performance review january 8, 2016 · q3 risk metrics summary ... • potash demand remains strong...

Performance ReviewJanuary 8, 2016

AgendaPresentation

Q&A

2

Introduction

Team Structure & Overview

Compliance

Performance & Risk Management

CME & Asset Allocation

Canadian Equity

Global Equity

Fixed Income Compliance

Daily MonitoringTrade Approval

RiskRisk Metrics

PerformancePeriodic ReportingAttribution Analysis

Number of Holdings: 34 Portfolio Weight: 31.77% Benchmark Weight: 35% Benchmark: S&P TSX

Capped Composite Total Return Index

Global EquityGlobal Equity

Fixed IncomeFixed IncomePerformance, Compliance

and Risk

Performance, Compliance

and Risk

Canadian Equity

Canadian Equity

Total Assets: $14.93MQ3 SIAS Abs. Return: ‐1.58%Q3 SIAS Active Return: 1.79% Q3 Benchmark Return: ‐3.37%

SIAS Overview

Number of Holdings: 33 Portfolio Weight:38.19%

Benchmark Weight: 35%

Benchmark: MSCI World

*As of September 30th, 20153

Approach: Top‐Down Number of Holdings: 28 Portfolio Weight: 26.39% Benchmark Weight: 28% Benchmark: DEX Universe

Introduction

Compliance

Performance and Risk

CME

Asset Allocation

Canadian Equity

Global Equity

Fixed Income

Compliance Matrix

4

Introduction


Compliance

Performance & Risk Management


Canadian Equity

Global Equity

Fixed Income


Presented byZhuo Li

Risk Analyst

5

‐1.58% ‐3.37%

Portfolio OverviewFund Size: 14.92 Million CAD | Inception Date: Dec 2003 | as of Sept. 30, 2015

Absolute Return

Total Assets (CAD)

CME

AssetAllocation

Q3 Beginning Q3 Ending

$15.2 M $14.9 M

1.79%Active Return

6

SIAS Q3 Return Benchmark Q3 Return

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Q3 Risk Metrics SummaryCanadian Equity

Global Equity

Fixed Income SIAS Fund

Active Weight ‐1.68% 2.66% ‐1.85% 0%

Active Return Portfolio 3.87% ‐0.39% ‐0.19% 1.79%

VolatilityPortfolio 9.06% 10.74% 2.13% 6.53%

Benchmark 9.74% 11.93% 2.57% 6.94%

Sharpe Ratio

Portfolio ‐0.45 ‐0.12 0 ‐0.26

Benchmark ‐0.82 ‐0.07 0.07 ‐0.50

TrackingError Portfolio 2.39% 5.19% 1.34% 2.25%

Information Ratio 1.62 ‐0.08 ‐0.14 0.79

7

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

IPS Risk Metrics Objectives

Category IPS Objective SIAS Performance Expectation Achieved

Absolute Return(CPI+4.5% per year)

5.75% 9% Yes

CE Active Return 1.40% 4.66% Yes

GE Active Return 0.29% 18.13% Yes

FI Active Return 0.10% ‐0.48% No

* Objective from SIAS IPS (2014 version) 8

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Historical Performance

2008 2009 2010 2011 2012 2013 2014 YTD

SIAS Return ‐19.80% 19.30% 9.90% 0.80% 8.20% 15.88% 10.97% 1.53%

Benchmark Return ‐20.00% 18.20% 10.40% ‐1.40% 8.50% 14.31% 11.52% 0.77%

2008

9

‐25.00%

‐20.00%

‐15.00%

‐10.00%

‐5.00%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

2009 2010 2011 2012 2013 2014 YTD

SIAS Benchmark

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

SIAS Q3 Portfolio Attribution

SIAS Asset Class Asset Allocation Selection Value Added

CE 15bps 180bps 195bps

GE ‐2bps ‐7bps ‐9bps

Fixed Income ‐1bps ‐6bps ‐7bps

Cash 0bps 0bps 0bps

Total 12bps 167bps 179bps

10*These number are quarterly calculated.

