The Russell/Mellon Total Fund Canadian Trust Universe, which measures the performance of corporate defined benefit pension plans, foundations, endowments and public funds posted a median return of 0.1% for the third quarter of 2004.

“Canadian based stock and bond holdings contributed to the positive returns during this quarter and throughout the year, while a surging Canadian dollar erased gains from international and U.S. holdings,” said Shawn Menard, managing director of Russell/Mellon Canada, Inc., in a release. “Although the appreciating Canadian dollar has reduced returns for un-hedged portfolios this quarter, especially U.S. equity portfolios, on a year-to-date basis most Canadian plans are showing a positive return for their non-North-American equity holdings.”

The Russell/Mellon Canadian Trust Universes comprise over 450 accounts representing over $156 billion in assets.

Returns across major asset classes were mixed during the quarter. Canadian pension plans posted a median return of 2.2% for their Canadian stock portfolios, which accounted for 27.9% of the median plan asset allocation, a drop of 2.3% points over the previous quarter.

Global equity markets posted lower median quarterly returns of these pension plan components of -7.5% and -5.3% in the U.S. and overseas, respectively. A stronger Canadian dollar lowered returns from these asset classes during the quarter.

Fixed income portfolio components of the average Canadian pension plan also gained 2.9% during the quarter and have a 37.5% weighting to this asset class according our universe.

According to Menard, “The median asset mix showed a percentage point decline in the allocation of equities from the last quarter of 0.7%, period ending June 30, 2004. This shift was primarily due to the out-performance of bonds over equities, rather than active reallocation of assets by the plan sponsors.” The median pension fund held 57.8% in equities at the end of this quarter, compared to 37.5% in fixed income securities.

Foreign content allocations fell this quarter as a result of the stronger Canadian dollar. The median market value of assets allocated to U.S. and non-North American markets fell in the third quarter to 25.3% from 27.6% in the second quarter of 2004.