utam 2018 annual report and performance review · efip $2.0 $2.2 total $9.9 $10.0 utam 2018 annual...

Daren M. Smith, CFA

President and Chief Investment Officer, UTAM

April 23, 2019

UTAM 2018 ANNUAL REPORT

AND

PERFORMANCE REVIEW

Presentation to Business Board

Annual Report

• Theme: Highlighting the “building blocks” that we

use in our management of the university’s

assets.

• Continued focus on our processes and

responsible investing activities.

UTAM 2018 Annual Report 2

Portfolio Market ValuesAt December 31 in $Billions

2017 2018

LTCAP $2.9 $2.8

Pension $5.0 $4.9

EFIP $2.0 $2.2

Total $9.9 $10.0


Performance: LTCAP, Pension and EFIPPeriods ending Dec 31, 2018

Note: Returns in this presentation are annualized and are net of

all investment fees and expenses, including UTAM costs.

1 Year 5 Years 10 Years

LTCAP -1.5% 7.6% 7.9%

Pension -1.6% 7.5% 7.8%

EFIP 2.1% 1.7% 1.7%

4UTAM 2018 Annual Report

Performance Evaluation

1. Did the returns meet the university’s target

return?

2. Did UTAM’s active management approach add

or detract value?


Performance: Actual vs TargetPeriods ending Dec 31, 2018


Actual Portfolio Returns

LTCAP -1.5% 7.6% 7.9%

Pension -1.6% 7.5% 7.8%

EFIP 2.1% 1.7% 1.7%

University Target Returns

LTCAP & Pension: CPI + 4% 6.0% 5.7% 5.7%

EFIP: 365 day T-bill + 0.5% 2.3% 1.4% 1.6%

Actual minus Target

LTCAP -7.5% 1.9% 2.2%

Pension -7.5% 1.8% 2.1%

EFIP -0.2% 0.3% 0.1%


Performance: Reference vs TargetPeriods ending Dec 31, 2018


Reference Portfolio Returns

LTCAP -2.3% 5.7% 6.7%

Pension -2.3% 5.7% 6.7%

University Target Returns

LTCAP & Pension: CPI + 4% 6.0% 5.7% 5.7%

Reference minus Target

LTCAP -8.3% 0.0% 1.0%

Pension -8.3% 0.0% 1.0%


Performance: Actual vs ReferencePeriods ending Dec 31, 2018


Actual Portfolio Returns

LTCAP -1.5% 7.6% 7.9%

Pension -1.6% 7.5% 7.8%

Reference Portfolio Returns

LTCAP -2.3% 5.7% 6.7%

Pension -2.3% 5.7% 6.7%

Actual minus Reference (UTAM value-add)

LTCAP 0.8% 1.9% 1.2%

Pension 0.7% 1.8% 1.1%



UTAM Value Add (%)

LTCAP 0.8% 1.9% 1.2%

Pension 0.7% 1.8% 1.1%

UTAM Value Added ($ millions)

LTCAP 23.1 217.2 265.3

Pension 35.7 336.6 403.3

LTCAP + Pension 58.8 553.8 668.5

Performance: UTAM Value Added in DollarsPeriods ending Dec 31, 2018


Asset Allocation and LimitsDecember 31, 2018

10Investment Performance and Risk Dashboard – Fiscal Year 2018

Reference Actual Outside ----- Bands -----

Portfolio Portfolio Band? Min. Max.

Equity:

Canadian 10.0 10.3 N 5.0 15.0

US 20.0 20.1 N 15.0 25.0

Europe, Australia, Far East 15.0 15.1 N 10.0 20.0

Emerging Markets 10.0 9.8 N 5.0 15.0

Global 5.0 5.0 N 0.0 10.0

Total Equity 60.0 60.4 N 50.0 70.0

Fixed Income:

Credit (Corporate Credit) 20.0 19.8 N 10.0 30.0

Rates (Government Bonds) 20.0 11.8 N 10.0 30.0

Total Fixed Income 40.0 31.6 N 25.0 50.0

Other:

Absolute Return 8.1

Cash 0.0

Total Other 0.0 8.0 N 0.0 15.0

Total: 100.0 100.0

Currency Exposure: 32.4 32.4 N 25.0 40.0

Active Risk: Actual Risk minus Reference RiskDecember 31, 2018


Active Risk Zone Active Risk

Normal −0.50% ≤ 𝐴𝑐𝑡𝑖𝑣𝑒 𝑅𝑖𝑠𝑘 ≤ 1.50%

Watch 1.50% < 𝐴𝑐𝑡𝑖𝑣𝑒 𝑅𝑖𝑠𝑘 ≤ 1.75%

Alert 𝐴𝑐𝑡𝑖𝑣𝑒 𝑅𝑖𝑠𝑘 > 1.75%

Risk (Volatility %)

LTCAP (A) 8.3

Pension (B) 8.2

Reference Portfolio (C) 7.3

LTCAP Active Risk (A – C) 1% or 96 bps

Pension Active Risk (B – C) 0.9% or 95 bps

Responsible Investing

1. Continuing to enhance our processes

2. Assuming leadership roles

3. Published the carbon footprints of the Pension

and LTCAP equity portfolios

4. Received our first Principles for Responsible

Investing (PRI) scorecard


utam 2018 annual report and performance review · efip $2.0 $2.2 total $9.9 $10.0 utam 2018 annual...

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