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Asset Allocation andCapital Market Expectations

Presented byVishal Bane

Chief Investment Officer

11

12

Market Update Q3• China throws markets into confusion• Global equity markets turn negative for the year

• Canadian Economy showed continued weakness.• North American bond yields remain low

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

13

Canadian MarketCanadian Fixed Income• Flat returns for Canadian Bonds as the BOC further reduced

interest rates. Canadian Equity• Impact of low oil prices continues to be a burden.

• BOC lowered the overnight rate from 0.75% to 0.50% • Economy’s return to full capacity could be delayed until first

half 2017.

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

14

American/Global Market

US• Rate hike postponed amid global uncertainty.• Improving economic growth and labour market conditions

provide further support for the U.S. Federal Reserve (Fed) to increase rates possibly in the fourth quarter.

• Potential of a strong dollar will continue to be a headwind for US corporate earnings

Global/Emerging• In Europe, the ECB’s QE program is expected to improve

liquidity• Large part of the EMs are in a downturn – Brazil, Russia,

Indonesia.• A potential rate hike could be negative for EMs currencies• Bias towards Developed market equities

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

15

Asset Allocation• Our asset allocation is unchanged for Q4.

• We are maintaining our recommendation to overweight Equities relative to Fixed Income with a bias towards Global Equity

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Canadian Equity

Presented bySalvatore MoustakasCanadian Equity PM

16

Introduction

Compliance

CME

Asset Allocation

Canadian Equity

Global Equity

Fixed Income


Canadian EquityPortfolio Overview (as of September 30, 2015, # of holdings: 33)

Sector Allocation (%)

‐8

‐6

‐4

‐2

0

2

4

June July August September

Total Return Over 3 Months

17

Q3 Transaction History

Consumer Discretionary

9.70%Consumer Staples

5.36%

Energy 15.27%

Financials 39.09%

Industrial 6.66%

IT 2.61%

Materials 10.24%

Telecom 7.59%Utility 3.49%

Security Sector Type SharesNational Bank of Canada Financials Sell 2000Bank of Nova Scotia Financials Sell 3200Encana Corp Energy Sell 3300Saputo Inc Consumer Staples Sell 4000EXCO Technologies LTD Materials Buy 6000CGI Group Inc. IT Buy 2500

Introduction

Compliance

CME

Asset Allocation

Canadian Equity

Global Equity

Fixed Income


Sector Asset Allocation Selection Value Added

Financials 24 bps 23 bps 47 bps

Energy 34 bps 90 bps 125 bps

Materials ‐4 bps ‐50 bps ‐54 bps

Diversified* ‐8 bps 277 bps 269 bps

Total 46 bps 340 bps 387 bps

Canadian EquityQ3 Portfolio Attribution

18

* Major sources of value added within Diversified sectors• Health Care 88 bps• Consumer Discretionary 72 bps• Utilities 89 bps

Introduction

Compliance

CME

Asset Allocation

Canadian Equity

Global Equity

Fixed Income


Canadian Equity

Financials Q3 Performance

19

Financials Q4 Expectation – Overweight

1. Canadian interest rate lowered unexpectedly in July. Economy not strong enough to support rate hike.

2. Strategy to sell Banks that have a large exposure to downside risk, possible investment in Insurance and Diversified Financial Services.

3. Analyze holdings in REIT, possible sell.

Security ReturnONEX CORP 11.46%CANADIAN IMPERIAL BK OF COMM 4.14%SLATE OFFICE REIT 3.45%SUN LIFE FINANCIAL INC 3.21%TORONTO‐DOMINION BANK ‐0.83%BROOKFIELD RENEWABLE ENERGY ‐1.16%ROYAL BANK OF CANADA ‐3.39%CANADIAN REIT ‐3.49%BROOKFIELD ASSET MGMT INC ‐3.78%BANK OF NOVA SCOTIA ‐8.75%NATIONAL BANK OF CANADA ‐9.21%GREAT WEST LIFECO INC ‐12.07%IGM FINANCIAL INC ‐14.88%

