sias q3 q4 final 1502017 - beedie school of business...q4 16 sias portfolio beginning value...

Performance ReviewFebruary 17th, 2017

Q3/Q4 2016

Agenda

Presentation

Q&A Session

Feedback Session

Reception

2

• Monitoring• Trade Approval• Risk Metrics• Performance• Periodic Reporting• Attribution Analysis

Global Equity

Fixed Income

Performance, Compliance and Risk

Canadian Equity

Total Assets: $16.70M*

• Number of Holdings: 35

• Portfolio Weight: 36.3%

• Benchmark Weight: 35.0%

• Benchmark: MSCI World

*As of December 30th, 2016

• Approach: Top‐Down• Number of Holdings: 29• Portfolio Weight: 24.74%• Benchmark Weight: 28%• Benchmark: FTSE TMX

Canada Universe Bond Index

Other

IntroductionCompliance

Performance & Risk

Capital Market Expectation

Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

SIAS Overview

3

• Number of Holdings: 33 • Portfolio Weight: 33.7%• Benchmark Weight: 35.0%• Benchmark: S&P TSX

Capped Composite Total Return Index

Other

Fixed Income

ESG Integration

4

Compliance Matrix

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Performance and Risk

Presented byTim Dinger

Chief Investment Officer

CME

AssetAllocation

6

Q3 16 SIAS PortfolioBeginning Value (June 30, 2016)$15.83 MillionEnding Value (September 30, 2016)$16.48 MillionQuarterly Rate of ReturnQ3: 4.08%Quarterly Active ReturnQ3: ‐0.19%Sharpe RatioQ3: 1.05Tracking ErrorQ3: 0.83%

PORTFOLIO OVERVIEWQ4 16 SIAS Portfolio

Beginning Value (September 30, 2016)$16.48 MillionEnding Value (December 31, 2016)$16.70 MillionQuarterly Rate of ReturnQ4: 1.32%Quarterly Active ReturnQ4: ‐0.75%Sharpe RatioQ4: 0.40Tracking ErrorQ4: 1.08%

Active Return:‐0.19%

BM Q3 16 Return: 4.27%

SIAS Q3 16 Return: 4.08%

Active Return:‐0.75%

BM Q4 16 Return: 2.07%

SIAS Q4 16 Return: 1.32%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

6

Canadian Equity Global Equity Fixed Income SIAS

Fund

Active Weight Q3 ‐2.31% 0.09% 0.04% N/A

Active Return Portfolio ‐0.61% 0.92% ‐0.49% ‐0.19%

VolatilityPortfolio 5.96% 11.32% 3.62% 3.78%

Benchmark 11.51% 14.07% 3.49% 8.77%

Sharpe RatioPortfolio 0.70 0.80 ‐0.25 1.05

Benchmark 0.46 0.41 0.26 0.47

Tracking Error Portfolio 1.38% 1.03% 0.38% 0.83%

Information Ratio ‐0.86 3.14 ‐4.75 ‐0.23

Q3 16 RISK METRICS SUMMARY

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

7

Canadian Equity Global Equity Fixed Income SIAS

Fund

Active Weight Q4 ‐1.48% 1.42% ‐1.44% N/A

Active Return Portfolio 0.10% ‐0.62% ‐0.22% ‐0.75%

VolatilityPortfolio 3.98% 5.52% 4.06% 2.98%

Benchmark 4.20% 5.98% 6.28% 8.35%

Sharpe RatioPortfolio 1.15 0.31 ‐0.92 0.40

Benchmark 1.05 0.68 ‐0.58 0.23

Tracking Error Portfolio 0.18% 0.63% 0.77% 1.08%

Information Ratio 0.89 ‐3.72 ‐0.17 ‐0.69

Q4 16 RISK METRICS SUMMARY

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

8

Category IPS Objective* Q3 16 SIAS Performance

Q4 16 SIASPerformance

Expectation Achieved

Absolute Return (inflation+4% per

year)5.9% 10.40%** 9.96%** Yes/Yes

CE Active Return 1.40% ‐0.61% 0.10% No/No

GE Active Return*** 0.20% 0.92% ‐0.62% Yes/No

FI Active Return 0.10% ‐0.50% ‐0.22% No/No

* Objectives from SIAS IPS (2014 version)** Four years annualized return*** Against MSCI World

9

IPS RETURN OBJECTIVE

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Annualized Return % 2008 2009 2010 2011 2012 2013 2014 2015 2016

SIAS ‐19.77 19.32 9.92 0.85 8.16 15.91 10.99 6.38 6.83

Benchmark ‐20.00 18.20 10.40 ‐1.40 8.50 14.31 11.52 4.03 8.98

HISTORICAL PERFORMANCE

*Returns are annualized

‐25.00%

‐20.00%

‐15.00%

‐10.00%

‐5.00%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

2008 2009 2010 2011 2012 2013 2014 2015 2016

SIAS Benchmark

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

10

Asset Class Sector Allocation Stock Selection Active return

Q4 16 Q4 16 Q4 16

Canadian Equity ‐0.07% 0.18% 0.10%

Global Equity 0.06% ‐0.66% ‐0.62%

Fixed Income 0.05% ‐0.29% ‐0.22%

Total 0.05% ‐0.77% ‐0.75%

PORTFOLIO ATTRIBUTION

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

11

Asset Allocation andCapital Market Expectations

Presented byTim Dinger

Chief Investment Officer

Highlights for Q3/Q4 2016

•Donald Trump was elected as the President of the United States of America

• Increasing consumer confidence supports domestic demand

• Canadian Economy with strong Q3 performance due to stronger oil and gas sector

•GDP growth in Q4 remains strong• Canadian government approves Kinder Morgan's Trans Mountain pipeline and Enbridge's Line 3

• Canadian banks raised mortgage rates in Q4

•MSCI ACWI reached peak with emerging market as main growth driver

•Oil cut back agreement between OPEC and non‐OPEC countries boost oil price expectations

• Persistent uncertainty after Brexit in the EU20

30

40

50

60

01/2016 04/2016 07/2016 09/2016 12/2016

Crud

e Price pe

r barrel

Spot Crude Prices ‐ 2016

19

20

21

22

06/2016 09/2016 12/2016

P/E Ra

tio

S&P 500 ‐ P/E ratio

Election

‐1.5%0.0%1.5%3.0%4.5%

Q114

Q214

Q314

Q414

Q115

Q215

Q315

Q415

Q116

Q216

Q316

Q416*An

nualize

d grow

th ra

te

Real Canadian GDP (QoQ%)

US Economy

Canadian Economy

World Economy

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Economic and Investment Outlook

US Economy

Canadian Economy

World Economy

Merits Concerns• Economic growth• Comprehensive Economic Trade Agreement

•Widening yield spread indicates positive outlook

•US protectionism•Housing market• Consumer debt•Uncertainty about interest rates

Merits Concerns• Stimulated economy through new leadership

• FED is expected to raise interest rate

•Deregulation / tax cuts

•Unexperienced leadership• Trade protectionism• Immigration bans• Capital market expectations

Merits Concerns• Continuing ECB policy•Global economy is expected to continue its upward trend

•Uncertainty about Brexit and upcoming elections

• Slowing Chinese economy• Political uncertainty around the world

020406080100120

2008 2010 2012 2014 2016

Confiden

ce level

Consumer Confidence in the US

0.0

1.0

2.0

3.0

2008 2010 2012 2014 2016

Spread

in %

2Yr / 10Yr spread

Canada US

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

145

10

15

20

25

2008 2010 2012 2014 2016

P/E Ra

tio

S&P TSX Index ‐ P/E Ratio

Asset Allocation

Benchmark(%) End of Q4 16 Target QoQ Change

Relative to Benchmark

EquitiesCanadian 35% 33.7% 36% +2.3% OverweightGlobal 35% 36.4% 36% ‐0.4% Overweight

Fixed Income 28% 24.6% 26% +1.4% UnderweightCash 2% 5.3% 2% ‐3.3% Neutral

Conviction Rationale Implementation

AssetAllocation

• Positive economic outlook for world economy despite political uncertainty

• Progressive economic growth; Central banks’ support stimulating asset prices’; Rising consumer confidence

Equity

Fixed Income

Cash • Long term view •Minimum cash Cash

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

15

Canadian Equity Portfolio

Presented byJulia Ferreira

Portfolio Manager

Transactions

Company Sector % Change

Manulife Financials 30.2%

Cameco Energy 26.1%

Suncor Energy 22.7%

Goldcorp Materials ‐15.40%

Sandstorm Gold Materials ‐20.50%

Silver Wheaton Materials ‐26.60%

Biggest Movers Q4

Attribution Table Q4

Performance ReviewCanadian Equity Portfolio

Q4

Beginning Value (September 30th, 2016)CAD$5.52 Million

Ending Value (December 30th, 2016)CAD$5.62 Million

Quarterly Rate of Return4.70%

Quarterly Active Return0.16%

Total Holdings : 33

Q3

Beginning Value (June 30th, 2016)CAD$5.21 Million

Ending Value (September 30th, 2016)CAD$5.52 Million


Quarterly Active Return‐1.19%

Total Holdings : 33

Sold :Canfor (Paper) 2%

Bought:Sandstorm Gold 1.91% Silver Wheaton 2.4% Cenovus (Oil) 1.14%

Sold:GWO (Insurance) 4% of CE

Bought:CCL/B (Materials) 2% of CE

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Sector Asset Allocat.

