Résumé (EN)

The asset allocation principles to be followed by pension funds have recently recorded some important modifications on the international level. Canadian pension funds have also been subject to these evolutions. The main modifications concern the gradual elimination of some portfolio constraints, with a trend towards the prudent management principle, the recent focus on asset-liability management techniques, due to the actuarial deficits currently recorded by defined benefit funds, the increasing role of alternative investments and active management, the revision of accounting principles, which should in the longer term influence the pension fund asset allocation in a measurable way. This paper’s objective is to present these evolutions from the Canadian perspective, and to analyze how they are influencing, and will probably influence, the asset allocation of Canadian pension funds. After describing the main issues, a statistical analysis of the Canadian pension fund investment policy in the period 1990-2005 is proposed, with the aim of determining its main characteristics, yet also distinguishing the consequences of the regulatory and practice evolutions previously described. The main conclusions are that the bond proportion appears as relatively stable in recent years, so that the recent focus on asset-liability management techniques and the current trend towards fair value accounting have not yet led to a reallocation towards bonds. Second, one notes that the home-country bias is today relatively weak in the equity investment, yet very pronounced in the bond investment, so that the consequences of the elimination of the foreign-property rule should be recorded mainly in the bond investment. Third, one observes an effective, and increasing, investment in alternative assets, even if its proportion still remains relatively weak.