Page 10 Fixed Income Quarterly—Benchmark Barometer
Table 7.1: Historical Total Return (Month Over Month)
Sector
30-Apr-13
31-May-13
28-Jun-13
31-Jul-13
30-Aug-13
30-Sep-13
31-Oct-13
29-Nov-13
31-Dec-13
31-Jan-14
28-Feb-14
31-Mar-14
Broad
Composite
1.1%
-1.5%
-2.0%
0.2%
-0.6%
0.5%
1.1%
-0.2%
-0.4%
2.6%
0.3%
-0.2%
All Government
Canada Agencies Provincials Municipals
1.2%
1.0% 0.6% 1.6% 1.4%
-1.6%
-1.7% -0.9% -1.9% -1.5%
-2.1%
-1.7% -1.1% -2.8% -2.3%
0.1%
0.1% 0.3% 0.0% 0.1%
-0.6%
-0.5% -0.2% -0.9% -0.6%
0.6%
0.4% 0.5% 0.7% 0.7%
1.0%
0.8% 0.9% 1.2% 1.1%
-0.3%
-0.4% 0.1% -0.5% -0.2%
-0.5%
-0.6% -0.5% -0.4% -0.3%
2.7%
2.3% 1.8% 3.4% 3.0%
0.3%
0.1% 0.2% 0.5% 0.5%
-0.3%
-0.2% -0.2% -0.5% -0.3%
All Corporates
Corporate AA Corporate A Corporate BBB
1.0%
0.5% 1.2% 1.3%
-1.0%
-0.6% -1.2% -1.1%
-1.9%
-0.9% -2.1% -2.5%
0.5%
0.6% 0.4% 0.5%
-0.5%
-0.2% -0.6% -0.7%
0.4%
0.4% 0.3% 0.5%
1.2%
0.8% 1.2% 1.5%
0.0%
0.2% -0.2% 0.0%
-0.3%
-0.1% -0.3% -0.4%
2.4%
1.2% 2.8% 3.0%
0.4%
0.4% 0.4% 0.5%
0.1%
0.0% 0.1% 0.3%
Short
Composite
0.4%
-0.4%
-0.6%
0.4%
-0.1%
0.4%
0.6%
0.2%
-0.1%
0.9%
0.2%
0.0%
All Government
Canada Agencies Provincials Municipals
0.3%
0.3% 0.3% 0.5% 0.5%
-0.4%
-0.4% -0.4% -0.4% -0.4%
-0.5%
-0.4% -0.5% -0.6% -0.7%
0.3%
0.3% 0.3% 0.3% 0.4%
-0.1%
-0.1% -0.1% 0.0% 0.0%
0.4%
0.3% 0.4% 0.5% 0.5%
0.6%
0.4% 0.7% 0.7% 0.7%
0.2%
0.1% 0.2% 0.2% 0.3%
-0.1%
-0.1% -0.2% -0.2% -0.2%
0.8%
0.7% 1.0% 1.1% 1.2%
0.1%
0.0% 0.1% 0.1% 0.2%
-0.1%
0.0% -0.1% -0.1%
0.0%
All Corporates
Corporate AA Corporate A Corporate BBB
0.4%
0.4% 0.4% 0.5%
-0.4%
-0.5% -0.3% -0.3%
-0.7%
-0.7% -0.7% -0.8%
0.5%
0.5% 0.5% 0.5%
-0.1%
-0.2% -0.1% -0.1%
0.4%
0.3% 0.3% 0.5%
0.7%
0.8% 0.7% 0.8%
0.3%
0.3% 0.3% 0.3%
0.0%
-0.1% 0.0% 0.0%
1.0%
1.0% 1.0% 1.2%
0.3%
0.3% 0.2% 0.3%
0.1%
0.0% 0.1% 0.2%
Mid
Composite
1.2%
-1.8%
-2.3%
0.4%
-0.7%
0.8%
1.3%
-0.1%
-0.8%
3.0%
0.5%
-0.2%
All Government
Canada Agencies Provincials Municipals
1.2%
1.2% 1.1% 1.3% 1.2%
-1.9%
-2.2% -2.0% -1.7% -1.5%
-2.3%
-2.3% -2.2% -2.3% -1.9%
0.3%
0.2% 0.2% 0.3% 0.4%
-0.7%
-0.7% -0.6% -0.6% -0.4%
0.8%
0.8% 0.8% 0.8% 0.9%
1.3%
1.1% 1.2% 1.3% 1.3%
-0.1%
-0.4% 0.1% 0.0% 0.2%
-0.9%
-1.1% -1.0% -0.8% -0.7%
2.9%
3.0% 3.1% 2.8% 2.7%
0.4%
0.3% 0.5% 0.5% 0.5%
-0.4%
-0.3% -0.5% -0.4% -0.3%
All Corporates
Corporate AA Corporate A Corporate BBB
1.3%
1.2% 1.2% 1.3%
-1.5%
-1.7% -1.6% -1.4%
-2.4%
-2.2% -2.2% -2.7%
0.7%
0.7% 0.7% 0.7%
-0.7%
-0.7% -0.6% -0.7%
0.6%
0.6% 0.5% 0.7%
1.5%
1.5% 1.4% 1.6%
0.0%
0.1% 0.1% 0.0%
-0.6%
-0.6% -0.6% -0.7%
3.1%
2.8% 2.9% 3.3%
0.6%
0.7% 0.6% 0.6%
0.1%
0.0% 0.0% 0.2%
Long
Composite
2.2%
-2.8%
-4.0%
-0.3%
-1.4%
0.6%
1.5%
-1.1%
-0.6%
5.0%
0.5%
-0.4%
All Government
Canada Agencies Provincials Municipals
2.2%
2.4% 2.2% 2.2% 2.3%
-3.0%
-3.8% -2.7% -2.6% -2.6%
-4.0%
-4.0% -3.1% -4.0% -4.0%
-0.4%
-0.5% 0.0% -0.4% -0.5%
-1.4%
-1.4% -1.1% -1.4% -1.2%
0.7%
0.4% 0.9% 0.8% 0.7%
1.3%
1.4% 1.5% 1.3% 1.3%
-1.3%
-1.7% -0.9% -1.1% -1.2%
-0.5%
-1.4% -1.2% -0.1%
0.0%
5.0%
5.3% 5.5% 4.8% 5.1%
0.5%
0.1% 0.3% 0.7% 0.8%
-0.6%
-0.4% -0.5% -0.7% -0.6%
All Corporates
Corporate AA Corporate A Corporate BBB
2.2%
1.7% 2.2% 2.2%
-2.0%
-2.8% -2.2% -1.6%
-4.3%
-3.5% -4.0% -4.8%
0.1%
0.4% 0.0% 0.2%
-1.4%
-1.0% -1.4% -1.3%
0.3%
0.6% 0.2% 0.4%
2.0%
1.4% 1.8% 2.3%
-0.7%
-0.7% -0.8% -0.4%
-0.6%
-1.1% -0.5% -0.7%
5.2%
4.1% 5.2% 5.2%
0.6%
1.3% 0.5% 0.6%
0.3%
0.1% 0.1% 0.6%
Source: PCBond, a business unit of TSX Inc.