes me say that the Caisse could post a 10% loss this time in the first half of the current fiscal year 2022? I base my analysis on the extent of underperformance of the following financial indices:

  • New York Stock Exchange S&P 500: -20.0%
  • Toronto Stock Exchange S&P/TSX: -9.9%
  • New York Stock Exchange Nasdaq: -29.5%
  • MSCI Europe: -19.1%
  • MSCI Pacific: -15.3%
  • MSCI Emerging Markets: -15.9%
  • MSCI World: -18.8%
  • FTSE Canada Universe Bonds: -12.2%
  • FTSE Canada Long Term Bonds: -22.1%
  • FTSE Canada Real Return Bonds: -17.4%

Another comparison tool that should give us a good idea of ​​the fund’s potential underperformance is the performance of typical pension funds based on different asset allocations compiled by Aubin Actuaire Conseil for the six-month period ended 30 June. By asset allocation we mean the proportion of bonds and equities in the benchmark portfolio.


Note that on rare occasions all different asset allocations have produced a negative return of around -13% over the first six months of the year.

A portfolio of 85% bonds (FTSE Canada Universe), 7.5% Canadian equities (S&P/TSX) and 7.5% global equities (MSCI World) posted a half-year loss of 12.6%.

And surprisingly, at the end of the asset allocation spectrum, we would have lost 13.6% with a portfolio made up of 35% bonds, 32.5% Canadian equities and 32.5% global equities.

With a split portfolio, half in bonds and half in equities, the loss was 13.3%.


Note that the Caisse’s management, led by Charles Emond, could perhaps count on a handful of miraculous-yielding investments to help it mitigate the six-month shock to the stock and bond markets.

When I speak of the “miracle return” that Charles Emond’s portfolio management team has been able to achieve, I mean the whopping 39.2% return that the Caisse reported in 2021 on its portfolio of private equity investments. This had also allowed the Caisse to post one of its good historical performances with a total return of 13.5%.

With its investments in tangible assets (buildings and infrastructure), the Caisse may have a “joyful” surprise in store for us. That remains to be seen…


During the first half of the year, the only sector that filled portfolio managers’ coffers was energy and its oil companies.

However, the Caisse has not yet been able to fully exploit the super performance of the energy sector, since it had agreed last autumn to give up this over the course of the quarters.

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