Introduction

Compliance

CME

Asset Allocation

Canadian Equity

Global Equity

Fixed Income


Canadian Equity

20

Energy Q3 Performance

Energy Q4 Expectation – Underweight

• Weak economy and Iran sanction drive higher supply‐demand imbalance and put downward pressure on oil price

• Potential US interest rate hike would lower solvency of energy companies but may benefit profit margin (Low CAD vs USD benefit)

Sector Valuation• 10‐year historical P/E ratio of 20, energy sector is overvalued at 70• Continue to sell overvalued companies

Portfolio vs Benchmark

Security Return

SUNCOR ENERGY INC 3.75%

CENOVUS ENERGY INC 1.35%

HUSKY ENERGY INC ‐12.89%

TRANSCANADA CORP ‐16.86%

ARC RESOURCES LTD ‐17.57%

CANADIAN NATURAL RESOURCES LTD ‐23.33%

Introduction

Compliance

CME

Asset Allocation

Canadian Equity

Global Equity

Fixed Income


Canadian Equity

21

Materials Q3 Performance

* Price decline due to key lumber prices falling to levels not seen since early 2012** Price decline due to oil and copper price decline on uncertain China demand.

Materials Q4 Expectation – Slight Overweight• Gold price ‐ drop because due to potential of US Fed rate hike • Base metal prices ‐ remain depressed due to slowdown in Chinese construction• Uranium positive from increasing nuclear power capacity in Japan, China and Russia• Potash demand remains strong from demand in China, N. America, Latin America• Lumber markets face softer demand in China and increase in demand in US market

Security ReturnCAMECO CORP ‐8.95%GOLDCORP INC ‐17.46%SILVER WHEATON CORP ‐25.91%POTASH CORP OF SASKATCHEWAN ‐29.08%CANFOR CORPORATION * ‐41.51%TECK RESOURCES LTD ** ‐48.55%

Introduction

Compliance

CME

Asset Allocation

Canadian Equity

Global Equity

Fixed Income


Active Sectors in the Canadian Equity PortfolioRelative to the benchmark S&P TSX (September 30, 2015)

* No positions in sector as of September 30th, 2015.

Sector Current active position Action Plan

Financials 2.49%

Energy ‐3.49%

Materials 1.04%

Consumer Discretionary 2.52%

Consumer Staples 0.96%

Information Technology ‐0.24%

Healthcare* ‐4.92%

Telecommunications 2.12%

Utilities 1.22%

Industrials ‐1.69%

22

Global Equity: Rest of World Equity

Presented bySavva Cherdantsev

Jessie YuRest of World Equity Analysts

23

2015 Q3 RoW Equity TradesTransaction Info:

Holding: iShares MSCI

France ETF

Action: BUY

Date: 07/06/2015

Number of Shares: 3000

Transaction Price: $ 24.95

Resulting Weight: 1.6 %

Economic Reasons:

• In 2014 slowing growth, deflation threats and double‐

digit unemployment

• QE Program, increasing growth forecast , lower

unemployment

• Positive signs of GDP components: Consumption and

Government Spending increased faster YoY

• Lower than Expected Budget Deficit

• Environment of low oil prices

Future Perspectives:

• Geopolitical Risks

• Increased Defense Spending

• Further Decreasing of Unemployment

• ECB Policy

Major Indicators France Euro ZoneGDP Growth 0.6% 0.3%Inflation Rate 0.1% -0.1%

Unemployment Rate

10.3% 11.3%

P/E ratio 24.28 19.79earning yield 3.10% 1.69%

212223242526272829

iShares MSCI France ETF <BUY> $ 24.95 <CLOSE>$ 24.07

24

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Global Equity Q3 Portfolio Attribution

Asia Pacific Emerging Market Europe North America TotalPure Asset Allocation ‐0.04% ‐0.19% 0.01% ‐0.01% ‐0.24%