Security Selection Interaction Active

Return

Financials 0.30% 0.19% 0.01% 0.51%

Energy ‐0.24% ‐0.03% 0.00% ‐0.27%

Materials 0.27% ‐0.61% 0.20% ‐0.13%

Industrials ‐0.07% ‐0.19% 0.03% ‐0.23%

C. Discret. 0.05% 0.26% 0.15% 0.45%

Others 0.14% ‐0.01% ‐0.29% ‐0.17%

Total 0.46% ‐0.40% 0.10% 0.16%


Teck Resources Materials 403.18%

Exco Technologies Industrials ‐36.29%

Biggest Movers 2016

Strategy ReviewAllocation end Q3

*All values are of Canadian Equity Portfolio in isolation

Allocation end Q4 STRATEGY

SECTOR SIAS Q3 16 Active W Q316

Financials 35.76% .2.64%

Materials 8.71% ‐4.39%

Energy 17.27% ‐3.47%

Discretionary 8.22% 2.99%

Industrials 7.57% ‐1.28%

Others 22.47% 3.50%

Q4 2016 Active W Q4 16

35.17% 0.18%

9.38% ‐2.43%

18.09% ‐3.34%

8.58% .3.55%

7.61% ‐1.27%

21.17% .3.30%

REVISION PROPOSED 17 Active W

1.83% 37.00% 2.01%

2.35% 11.73% ‐0.08%

4.18% 22.28% 0.84%

..‐3.88% 4.70% ‐0.33%

1.24% 8.85% ‐0.03%

..‐5.75% 15.42% ‐2.45%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

18

Action Plan (relative to BM): BANKS NEUTRALOVERWEIGHT DIVERSIFIED FINANCIALS UNDERWEIGHT INSURANCE

• Interest rate:maintain at 0.5% until 2Q2017

• GDP: Slightly positive outlook. Optimismprevailed over the more pro‐market / growthagenda of the Trump government, which weexpect will boost US and Canadian economy forthis first quarter.

• Real State: Possible bubble, banks are limitingcredit and government is imposing policies torestrict prices.

ROYAL BANK OF CA17%

TORONTO-DOM BANK

16%

IGM FINANCIAL

IN2%MANULIFE

FIN14%

SUN LIFE FINANCI

15%

ONEX CORP

8%

BROOKFIELD ASS-A

12%

THOMSON REUTERS

11%

CAN REAL ESTATE

2%

SLATE OFFICE REI3%

Financial Sector

SIAS Holdings Q4 Outlook and Expectation

Sector Return Active Weight*

Active Return*

Financials 12.08% 2.642% 0.51%

Real Estate ‐2.45% ‐0.99% ‐0.06%

Best Performer: Manulife Financial (30.2%)

Worst Performer: Slate Office Reit (‐3.95%)

*Compared to each sector Index’s as of December 30,2016

Sector Performance Q4 SIAS Performance Q4

‐12%

‐8%

‐4%

0%

4%

8%

12%

16%

30/9/16 30/10/16 29/11/16 29/12/16TSX Financials Real Estate

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Action Plan (relative to BM): OVERWEIGHT OIL

• Markets are optimistic with what has been calleda consistent increasing trend of Oil prices.

• This reflects the agreement between the (OPEC)and other oil producers to cut output to hastenthe rebalancing in the oil market

• Canada is the leading supplier of energyproducts to the U.S., including crude oil, refinedpetroleum, natural gas, electricity and uranium.


Energy Sector

‐4%‐2%0%2%4%6%8%10%

30/9/16 30/10/16 29/11/16 29/12/16TSX Energy

ARC RESOURCES LT, 10.00%

CAMECO CORP, 7.32%

CAN NATURAL

RES, 18.09%

CENOVUS ENERGY, 13.17%

HUSKY ENERGY INC,

9.49%

SUNCOR ENERGY, 24.69%

TRANSCANADA CORP, 17.26%


Active Return*

Energy 6.83% ‐3.47% ‐0.27%

Best Performer: Cameco Corp (26.14%)

Worst Performer: Arc Resources LT (‐1.98%)



Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

20

‐15%

‐10%

‐5%

0%

5%

10%

30/9/16 30/10/16 29/11/16 29/12/16

TSX Materials

Materials Sector

Action Plan (relative to BM):

NEUTRAL (increase sector allocation)

• Rebalance holdings to avoid specific risk and vol.

• Chemicals: Stop position and shift cash to commodities.

• Gold: Increase exposure (companies looking cheap in valuation)

• Forest Products: Gain exposure

CCL INDS B23.01%

GOLDCORP INC

12.48%

POTASH CORP SAS11.06%

SANDSTORM GOLD13.49%

SILVER WHEATON29.76%

TECK RESOURCES‐B

10.19%



Active Return*

Materials ‐10.86% ‐4.39% ‐0.13%

Best Performer: Potash Corp (14.39%)

Worst Performer: Silver Wheaton Corp (‐26.58%)



Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

21

CINEPLEX INC, 3.01%

RESTAURANT BRAND, 5.57%

METRO INC, 4.82%

CGI GROUP INC‐A, 2.87%

CAN NATL RAILWAY, 6.46%

EXCO TECH LTD, 1.15%

BCE INC, 4.13%

ROGERS COMMUNI‐B,

2.58%

EMERA INC, 2.91%

BROOKFIELD RENEW, 1.82%

Diversified SectorsSectors Performance

Action Plan (relative to BM):

• UNDERWEIGHT

Healthcare (no change)

Staples* and Discretionary* (decrease)

• NEUTRAL

Telecom* and Utilities (decrease)

Industrial* (increase)

*there will be change in current holdings

‐35%‐30%‐25%‐20%‐15%‐10%‐5%0%5%10%

30/9/16 30/10/16 29/11/16 29/12/16TSX Cons Discr Industrials Cons Stapl Health Care Info Tech

Sector Security Selection

Asset Allocation Interaction Active

ReturnIndustrials ‐0.19% ‐0.07% 0.03% ‐0.23%Discretionnary 0.26% 0.05% 0.15% 0.45%Staples ‐0.18% ‐0.02% ‐0.05% ‐0.25%Info Tech 0.10% 0.00% 0.00% 0.10%Healthcare 0.23% 0.23% ‐0.23% 0.23%Telecom Serv ‐0.06% ‐0.06% ‐0.02% ‐0.14%Utilities ‐0.02% ‐0.01% ‐0.02% ‐0.05%Total 0.14% 0.12% ‐0.15% 0.11%



Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

22

Going Forward

*Compared to each sectors in the S&P TSX Index as of December 30,2016

Sector Active Position* Action Plan Strategy to

Benchmark Buy Radar Sell Radar

FINANCIALS 0.18% OVERWEIGHTBank Of Nova ScotiaDiversified Financials

Onex Manulife

REAL ESTATE ‐0.98% UNDERWEIGHT ‐ Slate Office Reit

MATERIALS ‐2.43% NEUTRAL PaperGold & Basic Metals Potash Corp

TELECOM 1.88% NEUTRAL Telus Rogers

ENERGY ‐3.34% OVERWEIGHT Pipeline Driller Cameco

DISCRETIONARY 3.55% UNDERWEIGHT Corus Cineplex

UTILITY 1.90% NEUTRAL Emera (partial)

STAPLES 0.98% UNDERWEIGHT Metro (partial)

