Canada Pension Plan Investment Board said it lost 2.9 per cent in the volatile March quarter, but beat broader market indexes and the typical Canadian pension fund.

The loss put the plan’s return for the full fiscal year ended March 31 at 6.8 per cent. It reported $539-billion in assets.

“I would describe them as strong returns considering the the turbulent and volatile backdrop, especially in the first quarter of the calendar year,” CPPIB chief executive officer John Graham said Thursday in an interview with The Globe and Mail.

The first three months of 2022 saw equity market volatility caused in part by Russia’s invasion of Ukraine. At the same time, the air came out of the tech and growth-stock balloon, with even established names, building on their late-2021 losses. Skyrocketing inflation and rising interest rates roiled bond markets.

CPPIB said the S&P Global LargeMidCap Index, a measure of stocks that CPPIB uses as 85 per cent of its benchmark reference portfolio, fell 6.5 per cent in the quarter. The FTSE Canada Universe All Government Bond Index, the remaining 15 per cent of the benchmark, fell 7.2 per cent. Blended, that means CPPIB beat a benchmark of negative 6.6 per cent by more than three percentage points.

A broader measure of Canadian pension plan investment performance produced by the bank Northern Trust came in at a 6.4 per cent loss for the first quarter of 2022, CPPIB noted.

The pension manager posted a 10-year return of 10.8 per cent, nearly as high as it was the year before.

Mr. Graham said “inflation is probably the topic that we spend the most time thinking about right now … we were probably surprised that inflation has been as persistent as it is and the disruption of supply chains are so persistent.”

“But if we take a step back, we have built this portfolio to basically perform through cycles – it’s there as a long term portfolio – with a view that inflation in time will go back into the targeted level.”

For the fiscal year, CPPIB’s public equities investments – about a quarter of the portfolio – returned 1.3 per cent. The manager said the stocks it actively picked were down 5.8 per cent, “driven by the performance of its investments in China.” In its annual report, CPPIB cited “the public equity market reaction to new regulatory interventions, a resurgence of COVID-19 in the fourth quarter and investor fears of the potential for sanctions from Western countries if China were to support Russia in Ukraine.”

“As you expect in a diversified portfolio, some things perform really well and some things perform less well on a relative basis,” Mr. Graham said “The Chinese equity markets performed less well. But on a five-year basis, Asia-Pacific is still our second-highest performing geography. So we still believe the principles and the underlying rationale for being global investors there.”

Fixed income – bonds and similar investments that make up just 7 per cent of the portfolio – fell 3.8 per cent for the year. CPPIB’s credit department, which does lending or offers debt-like instruments directly to companies – returned 0.7 per cent. Credit is now 16 per cent of the CPPIB portfolio.

CPPIB’s private-equity department – its largest at nearly one-third of the portfolio – returned 18.6 per cent.

Real estate returned 10.2 per cent, while infrastructure returned 10.8 per cent. Each department represents about 9 per cent of CPPIB’s portfolio.

The Canada Pension Plan, founded in 1966, is the primary national retirement program for working Canadians. The government created CPPIB in 1999 to professionally manage the plan’s money. Over time, CPPIB has embraced active management and its blend of stocks, bonds, real estate, infrastructure, private equity and other specialized investments has outperformed public markets and its reference portfolio.

CPPIB said its calendar year 2021 return was 13.8 per cent, comparing favorably to the five large Canadian pension plans that close their books at Dec. 31.

Each of the “Maple Eight” big Canadian public pension plans serve a different demographic of benefit recipients, with a different mix of liabilities. So, their portfolios – and the returns they should expect – differ.

Ontario Municipal Employees Retirement System, with $121-billion in assets, reported the highest return for 2021 at 15.7 per cent. Alberta Investment Management Co. reported a 14.7-per-cent return.

The Caisse de dépôt et placement du Québec, with $419.8-billion in assets, posted a 13.5-per-cent return for 2021. The Ontario Teachers’ Pension Plan, with $221-billion in assets, reported an 11.1-per-cent return. The Healthcare of Ontario Pension Plan (HOOPP), with $114.2-billion in assets, recorded an 11.28-per-cent return on investments.

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