Sector Selection ‐0.48% 0.16% ‐0.44% 0.61% ‐0.15%

Value Added ‐0.52% ‐0.04% ‐0.43% 0.60% ‐0.39%

‐0.60%

‐0.40%

‐0.20%

0.00%

0.20%

0.40%

0.60%

0.80%

Pure Asset Allocation Sector Selection Value Added

Region Active Weight Active ReturnAsia Pacific 168 bps ‐317 bps

Emerging Market 284 bps 459 bpsEurope ‐255 bps ‐186 bps

North America ‐195 bps 106 bps

25

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

2015 Q4 SIAS Global Equity Sector Expectation: Asia Pacific

Q3 Performance (iShares index)• Best Performer: Japan (‐11.76%)• Worst Performer: Singapore (‐19.49%)

Q4 Outlook and Expectation

• Japan recorded two negative quarters in a row

• Focus of downside risks in Australia swings to housing

CY 2009 CY 2010 CY 2011 CY 2012 CY 2013 CY 2014 CY 2015 Current CY 2016 Est CY 2017 Est

Nikkei 225 20.08 18.42 22.09 20.73 22.12 20.08 19.83 19.14 17.69 16.02

S&P/TSX Australia 52.41 16.55 13.50 19.14 20.24 20.63 19.07 18.67 15.85 14.46

STI Index 13.93 10.46 8.75 12.71 13.50 14.93 13.33 13.11 12.06 11.23

HSI Index 15.86 12.75 9.00 11.15 11.01 9.62 9.68 9.36 10.38 9.42

Country ETF Q3 Performance

Japan iShares MSCI Japan ETF ‐11.76%

Australia iShares MSCI Australia ETF ‐15.34%

Hong Kong iShares MSCI Hong Kong ETF ‐16.3%

Singapore iShares MSCI Singapore ETF ‐19.49%

New Zealand iShares MSCI New Zealand Capped ETF ‐7.51%

PE Ratio Data

26

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

2015 Q4 Global Equity Sector Expectation: Europe

Q3 Performance( iShares index)

• Best Performer: France (‐6.55%)

• Worst Performer: Germany (‐10.99%)


• Substantial improvements in France and Switzerland

• German Labour Market underpins

• Export growth is expected to slow down


EURO SX5E Index 15.25 11.26 13.31 16.18 22.01 18.95 21.44 20.85 13.35 11.97

CAC 40 20.59 12.03 10.90 16.01 24.00 21.77 21.26 20.80 13.99 12.57

Swiss Market Index 18.20 14.12 15.54 17.59 18.37 18.83 18.24 18.00 16.26 14.78

FTSE 100 17.55 14.19 10.96 18.35 16.96 22.45 27.92 27.45 15.00 13.07DAX 21.03 12.64 10.95 15.36 18.26 16.57 22.76 21.84 12.59 11.39


France iShares MSCI France ETF -6.55%

Switzerland iShares MSCI Switzerland Capped ETF -7.45%

United Kingdom iShares MSCI United Kingdom ETF -10.15%

Germany iShares MSCI Germany ETF -10.99%

Netherlands iShares MSCI Netherlands ETF -8.84%

Sweden iShares MSCI Sweden ETF -8.96%

Spain iShares MSCI Spain Capped ETF -11.15%

PE Ratio Data

0.85

0.9

0.95

1

1.05

1.1

01/07/2015 01/08/2015 01/09/2015

Europe ETFs Q3

iShares UK iShares Germany

iShares Switzerland iShares France

27

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

2015 Q4 SIAS Global Equity Sector Expectation: Emerging Markets

Q3 Performance( iShares index)

• Best Performer: India (‐6.89%)

• Worst Performer: South Korea (‐11.64%)


• For India, the Q3 GDP growth rate expanded 7.4% compared to 7.1% in Q2

• South Korea’s export shranked

• Emerging market economies are expected to reach their tough this year and to start recovering in 2016