INDUSTRIALS ‐1.27% NEUTRAL Transportation

INFO TECH 0.12% NEUTRAL ‐‐ ‐‐

HEALTH CARE ‐0.60% UNDERWEIGHT ‐‐ ‐‐

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

23

Global Equity Portfolio

Presented byEarendil Gutierrez

Global Equity Analyst

RoW ‐ ETF Region % Change

France ETF Europe 4.57%

Germany ETF Europe 2.89%

Hong Kong ETF Asia Pacific ‐8.71%

New Zealand ETF Asia Pacific ‐10.47%

Region Asset Allocation

Security Selection

Active Return

Asia Pacific 0.018% ‐0.374% ‐0.39%Europe ‐0.028% ‐0.053% ‐0.08%Emerging Markets ‐0.005% ‐0.024% ‐0.20%North America ‐0.126% ‐1.612% ‐1.68%Total ‐0.125% ‐2.047% ‐2.33%


Performance Review

Biggest Movers – Excluding US Q4

Transactions

Global Equity PortfolioQ4





Total Holdings : 35

Q3





Total Holdings : 33

No TransactionSold :SCHLUMBERGER (Energy)

Bought:ENERGY SECTOR SPDRUTILITIES SECTOR SPDRREAL ESTATE SECT SPDR

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

25

Rest of the World ‐ Asia Pacific

‐16%

‐11%

‐6%

‐1%

4%

9/30/16 10/30/16 11/29/16 12/29/16AUSTRALIA HONG KONG SINGAPOREJAPAN NEW ZEALAND MSCI WORLD ETF

Singapore 3%

Japan 63%

Hong Kong 6%

Australia 17%

New Zealand 11%

• We expect Asia Pacific to regain lost ground andto return being our top performer.

• Expectations for this region include uncertaintyregarding trade policies changing with US marketand weak Japanese Central Bank.

• Singapore ETF underperforming even in betterthan expected GDP growth scenarios might leadto divesting in it.

• Concerns around sustainability in New Zealand’sgrowth.

Country ETF Return Active Weight Active Return

Japan 0.59% 0.29% ‐0.14%

Australia 1.43% ‐0.25% ‐0.05%

Hong Kong ‐8.71% ‐0.33% ‐0.01%

Singapore ‐3.22% ‐0.16% ‐0.02%

New Zealand ‐10.47% 1.68% ‐0.18%

SIAS Performance Q4Region Performance Q4

SIAS Current Holdings Outlook and Expectations

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

26

United Kingdom 17%

Germany 13%

Switzerland 9%

France 7%

Europe ETF 54%

Rest of the World ‐ Europe

• Going forward we expect Europe to keepslowing down

• Uncertainty regarding Brexit is still a concernand countries most affected should be tightlymonitored

• We expect returns coming from allocations toGermany and France, rather than UK.

• We seek reduction to our exposure to UK aspart of this outlook

-10%

-5%

0%

5%

9/30/16 10/30/16 11/29/16 12/29/16

EUROPE ALL INC UK GEOGRAPHIC FOCUS FRANCE

GERMANY SWITZERLAND

UNITED KINGDOM MSCI WORLD ETF


France 4.57% ‐1.90% ‐0.10%

Switzerland ‐1.54% ‐1.70% ‐0.04%

United Kingdom* 1.05% 9.55% 0.23%

Germany 2.89% ‐0.32% ‐0.03%

Outlook and Expectations


SIAS Current Holdings

*UK + UK focus ETF

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

27

Emerging Markets

India 31%

South Korea 69%

• RoW does not expect a major outperformance ofEmerging Markets, but conditions in India mightlead us to explore some other assets

• Outlook for India remains highly volatile andaversion from investors increases due to directimpact on finance by political factors

• South Korea remains a competitive asset due toits focus in technology and the resilience ofimportant components such as Samsung

‐15%

‐10%

‐5%

0%

5%

9/30/16 10/30/16 11/29/16 12/29/16

INDIA SOUTH KOREA MSCI WORLD ETF


India ‐6.98% 1.09% ‐0.08%

South Korea ‐6.58% 2.38% ‐0.16%


SIAS Current Holdings Outlook and Expectations

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

28

Going Forward

Sector Current active position Action Plan BUY Radar SELL Radar

Emerging Markets 3.05% ‐ India

Asia Pacific 1.19% ‐ Singapore

Europe ‐1.82% France UK

North America ‐2.14% ‐ ‐

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

29

Global Equity Portfolio: US Equity

Presented byAmelia Zhang

US Equity Analyst

Transactions

Company Sector Change

FINANCIAL SECTOR SPDR Financials 23.51%

CBRE GROUP Real Estate 14.87%

WHOLE FOODS MARKET Staples 10.74%

REAL ESTATE SELECT SECT SPDR Real Estate ‐2.49%

VISA INC Technology ‐3.52%

VARIAN MEDICAL SYSTEMS Health Care ‐7.94%

Biggest Movers Q4


*No positions in Materials sector as of December 30, 2016All values are of US Equity Portfolio in isolation

PERFORMANCE REVIEWUS Equity Portfolio

Q4





Total Holdings : 23

Q3





Total Holdings : 21

Sold :SCHLUMBERGER (Energy)


Sold:‐

Bought:‐

Sector Asset Allocation

Security Selection

Active Return

Technology 0.11% ‐0.65% ‐0.708%Financials ‐1.18% ‐0.07% ‐1.207%Health Care ‐0.01% ‐0.11% ‐0.131%Diversified* 0.072% 0.03% 0.313%

Total ‐1.008% ‐0.52% ‐1.68%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

31

PORTFOLIO COMPOSITION


Market Performance SIAS Performance

Outlook and Expectation

‐20%

‐10%

0%

10%

20%

30%

S&P 500 INDEX FinancialsHealthCare Technology

FINANCIAL ETF 5.23%

AMERISOURCEBERGEN 2.88%

J&J 6.37%

VARIAN MEDICAL SYSTEMS 5.46%

ALPHABET5.77%

CISCO 6.47%

QUALCOMM6.13%

VISA 8.06%

Sector Return Active Weight* Active Return*Technology ‐1.86% 3.39% ‐0.860%

Best Performer: AlphabetWorst Performer: Visa

Sector Return Active Weight* Active Return*Financials 23.49% ‐4.84% ‐0.91%

Sector Return Active Weight* Active Return*Health Care ‐3.16% 0.52% ‐0.276%

Best Performer: J&JWorst Performer: Varian Medical Systems


Action Plan: Increase weight in Financials

• Continued economic recovering

• Interest rate increasing cycle

• Gentler regulation environment forecast

• Tax reform and national security

• Business transformation opportunities in health care sector under new government

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

32


Active Return*

Energy 9.43% ‐0.58% 0.122%

Telecom 8.07% 1.43% 0.249%

Discretionary 7.58% ‐1.48% ‐0.375%

Real Estate 7.32% ‐0.63% 0.210%

Industrials 6.24% 2.74% 0.306%

Utility 2.12% ‐0.52% ‐0.045%

Staples 2.40% ‐0.26% ‐0.013%

‐15%

‐10%

‐5%

0%

5%

10%

15%

S&P 500 INDEX Industrials Staples

Energy Discretionary Telecom

Real Estate Utility

HOME DEPOT 6.18%

MCDONALD 3.82%

TARGET1.60%

COCA‐COLA 5.51%

WAL_MART 2.04%

WHOLE FOODS2.27%

REAL ESTATE ETF 0.96%UTILITIES ETF

2.51%

ENERGY ETF 6.81%

3M 8.07%

EMERSON 1.03%

GE 5.83%

CBRE 1.51%

AT&T 5.49% Action Plan: Decrease weight in Consumer Staple

• Slowly increasing trend of oil prices

• Increasing consumer confidence

• Interest rate increasing cycle

PORTFOLIO COMPOSITION



Market Performance SIAS Performance

Outlook and Expectation

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

33

GOING FORWARD

*Compared to all sectors in the S&P 500 Index as of December 30,2016

Sector Active Position* Action Plan BUY Radar SELL Radar

FINANCIALS ‐9.85% FISFISV

TECHNOLOGY 5.66% Symantec

Palo Alto Network Qualcomm

ENERGY ‐0.576%

DISCRETIONARY ‐0.43% Walt Disney Target

HEALTHCARE 1.09% Amgen Varex

INDUSTRIALS 4.66%

STAPLES ‐0.275% Whole Foods Market

MATERIALS ‐2.84%

TELECOM 2.83%

UTILITIES ‐0.66%

REAL ESTATE ‐0.42%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

34

Fixed Income Portfolio

Presented byVeronica Zhang

Portfolio Manager

Transactions

36

Issuer Sector % QTDBMO 6.17 3/28/23 Financials 0.39%LONDON 5.87 8/06/2017 Provincial 0.29%