SENSEX Index 24.08 20.41 14.79 16.74 16.69 19.39 19.84 19.43 17.56 14.69

KOSPI Index 15.78 11.17 12.60 20.11 15.19 14.53 14.18 13.96 10.68 9.67


India iShares MSCI India ETF ‐6.89%Russia iShares Russia ETF ‐13.64%

South Africa iShares MSCI South Africa ETF ‐18.77%

China iShares MSCI China ETF ‐22.85%Brazil iShares Brazil ETF ‐33.45%


South Korea iShares MSCI South Korea Capped ETF -11.64%

Thailand iShares MSCI Thailand Capped ETF -16.82%

Taiwan iShares MSCI Taiwan ETF -17.01%

Malaysia iShares MSCI Malaysia ETF -18.26%

Indonesia iShares MSCI Indonesia ETF -24.95%

0.75

0.95

1.15

01/07/2015 01/08/2015 01/09/2015

Emerging Market ETFs Q3

iShares India iShares South Korea

PE Ratio Data

28

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Active position summary

Sector Current active position Action PlanEmerging Market 2.84%

Asia Pacific 1.68%

Europe ‐2.55%

North America ‐1.95%

29

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Global Equity: US Equity

Presented byNigel Nguyen

US Equity Portfolio Manager

30

Q3 Performance

‐12%

‐10%

‐8%

‐6%

‐4%

‐2%

0%

2%

4%

July 1 July 31 August 30 September 2

US Porfolio vs S&P 500 % Change in Value

US Portfolio S&P 500

‐20%

‐10%

0%

10%

20%

30%

SPX S5ENRS S5HLTH S5COND S5FINL S5INFT S5INDU S5UTIL S5CONS S5MART S5TELS

Sector Volatility & Return

Volatility Return 31

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

‐70% ‐60% ‐50% ‐40% ‐30% ‐20% ‐10% 0% 10% 20% 30%

JOY

SLB

QCOM

MCD

GOOG

Top/Bottom Holdings Returns (Q3)

Q3 Performance

*Relative to the S&P 500

Sector Asset Allocation Selection Value Added

Financials 1 bps 37 bps 38 bps

Energy 45 bps 51 bps 96 bps

IT ‐21 bps 97 bps 76 bps

Diversified* 59 bps ‐365 bps ‐306 bps

Total 83 bps ‐180 bps ‐97 bps

32

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Market Pricing and Allocation

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

1.8

11/10 5/11 11/11 5/12 11/12 5/13 11/13 5/14 11/14 5/15 11/15

Sector P/E Relative to SPX

SPX Index S5ENRS Index S5INDU Index S5FINL Index

CY 2009 CY 2010 CY 2011 CY 2012 CY 2013 CY 2014 Current CY 2015 Est

CY 2016 Est 10-year Average

SPX 19.14 15.42 13.44 14.36 17.46 18.26 17.97 17.03 15.64 16.7Energy 18.58 14.85 11.20 11.93 15.23 14.14 19.79 25.14 25.45 13.4Industrials 18.05 17 14.04 14.49 18.87 18.23 15.97 15.97 15.16 16.4Financials 35.05 14.45 12.2 11.77 13.96 15.39 14.31 14.1 13.01 16.1Healthcare 12.99 11.99 12.22 14.76 20.01 22.99 21.44 16.88 15.4 16.6C. Staples 14.86 15.64 16.03 16.27 18.46 20.6 20.31 20.56 19.02 17.7C. Discretionary 18.26 17.07 13.28 17.73 20.83 20.95 21.17 19.95 17.4 21.1IT 22.53 15.69 13.36 14.44 17.93 18.7 18.84 16.87 15.16 18.6Telecom 15.92 16.92 16.91 20.18 16.55 14.76 13.22 12.28 11.99 16.3Materials 26.93 19.24 13.09 16.33 18.92 18.4 16.35 16.74 14.85 17.0Utilities 12.86 12.23 13.81 14.38 16.32 18.3 15.37 15.3 14.78 15.1

33

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Q4 Portfolio Strategy

1. Energy & IndustrialsDiversify energy holdings. Look into alternative/clean energy companies.Sell Joy Global Inc due to deteriorating performance & fundamentals.2. Consumer Staples & DiscretionaryMaintain neutral weights in Staples & Discretionary.Monitor performance & identify weightage opportunities.3. Financials & HealthcareDiversify financial holdings. Look into banks & insurance companies. Reduce position in the ETF (XLF) to create allocation space for other stocks.Maintain holdings in healthcare and explore new opportunities to bring Healthcare to neutral weight.4. IT & TelecomMaintain overweight position in IT and neutral in Telecom.Explore new investment opportunities in IT.5. Materials & UtilitiesMaintain zero weight positions.