GE 5.53 8/17/2017 Financials 0.22%CAN 5.75 6/01/2033 Federal ‐9.00%BRCOL 5.4 6/18/2035 Provincial ‐8.71%YORKKDS 5.3 6/03/2025 Materials ‐8.66%

Biggest Movers/Bottom Performers Q4


PERFORMANCE REVIEWFixed Income Portfolio

Q4



Quarterly Rate of Return‐3.62%


Total Holdings : 29

Q3



Quarterly Rate of Return‐0.80%


Total Holdings : 29

No transactions No transactions

Sector RelativeCTD

Observed YLD Impact

Nominal Duration ‐0.27 ‐0.05% ‐0.04%

Quasi 1.13 ‐0.07% 0.08%

Corp ‐0.49 ‐0.23% ‐0.11%

Total Impact 0.07%

Quarterly Yield Advantage ‐0.015%

Estimated Active Return ‐0.19%

Active Return ‐0.13%

Error ‐0.06%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Portfolio Composition

SIAS Current Holdings By Sector SIAS Current Holdings By Term

SIAS Current Duration by Sector SIAS Current Duration by Term

Federal14%

Provincial59%

Municipal1%

Corporate26%

Short-term27%

Mid-term33%

Long term40%

0

1

2

3

4

5

6

Short‐term Mid‐term Long term

Benchmark SIAS

0.00

1.00

2.00

3.00

4.00

5.00

Federal Municipal Provincial Corporate

Benchmark SIAS

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

37

RETURN ANALYSIS Q4

00.51

1.52

2.53

3.54

3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y

PROV INC IA L Y I E LD CURVE

09/30/2016 12/30/2016

‐0.2‐0.100.10.20.30.40.50.60.70.8

0

0.5

1

1.5

2

2.5

3M 6M 1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 20Y 30Y

CANADA SOVERE IGN Y I E LD CURVE

Change 12/30/16 Yield 09/30/16 Yield

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

38

Federal Provincial Municipal CorporateQuartely Returns ‐0.58% ‐2.12% 0.00% ‐0.92%

‐3.00%

‐2.00%

‐1.00%

0.00%

1.00%

2.00%

3.00%

RETURN ANALYSIS

0

50

100

150

200

250

300


Corporate (Investment Grade) G‐Spread

09/30/2016 12/30/2016

0

50

100

150

200


Corporate (AAA) G‐spread

09/30/2016 12/30/2016

0

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

Communication Engergy Sector Financial Sector Industrial Sector InfrastructureSector

Real Estate Securitized

CORPORATE SECTOR WEIGHT(%)

BENCHMARK

SIAS

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

39

Improve Yield

Financial Sector Energy Sector

Match the Benchmark

Reduce weight in Provincial sector Increase weight of Corporate & Federal bonds

Complied with IPS

Investment Grade Corp Bond (BBB) Excess Cash Allocation

GOING FORWARD

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

40

Q&A Session

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Appendices

Appendices ESG

PROCESS & CRITERIA

Research Process

Company Data

Media & News

Third‐Party Reports

Analysis

Peer Review

Team Voting

Environment

Climate Change

Waste Disposal

Sustainable Packaging

Water Policy

Greenhouse Gas Emission

Social

Humans Rights

Health & Safety Policy

Fair Remuneration

Policy

Consumer Protection

Community Relation

Corporate Governance

Management Structure

Shareholder Right

Audit Committee

Employee Relations

Executive Compensation

• Corporate Governance, Environmental and Social issues can have a significant impact on a company’sperformance, profitability and business risk.

• Simon Fraser University is committed to UNPRI. (utilize ESG rating to contribute our investment decisionmaking process)

• Method in SIAS: Using both top down and bottom up approach to look for unique ESG risks and drivers foreach sectors and specific stocks. Plus, take advantage of sustainable analytics ranking (in Bloomberg) toconduct analysis

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Example: Canadian National Railway

Litigations, Controversies and Others

Points Assigned

Items

Low Risk 109876 Environmental:

Environmental ratio improved in 2016 National railway did a better job compare with its peers to make its

business more environmental friendly Specific ratios: all greenhouse gas to revenue, energy to revenue and

waste to revenue ratios are decreasing in last year. Compare with industry median, only greenhouse gas to revenue ratio

higher than the industry median number. Social: Worse compare with history and compare with its peers. All women employee management ratio, Women Employee ratio,

Employee Turnover ratio, Employee turnover ratio and Lost time incident rate have decreased during the last year.

women employee ratio is higher than the industry median and the employee turnover ratio is lower than the peers.

Governance: Worse compare with history data, but have improved compare with the

peers In term of specific ratios, Independent Directors, Director of Average

Age, Director Meeting Attendance and Board Size have decreased，but still better than the industry median.

Medium Risk 5432

High Risk 1

Total Points

SIAS ESG Grade*

10 A+ Leader 9 A Leader8 A‐ Leader ‐ CNR7 B+ Acceptable6 B Acceptable 5 B‐ Acceptable4 C+ Justify3 C Justify2 C‐ Justify1 D Fail

Bloomberg Percentile

Point Assigned

Company

90‐100 10 CNR80‐90 970‐80 860‐70 750‐60 640‐50 530‐40 420‐30 310‐20 20‐10 1

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Integration

0

10

20

30

40

50

60

70

80

90

Canadian Equity U.S. Equity Threshold

Previous Proposal New Proposal

• Compare with Global peers• Initiate threshold at 60th percentile• Increase threshold to 70th percentile by Sep.

2016 and to 80th percentile by Feb. 2017

010203040506070

Overall Government Environment Social

U.S. Portfolio Sustainalytics Ranking

U.S. Equity Benchmark

0102030405060

Overall Government Environment Social

Canadian Portfolio Sustainalytics Ranking

Canadian Equity Benchmark

• Compare with the benchmarks• Initiate threshold at 20th percentile

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Appendices Q4 Canadian Equity

CCL Industries Inc. (Materials,SupplyChainDistributor):BUY

• Global leader in specialty packaging

• CCL revenues is well diversified

by geography 52% USA / 27% Europe / 9% Asia / 7% Latin America / 6% Canada

and also by segment Label 67% / Avery 26% / Container 7.4%.

• Strong financial position

• Checkpoint contribution

Great‐West Lifeco Inc. (Insurance, Life & Health Insurance): SELL

• DiversifySIASportfolioanddecreaserisksrelatedtolowinterestrates.<

• GWOhasexposureonlyto Canada, the United States and Europe (Manulife has strong operations also in

ASIA, while Sunlife is better distributed in terms of segments Life Insurance is only 66%).

• Peer analysis showed GWO was not a good performer.

TRANSACTIONS Q4Company Sector Ticker Action Quantity Trade Price Current Price

CCL Industries Inc. Materials ABC BUY 460 $241.40 $263.8*Great‐West Lifeco Inc. Insurance GWO SELL 6600 $33.912 $35.17

*As of December, 2016All value in CAD.

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

FINANCIALS SECTOR Q4 FINANCIALSSECTOR STFINL Index 11.54%Name SubIndustry CE Weight ReturnROYAL BANK OF CA Diversified Banks 6.14% 12.85%TORONTO‐DOM BANK Diversified Banks 6.08% 14.65%IGM FINANCIAL IN Asset Management & Custody Ban 0.82% 9.44%MANULIFE FIN Life & Health Insurance 5.00% 30.17%SUN LIFE FINANCI Life & Health Insurance 5.50% 22.69%ONEX CORP Multi‐Sector Holdings 3.09% 8.24%BROOKFIELD ASS‐A Asset Management & Custody Ban 4.37% ‐3.22%THOMSON REUTERS Financial Exchanges & Data 4.18% 9.15%

Real EstateSECTOR STRLST Index 0.12%Name SubIndustry CE Weight ReturnCAN REAL ESTATE Diversified REITs 0.82% ‐0.64%SLATE OFFICE REI Diversified REITs 1.22% ‐3.95%

Sell radar: 9.31% Buy radar: 9.31%MANULIFE FIN 5.00% ScotiaBank Banks 5.0%SLATE OFFICE REI 1.22% Diversified 2.2%ONEX CORP 3.09% Diversified 2.2%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

FINANCIALS SECTOR FINANCIALSSECTOR STFINL Index 11.54%Name SubIndustry CE Weight ReturnROYAL BANK OF CA Diversified Banks 6.14% 12.85%TORONTO‐DOM BANK Diversified Banks 6.08% 14.65%IGM FINANCIAL IN Asset Management & Custody Ban 0.82% 9.44%MANULIFE FIN Life & Health Insurance 5.00% 30.17%SUN LIFE FINANCI Life & Health Insurance 5.50% 22.69%ONEX CORP Multi‐Sector Holdings 3.09% 8.24%BROOKFIELD ASS‐A Asset Management & Custody Ban 4.37% ‐3.22%THOMSON REUTERS Financial Exchanges & Data 4.18% 9.15%

Real EstateSECTOR STRLST Index 0.12%Name SubIndustry CE Weight ReturnCAN REAL ESTATE Diversified REITs 0.82% ‐0.64%SLATE OFFICE REI Diversified REITs 1.22% ‐3.95%

ROYAL BANK OF CA‐0.12%

TORONTO‐DOM BANK

0.15%

IGM FINANCIAL IN

‐0.08%

MANULIFE FIN1.99% SUN LIFE

FINANCI1.20%

ONEX CORP‐0.40%

BROOKFIELD ASS‐A‐1.77%

THOMSON REUTERS‐0.45%

Financials Active Return

0.51%

‐2.00%‐1.50%‐1.00%‐0.50%0.00%0.50%1.00%1.50%2.00%2.50%

F INANC IALS ATTR IBUT ION

CAN REAL ESTATE‐0.04%

SLATE OFFICE REI

‐0.01%

Real Estate Active Return

‐0.06%‐0.50%

0.00%

REAL ESTATE ATTR IBUT ION

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Sell radar: 2.98% Buy radar: 3.98%POTASH CORP SAS 1.04% Forest Products 0.9%Silver 1.94% Diversified Metals & Mining 0.9%CASH 1.00% Metal & Glass Containers 0.9%

Gold 1.3%

MATERIALS SECTOR MATERIALSSECTOR STMATR Index ‐6.21%

Name SubIndustry CE Weight ReturnCCL INDS B Metal & Glass Containers 2.16% 9.33%GOLDCORP INC Gold 1.17% ‐15.44%POTASH CORP SAS Fertilizers & Agricultural Che 1.04% 14.39%SANDSTORM GOLD Gold 1.27% ‐20.51%SILVER WHEATON Silver 2.79% ‐26.58%TECK RESOURCES‐B Diversified Metals & Mining 0.96% 13.83%

CCL INDS B3.26%

GOLDCORP INC‐0.86%

POTASH CORP SAS2.04%

SANDSTORM GOLD‐1.52%

SILVER WHEATON‐4.88%

TECK RESOURCES‐B, 1.83%

Materials Active Return‐0.13%

‐5.00%‐4.00%‐3.00%‐2.00%‐1.00%0.00%1.00%2.00%3.00%4.00%5.00%6.00%

MATERIALS ATTRIBUTION

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

ENERGYSECTOR STENRS Index 6.99%

Name SubIndustry CE Weight ReturnARC RESOURCES LT Oil & Gas Exploration & Produc 1.81% ‐1.98%CAMECO CORP Coal & Consumable Fuels 1.32% 26.14%CAN NATURAL RES Oil & Gas Exploration & Produc 3.27% 2.58%CENOVUS ENERGY Integrated Oil & Gas 2.38% 8.20%HUSKY ENERGY INC Integrated Oil & Gas 1.72% 1.37%SUNCOR ENERGY Integrated Oil & Gas 4.47% 21.33%TRANSCANADA CORP Oil & Gas Storage & Transporta 3.12% ‐1.93%

Sell radar: 1% Buy radar: 4.24%CAMECO 1% Pipeline 1.4%CASH 4.24% CANADIAN NATURAL 1.4%

Driller 1.4%

ENERGY SECTOR

ARC RESOURCES LT‐0.86%

CAMECO CORP1.03%

CAN NATURAL RES‐0.89%

CENOVUS ENERGY‐0.05%

HUSKY ENERGY INC‐0.56%

SUNCOR ENERGY2.53%

TRANSCANADA CORP‐1.48%

Energy Active Return‐0.27%‐1.50%

‐1.00%‐0.50%0.00%0.50%1.00%1.50%2.00%2.50%

ENERGY ATTRIBUTION

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

DIVERSIFIEDWeighted Average of S&P TSX Individual Indexes 0.28%

Name Sub Industry CE Weight Inside Sector Weight ReturnCINEPLEX INC Movies & Entertainment 3.01% 35.04% 2.37%RESTAURANT BRAND Restaurants 5.57% 64.96% 9.68%METRO INC Food Retail 4.82% 100.00% ‐6.43%CGI GROUP INC‐A IT Consulting & Other Services 2.87% 100.00% 3.12%CAN NATL RAILWAY Railroads 6.46% 84.89% 6.24%EXCO TECH LTD Industrial Machinery 1.15% 15.11% ‐9.75%BCE INC Integrated Telecommunication 4.13% 61.55% ‐3.10%ROGERS Wireless Telecommunication 2.58% 38.45% ‐6.09%EMERA INC Electric Utilities 2.91% 61.47% ‐2.95%BROOKFIELD RENEW Renewable Electricity 1.82% 38.53% 1.48%

DIVERSIFIED SECTOR Q4

Sell radar: Sell Buy radar: Buy Cash Flow:ROGERS COMMUNI‐B 2.58% TELUS CORP 0.5% ‐2.13%

CINEPLEX INC 3.01% Corus Ent. 1.0% ‐2.01%

RESTAURANT BRAND 2.00% ‐‐‐‐‐‐ ‐‐‐‐‐‐ ‐2.00%

METRO INC 4.82% Packaged Foods & Meats 3.8% ‐1.00%

EMERA INC 1.80% ‐1.80%

CAN NATL RAILWAY 2.50% Railroads 3.5% 1.00%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

DIVERSIFIED

Name Sub Industry CE Weight Inside Sector Weight ReturnCINEPLEX INC Movies & Entertainment 3.01% 35.04% 2.37%RESTAURANT BRAND Restaurants 5.57% 64.96% 9.68%METRO INC Food Retail 4.82% 100.00% ‐6.43%CGI GROUP INC‐A IT Consulting & Other Services 2.87% 100.00% 3.12%CAN NATL RAILWAY Railroads 6.46% 84.89% 6.24%EXCO TECH LTD Industrial Machinery 1.15% 15.11% ‐9.75%BCE INC Integrated Telecommunication 4.13% 61.55% ‐3.10%ROGERS Wireless Telecommunication 2.58% 38.45% ‐6.09%EMERA INC Electric Utilities 2.91% 61.47% ‐2.95%BROOKFIELD RENEW Renewable Electricity 1.82% 38.53% 1.48%

DIVERSIFIED SECTOR Q4

CINEPLEX INC0.04%

RESTAURANT BRAND0.29%

METRO INC‐0.29%

CGI GROUP INC‐A0.14%

CAN NATL RAILWAY0.24%

EXCO TECH LTD‐0.07%

BCE INC‐0.09% ROGERS

‐0.11%

BROOKFIELD RENEW0.03%

EMERA INC‐0.08%

Diversified Sectors Active Return

0.10%

0%

0%

0%

0%

0%

0%

0%

0%

0%

DIVERSIFIED ATTRIBUTION

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Strategy ReviewAllocation at the end Q3

*All values are of Canadian Equity Portfolio in isolation

Allocation at the end Q4 Q4 Result

SECTOR SIAS Q3 16 BM Q3 16 Active W Q3 16

Financials 35.76% 33.11% 2.64%

Real Estate 2.18% 3.17% ‐0.99%

Materials 8.71% 13.10% ‐4.39%

Telecom 7.22% 5.26% 1.96%

Energy 17.27% 20.74% ‐3.47%

Discretionary 8.22% 5.24% 2.99%

Utility 4.97% 2.75% 2.22%

Staples 5.27% 4.10% 1.17%

Indulstrials 7.57% 8.84% ‐1.28%

Info Tech 2.83% 2.89% ‐0.06%

Health Care 0.00% 0.80% ‐0.80%

TOTAL 100% 100%

Q4 2016 BM Q4 16 Active W Q4 16

35.17% 34.99% 0.18%

2.04% 3.03% ‐0.98%

9.38% 11.81% ‐2.43%

6.71% 4.83% 1.88%

18.09% 21.43% ‐3.34%

8.58% 5.03% 3.55%

4.73% 2.83% 1.90%

4.82% 3.84% 0.98%

7.61% 8.88% ‐1.27%

2.87% 2.74% 0.12%

0.00% 0.60% ‐0.60%

100% 100%

Compliance

Performance & Risk


Canadian Equity

Fixed Income

Global Equity

Appendices

Introduction

Sector Allocation

0.30%

0.00%

0.27%

‐0.06%

‐0.24%

0.05%

‐0.01%

‐0.02%

‐0.07%

0.00%

0.23%

0.46%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Appendices Q3 Canadian Equity

Canadian Equity PortfolioQ3





Total Holdings : 33

Transactions


Teck Resources‐b Materials 39.04%

Cgi Group Inc‐a Info Tech 13.23%

Can Natl Railway Industrials 12.92%

Sandstorm Gold Materials ‐9.43%

Goldcorp Inc Materials ‐12.31%

Cameco Corp Energy ‐20.30%

Biggest Movers Q3


PERFORMANCE REVIEW

Sector SecuritySelection

Asset Allocation Interaction

Active Return

Financials ‐0.49% 0.22% ‐0.05% ‐0.32%

Real Est. 0.27% 0.02% ‐0.08% 0.21%

Energy ‐0.75% ‐0.24% 0.14% ‐0.85%

Materials 0.92% 0.07% ‐0.44% 0.56%

Industrials ‐0.01% ‐0.17% 0.00% ‐0.18%

C. Discret. ‐0.24% 0.30% ‐0.15% ‐0.09%

C. Staples ‐0.41% 0.11% ‐0.18% ‐0.47%

Info Tech 0.03% ‐0.03% 0.00% 0.00%

Healthcare ‐0.07% ‐0.07% 0.07% ‐0.07%

Telecom ‐0.06% 0.07% ‐0.03% ‐0.02%

Utilities 0.02% 0.02% 0.02% 0.05%

Total ‐0.79% 0.30% ‐0.70% ‐1.19%

Sold :Canfor (Paper) 2%

Bought:Sandstorm Gold 1.91% Silver Wheaton 2.4% Cenovus (Oil) 1.14%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Cenovus Energy Inc (Energy):BUY

• Oil price is expected to recover in 2017 but not significantly.

• Make most of the uptrend of oil price to increase weights in terms of oil producers considering our current

underweighted position for energy sector.

Sandstorm Gold Ltd (Materials, Gold) and Silver Wheaton Corp. (Materials, Silver): BUY

• Gold is primarily a safe haven investment and it performs better under heightened global risks and uncertainties.

• Despite the strong rally in stock prices of streaming companies, there may be more upside potential given improvements in

Gold prices over the future. Based on this analysis, we feel strongly positive about the outlook of precious metals.

• We expect Sandstorm Gold and Silver Wheaton Corp. to clock in growth QoQ in Q3 due to improved realized Gold price and

increase in quantity sold.

• SLW has been increasing its exposure to Gold and the company`s management firmly believes that the near term outlook for

Gold is better as compared to Silver

Canfor Corporation (Materials, Paper): SELL

• Capex levels have been decreasing for several years

• In 2006, more than 63% of the Canadian Lumber production was shipped to U.S. consumers and negotiations for the new

Softwood Lumber Agreement between Canada and U.S. are very difficult. The previous agreement expired in October, 2015

and the deadline for a new one is October 12, 2016.

TRANSACTIONS Q3Company Sector Ticker Action Quantity Trade Price Current Price

Cenovus Energy Inc Energy CVE BUY 3300 17.88 20.30Sandstorm Gold Ltd Materials SSL BUY 13500 7.31 3.9Silver Wheaton Corp. Materials SLW BUY 3550 34.95 25.94Canfor Corporation Materials CFP SELL 8000 14.35 15.27*As of December, 2016. All value in CAD.

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

ROYALBANKOFCA15%

TORONTO‐DOMBANK

14%

IGMFINANCIALIN

2%

MANULIFEFIN10%SUNLIFE

FINANCI12%

ONEXCORP8%

BROOKFIELDASS‐A13%

GREAT‐WESTLIFEC10%

THOMSONREUTERS10%

CANREALESTATE2%

SLATEOFFICEREI4%

FINANCIALS SECTOR

SIAS Holdings Q3 Attribution Q3


Active Return*

Financials 4.6% 3.64% ‐0.32%

Real Estate 6.08% ‐0.95% 0.21%

Best Performer: Slate Office Rei (13.11%)

Worst Performer: Great‐west Lifec (‐3.22%)

*Compared to each sector Index’s as of September 30,2016


ROYAL BANK OF CA0.39%

TORONTO‐DOM BANK

0.12%

IGM FINANCIAL IN

‐0.07%

MANULIFE FIN

0.06%

SUN LIFE FINANCI‐0.40%

ONEX CORP0.16%

BROOKFIELD ASS‐A0.52%

THOMSON REUTERS‐0.08%

Financials Active Return‐0.32%

CAN REAL ESTATE1.16%

SLATE OFFICE REI

‐0.95%

Real Estate Active Return0.21%

‐12%

‐8%

‐4%

0%

4%

8%

12%

30/6/16 30/7/16 29/8/16 28/9/16

TSX Financials RealEstate

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

ARCRESOURCESLT,11.24%

CAMECOCORP,6.39%

CANNATURALRES,19.41%

CENOVUSENERGY,12.83%

HUSKYENERGYINC,

9.83%

SUNCORENERGY,21.50%

TRANSCANADACORP,18.65%

ENERGY SECTOR


Active Return*

Energy 2.8% ‐3.81% ‐0.85%

Best Performer: Arc Resources Lt (8.01%)

Worst Performer: Cameco Corp (‐20.3%)

Attribution Q3


‐12%

‐8%

‐4%

0%

4%

8%

30/6/16 30/7/16 29/8/16 28/9/16

TSX Energy

ARC RESOURCES LT

0.65%

CAMECO CORP‐2.34%

CAN NATURAL RES0.49%

CENOVUS ENERGY0.27%

HUSKY ENERGY INC

‐0.33%

SUNCOR ENERGY‐0.54%

TRANSCANADA CORP…

Energy Active Return‐0.85%

SIAS Holdings Q3


Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

‐12%

‐8%

‐4%

0%

4%

8%

12%

30/6/16 30/7/16 29/8/16 28/9/16

TSX Materials

CANFORCORP19.26%

GOLDCORPINC

13.10%

POTASHCORPSAS8.61%

SANDSTORMGOLD15.04%

SILVERWHEATON36.04%

TECKRESOURCES‐B

7.95%

MATERIALS SECTOR


Active Return*

Materials 5.88% ‐6.26% 0.56%

Best Performer: Teck Resources‐b (39.39%)

Worst Performer: Goldcorp Inc (‐12.39)

SIAS Holdings Q3


Attribution Q3

CANFOR CORP0.00%

GOLDCORP INC

0.34%POTASH CORP

SAS0.06%

SANDSTORM GOLD0.34%

SILVER WHEATON0.10%

TECK RESOURCES‐B,

‐0.28%

Materials Active Return

0.56%


Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

CINEPLEXINC,3.03%

RESTAURANTBRAND,5.20%

METROINC,5.27%

CGIGROUPINC‐A,2.83%

CANNATLRAILWAY,6.50%

EXCOTECHLTD,1.32%

BROOKFIELDBP‐U,0.05%

BCEINC,4.57%

ROGERSCOMMUNI‐B,

2.83%

EMERAINC,3.09%

BROOKFIELDRENEW,1.95%

‐5%‐1%3%7%11%15%19%23%27%31%

30/6/16 30/7/16 29/8/16 28/9/16

TSX ConsDiscr Industrials

ConsStapl HealthCare InfoTech

TelecomSe Utilities

DIVERSIFIED SECTORSSectors Performance


Security Selection Interaction Active

ReturnIndustrials ‐0.01% ‐0.17% 0.00% ‐0.18%Discretionnary ‐0.24% 0.30% ‐0.15% ‐0.09%Staples ‐0.41% 0.11% ‐0.18% ‐0.47%Info Tech 0.03% ‐0.03% 0.00% 0.00%Healthcare ‐0.07% ‐0.07% 0.07% ‐0.07%Telecom Serv ‐0.06% 0.07% ‐0.03% ‐0.02%Utilities 0.02% 0.02% 0.02% 0.05%Total ‐0.74% 0.23% ‐0.27% ‐0.78%

SIAS Holdings Q3


Attribution Q3

CINEPLEX INC0.01%

RESTAURANT BRAND‐0.15%

METRO INC0.10%

CGI GROUP INC‐A‐0.34%

CAN NATL RAILWAY‐0.28%

EXCO TECH LTD0.00%

BCE INC0.00%

ROGERS COMMUNI‐B

‐0.07%

BROOKFIELD RENEW‐0.07%

EMERA INC0.03%

Diversified Sectors Active Return‐0.78%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Appendices Fixed Income

Appendix

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

‐0.5

0

0.5

1

1.5

2

30/09/2016 31/10/2016 30/11/2016

CORRA & Canada Government 10Y Bond YLD

Appendix

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

SIAS PortfolioSector Weight (%) Contribution to Duration

Short‐term Medium term Long‐term Short‐term Mediumterm Long‐term

(1‐5 years) (6‐10 years) (10+ years) Total (1‐5 years) (6‐10 years) (10+ years) TotalFederal 2.46 0 12.26 13.72 0.10 0 1.33 1.43Provincial 11.03 18.79 29.25 59.07 0.32 1.12 3.30 4.94Municipal 1.13 0 0 1.13 0.01 0 0 0.01Corporate 15.83 7.41 2.84 26.08 0.42 0.44 0.36 1.12Total 29.55 26.20 44.25 100 0.85 1.56 4.99 7.39

Attribution Table

Q3 Benchmark SIASRelative

Contribution to Duration

Easy to Observedyield changes

EstimatedPerformance Impact

Nominal Duration 7.82 7.39 ‐0.43 ‐0.0226% ‐0.075%

Quasi 3.78 4.65 1.13 ‐0.01% 0.013%

Corp 1.66 1.26 0.4 ‐0.14% 0.058%Estimated Impact from relative contribution to duration ‐0.02% Quarterly Advantage ‐0.15%

Estimated Performance ‐0.19% Active Return ‐1.82 % Error ‐1.64%

Return Duration

SIAS ‐0.80% 7.39

Benchmark ‐1.02% 7.82

Active ‐1.82bps ‐0.43

Appendix

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

AppendixIssuer Weight Price CUSIP CouponRate MaturityDate Holdings ModifiedDurationFARM CREDIT CORP 2.52% 112.751 30766ZXM0 0.046 2021‐06‐01 99000 4.028503471GOVERNMENT OF CANADA 11.66% 147.459 135087XG4 0.0575 2033‐06‐01 350000 11.74469751LONDON ONTARIO 1.16% 102.628 541908BZ1 0.05875 2017‐08‐06 50000 0.582318961PROV OF ALBERTA 2.43% 107.507 013051CZ8 0.04 2019‐12‐01 100000 2.761651162PROV OF ALBERTA 5.16% 107.691 013051DL8 0.034 2023‐12‐01 212000 6.169894251PROV OF ALBERTA 2.33% 103.217 013051DG9 0.0255 2022‐12‐15 100000 5.510936647PROV OF BRITISH COLUMBIA 5.28% 129.856 110709EK4 0.057 2029‐06‐18 180000 9.409333562PROV OF BRITISH COLUMBIA 2.95% 130.753 110709FJ6 0.054 2035‐06‐18 100000 12.58570146PROV OF MANITOBA 3.38% 99.721 563469UE3 0.0245 2025‐06‐02 150000 7.549926609PROV OF MANITOBA 4.58% 135.144 56344ZCG2 0.063 2031‐03‐05 150000 9.976213563PROV OF NEW BRUNSWICK 2.35% 104.114 642869AF8 0.0285 2023‐06‐02 100000 5.849450204PROV OF NOVA SCOTIA 10.35% 130.954 669827FL6 0.058 2033‐06‐01 350000 11.34785295PROV OF ONTARIO 4.21% 109.582 683234UV8 0.0535 2019‐06‐02 170000 2.285185743PROV OF ONTARIO 6.04% 133.777 683234SL3 0.0585 2033‐03‐08 200000 11.16156478CADILLAC FAIRVIEW FIN TR 2.33% 103.097 12741RAC3 0.0364 2018‐05‐09 100000 1.321417536YORK REGION DIST SCH BRD 3.62% 112.943 987049AC7 0.053 2025‐06‐03 141784.84 6.863396043PROV OF SASKATCHEWAN 4.80% 106.129 803854JW9 0.032 2024‐06‐03 200000 6.60238477SHAW COMMUNICATIONS INC 0.40% 111.301 82028KAR2 0.055 2020‐12‐07 16000 3.557232986BANK OF MONTREAL 2.38% 105.337 06369ZAY0 0.0617 2023‐03‐28 100000 5.093870381BANK OF NOVA SCOTIA 2.38% 105.47 0641492L0 0.0327 2021‐01‐11 100000 3.726269167ROYAL BANK OF CANADA 3.20% 118.189 780085N93 0.0493 2025‐07‐16 120000 6.990587824GREAT WEST LIFECO INC 1.74% 109.826 39138CAG1 0.0465 2020‐08‐13 70000 3.303493159GE CAPITAL CANADA FUNDING CO 2.31% 102.431 36158ZBH8 0.0553 2017‐08‐17 100000 0.61222562INVESTORS GROUP INC 2.25% 124.471 46152HAB7 0.0665 2027‐12‐13 80000 8.120141072407 INTERNATIONAL INC 2.98% 131.722 35085ZAD8 0.0596 2035‐12‐03 100000 12.33169685

GREATER TORONTO AIRPORTS AUTH 2.37% 104.977 39191ZAT6 0.0526 2018‐04‐17 100000 1.248472995HYDRO ONE INC 2.40% 106.197 44810ZBF6 0.032 2022‐01‐13 100000 4.594602433TORONTO HYDRO CORP 2.43% 107.661 89119ZAD5 0.0354 2021‐11‐18 100000 4.482017574HYDRO ONE 2.22% 109.022 44810ZBA7 0.044 2020‐06‐01 90000 3.184111631

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

New RBC Platform

Going Forward

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Appendices US Equity

APPENDIX– U.S.Equity

US Equity Portfolio

Beginning Value (June 30, 2016)$ 3.295Million

TransactionsBUY: $ 346214.08SELL: $ 206997.6

Ending Value (September 30, 2016)$ 3.544 Million*

Rate of Return (Quarterly)5.04%

Active Return-0.14%

Total Holdings21

*Dividend includedAll value in CAD and based on U.S. Portfolio only

Company Sector ChangeQUALCOMM INC Technology 30.49%

Varian Medical Systems Health Care 22.48%Alphabet Technology 15.65%

WHOLE FOODS MARKET Staples ‐9.97%COCA‐COLA Staples ‐4.74%AT&T Telecom ‐3.84%

Biggest Movers (Q3)

Attribution Table (Q3)

*No positions in Materials sectors as of September 30, 2016All value adjusted for the contribution of Global Equity Portfolio in SIAS

*All values in CAD


Security Selection

Active Return

Discretionary ‐0.03% ‐0.26% ‐0.272%Consumer Staples 0.00% ‐0.35% ‐0.378%

Energy ‐0.02% 0.15% 0.106%Financials ‐0.46% ‐2.56% ‐1.380%Health Care 0.01% 0.80% 0.848%Industrials 0.16% ‐0.25% ‐0.245%Technology 0.45% 1.32% 2.152%Real Estate 0.01% 0.18% 0.083%Telecom ‐0.06% ‐0.04% ‐0.137%Utilities 0.10% 0.10% 0.101%

Total 0.158% ‐0.927% 0.878%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction


Market Performance(Q3)

SIAS Q3 Holdings

Sector Return Active Weight* Active Return*

Telecom ‐3.84% 1.76% 1.77%

Energy 9.90% ‐0.63% 7.27%

Staples ‐4.82% 0.34% ‐2.30%

Discretionary 0.61% ‐0.777% ‐2.98%

Industrials 0.16% 3.52% ‐4.50%

Real Estate 3.59% ‐1.07% 5.43%

Best Performer: CBRE Group

Worse Performer: Whole Food Market

Sector Return Active Weight* Active Return*Technology 17.01% 3.38% 3.38%

Best Performer: QUALCOMM INCWorst Performer: CISCO

Sector Return Active Weight* Active Return*Financials 5.86% ‐5.82% 0.72%

Financial Select Sector SPDRSector Return Active Weight* Active Return*

Health Care 8.02% 0.44% 5.99%Best Performer: Varian Medical Systems

Worst Performer: J&J

*Compared to each sector Index’ as of September 30,2016

IT27.78%

HealthCare15.67%

Industrials14.52%

ConsumerDiscretionary

11.14%

Staples9.90%

Telecom5.28%

Energy6.42%

Financials4.37%

RealEstate2.42%

SIAS Performance(Q3)

DIVERSIFIED SECTORS

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Holdings Sector Shares Price MarketValue(USD) Weight(%)HOMEDEPOTINC Discretionary 1250 $134.08 167,600 6.18MCDONALD'SCORP Discretionary 850 $121.72 103,462 3.82TARGETCORP Discretionary 600 $72.23 43,338 1.60COCA‐COLACO Staples 3600 $41.46 149,256 5.51WAL‐MARTSTORESINC Staples 800 $69.12 55,296 2.04WHOLEFOODSMARKETINC Staples 2000 $30.76 61,520 2.27ENERGYSELECTSECTORSPDR Energy 2450 $75.32 184,534 6.81FINANCIALSELECTSECTORSPDR Financials 6100 $23.25 141,825 5.23CBREGROUPINC RealEstate 1300 $31.49 40,937 1.51REALESTATESELECTSECTSPDR RealEstate 848 $30.75 26,076 0.96AMERISOURCEBERGENCORP HealthCare 1000 $78.19 78,190 2.88JOHNSON&JOHNSON HealthCare 1500 $115.21 172,815 6.37VARIANMEDICALSYSTEMSINC HealthCare 1650 $89.78 148,137 5.463MCO Industrials 1225 $178.57 218,748 8.07EMERSONELECTRICCO Industrials 500 $55.75 27,875 1.03GENERALELECTRICCO Industrials 5000 $31.60 158,000 5.83ALPHABETINC‐CLA Technology 100 $792.45 79,245 2.92ALPHABETINC‐CLC Technology 100 $771.82 77,182 2.85CISCOSYSTEMSINC Technology 5800 $30.22 175,276 6.47QUALCOMMINC Technology 2550 $65.20 166,260 6.13VISAINC‐CLASSASHARES Technology 2800 $78.02 218,456 8.06AT&TINC Telecom 3500 $42.53 148,855 5.49UTILITIESSELECTSECTORSPDR Utilities 1400 $48.57 67,998 2.51


*As of December 30, 2016

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Company Sector Ticker Action Quantity Fill Price Current Price

SCHLUMBERGERLTD ENERGY SLB SELL 2000 $78.41 $81.29*

ENERGYSELECTSECTORSPDR ENERGY XLEUS BUY 2450 $68.07 $72.68*

UTILITIESSELECTSECTORSPDR UTILITIES XLUUS BUY 1400 $48.85 $49.00*

REALESTATESELECTSECTSPDR REALESTATE XLREUS BUY 848 $32.24 $31.07*

*As of September 31, 2016All value in USD.

APPENDIX– U.S.EquityTRANSACTIONS(Q3)

UTILITIESSELECTSECTORSPDR:BUY• XLU represents our first position in Utilities.• Diversification• A slight favour for defensive sectors as outlined from top‐down approach• Attribution points for performance measurements• Fulfil IPS requirement of investing in at least 7 out of 10 GICS sectors

SCHLUMBERGER:Sell& ENERGYSELECTSECTORSPDR:BUY• Schlumberger, as stated in the previous report is the world's largest oilfield services provider and tends to behighly affected by oil prices in general.

• SLB is the only Energy holding in the 2Q portfolio, which was converted into an Energy ETF to provides betterdiversification.

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

APPENDIX– WholeFoodMarket(WFM)

Stock Performance Company Performance

Investment Risk

• RapidGrowthover2015,butdropandremainsluggishsince2016.

• Underperformmarketandpeers.

• Droppingrevenue,netincomeandprofitmarginsince2015impliesdecliningprofitability.

• Debtratioincreasedfrom35%to48%andremainsafter2015.

• Competitions:Increasedcompetitionfrommassmerchandisersandsupermarket.

• OperationRisks:Storesalesgrowthisdecliningandlowerthanhistoricalaveragecouldimpactoperatingresult.

• FinancialRisks:SubsequenttoFY15,WFMenteredintoa$500millionrevolvinglineofcreditextendsto2020.Mayincurfutureadditionaldebt.

‐20%

‐15%

‐10%

‐5%

0%

5%

10%

15%

S&P 500 INDEX S5CONS Index WFM EQUITY

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Proposals Policies

Trade• ProtectionismagainstChina• IncreasecooperationbetweentheUnitedStatesandRussia• tradeprotectionism

Taxes

• Createa15%flattaxonbusinesses• One‐timedeemedrepatriationofcorporatecashheldoverseasatadiscounted10%

taxrate• Reduceincometaxforlow‐income families• mandatea15%taxforoutsourcingjobsanda20%taxforimportinggoods• lowerthetaxratesoncapitalgains&dividends

Tech• CreateJointTaskForcesthroughouttheU.S.tocoordinateresponsestocyber

threats• Developtheoffensivecybercapabilities

Healthcare• Allowpeopletopurchaseinsuranceacrossstatelines• Maximizeflexibilityforstatesviablockgrants• createapatient‐centeredhealthcaresystem

Immigration

• BuildawallalongtheMexicanborder• TemporarilyhaltMuslimimmigration• Deportallillegalimmigrants• Endbirthrightcitizenship• RequirecompaniestohireAmericanworkersfirst

APPENDIX– TrumpPresidency

EffectonCanada

Trade Protectionism‐RenegotiatetheNorthAmericanFreeTradeAgreement(NAFTA)

KeystoneXL “Iwantitbuilt, butIwantapieceoftheprofits”

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Appendices Rest of the World

77

Global Equity PortfolioQ3





Total Holdings : 33

Appendix Q3 Performance Rest of the World

Biggest Movers

Attribution Table

Region Asset Allocation

Security Selection

Active Return

Asia Pacific 0.132% 0.608% 0.740%Europe 0.015% 0.040% 0.055%

Emerging Markets ‐0.078% 0.588% 0.510%North America ‐0.146% 0.982% 0.836%

Africa/Middle East ‐0.002% ‐0.002% ‐0.002%Total ‐0.079% 2.216% 2.139%

RoW ‐ ETF Region % ChangeHong Kong Asia Pacific 20.04%Germany Europe 15.31%Japan Asia Pacific 15.08%

South Korea Emerging Markets 12.97%

US ‐ Company Sector % ChangeFinancial Select Sector SPDR Financials 23.51%

CBRE Group Real Estate 14.87%

Varian Medical Systems Inc. Health Care ‐7.94%

Visa Inc. IT ‐3.52%

TransactionsSold :SCHLUMBERGER (Energy)


Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Q3 Performance Rest of the World ‐ Asia Pacific

‐5%

0%

5%

10%

15%

7/1/16AUSTRALIA HONG KONGSINGAPORE JAPAN

SIAS PerformanceRegion Performance


Singapore 3%

Japan 63%

Hong Kong 6%

Australia 17%

New Zealand 11%

Country ETF Return Active Weight* Active Return*

Japan 15.08% 0.42% 0.485%Australia 12.74% ‐0.23% .080%

Hong Kong 20.04% ‐0.31% 0.031%

Singapore 1.61% ‐0.17% ‐0.026%New Zealand 14.85% 1.66% 0.243%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Q3 Performance Rest of the World ‐ Europe

‐5%

0%

5%

10%

15%

7/1/16 7/31/16 8/30/16 9/29/16

EUROPE ALLINC UKGEOGRAPHICFOCUSFRANCE

GERMANY

SWITZERLAND

UNITEDKINGDOM



United Kingdom …

Germany 13%

Switzerla…

France 7%

Europe ETF 54%


France 10.06% ‐1.816% ‐0.076%Switzerland 6.22% ‐1.661% ‐0.048%

United Kingdom* 7.53% 9.837% 0.913%

Germany 15.35% ‐0.207% 0.098%

*UK + UK focus ETF

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

Q3 Performance – Emerging Markets

‐5%

0%

5%

10%

15%

7/1/16 7/31/16 8/30/16 9/29/16

INDIA SOUTH KOREA MSCI WORLD ETF



India 31%

South Korea 69%


India 5.952% 1.095% 0.065%

South Korea 12.975% 2.374% 0.308%

Compliance

Performance & Risk


Canadian Equity

Global Equity

Fixed Income

Appendices

Introduction

sias q3 q4 final 1502017 - beedie school of business...q4 16 sias portfolio beginning value...

Documents