34

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Sector Current active position* Action Plan

Financials ‐1.3%

Energy ‐1.3%

Industrials 5.9%

Consumer Discretionary 1.1%

Consumer Staples 0.7%

Information Technology 2.9%

Healthcare ‐4.1%

Telecom 2.2%

Utilities ‐

Materials ‐

Q4 Summarized Action Plan

* Relative to the S&P 500, as of September 30, 201535

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Appendix: Current HoldingsSector Company Shares Base MV Local MV Holding %

Consumer Discretionary HOME DEPOT INC/THE 1250 193547 144363 5.9%Consumer Discretionary MCDONALD'S CORP 1600 211359 157648 6.4%Consumer Discretionary TARGET CORP 600 63275 47196 1.9%Consumper Staples COCA‐COLA CO/THE 3600 193640 144432 5.9%Consumper Staples WAL‐MART STORES INC 800 69545 51872 2.1%Consumper Staples WHOLE FOODS MARKET INC 2000 84866 63300 2.6%Energy SCHLUMBERGER LTD 2000 184936 137940 5.6%Financials CBRE GROUP INC 1300 55773 41600 1.7%Financials FINANCIAL SELECT SECTOR SPDR 6100 185319 138226 5.6%Financials VISA INC 2800 261501 195048 7.9%Healthcare JOHNSON & JOHNSON 1500 187732 140025 5.7%Healthcare VARIAN MEDICAL SYSTEMS INC 1650 163213 121737 4.9%Industrials 3M CO 1225 232837 173668 7.0%Industrials EMERSON ELECTRIC CO 1800 106593 79506 3.2%Industrials GENERAL ELECTRIC CO 5000 169062 126100 5.1%Industrials JOY GLOBAL INC 1000 20016 14930 0.6%Information Technology ALPHABET INC 100 85586 63837 2.6%Information Technology ALPHABET INC 100 81571 60842 2.5%Information Technology CISCO SYSTEMS INC 5800 204121 152250 6.2%Information Technology MENTOR GRAPHICS CORP 6500 214639 160095 6.5%Information Technology QUALCOMM INC 2550 183691 137012 5.6%Telecom AT&T INC 3500 152880 114030 4.6%

36

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Fixed Income

Presented byKun Zhang

Fixed Income Analyst

37

Q3 transactionIntroduction

Compliance

Canadian Equity

Global Equity

Fixed Income


CME

Asset Allocation

38

Holding Action PrincipalPayment

Maturity Date Trade Date Price of Bond on Trade Date

Percentage of FI Portfolio on Trade Date

CouponRate

Province of Saskatchewan

Buy $35,000 03‐JUN‐2024 27‐AUG‐2015 $108.73 0.95% 3.20%

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Fixed Income AttributionIntroduction

Compliance

Canadian Equity

Global Equity

Fixed Income


CME

Asset Allocation

39

9/30/2015 SIASUniverse

BMRelative CTD

Easy to observe yield changes

Estimated Performance

Impact

Nominal Duration

Short‐term 0.59 1.25 ‐0.66 ‐0.07 ‐0.05

Mid‐term 3.29 1.63 1.66 0.18 ‐0.30

Long‐term 2.75 4.59 ‐1.85 0.10 0.19

Quasi 4.46 3.23 1.23 0.06 ‐0.07

Corp 1.80 1.76 0.04 0.17 ‐0.01Quarterly Yield Advantage 0.06 0.06

Estimated Model Performance ‐0.17

Actual Performance ‐0.19Error ‐0.02

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

2015 Q3 : Canadian Yield Curve Introduction

Compliance

Canadian Equity

Global Equity

Fixed Income


CME

Asset Allocation

40

14 15

11

‐3

‐7

‐11

2

11

18

26

29

25

10 11

‐15

‐10

‐5

0

5

10

15

20

25

30

35

0.00

0.50

1.00

1.50

2.00

2.50

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

Canadian Yield Curve 2015 Q3

Change (bps) 30/06/2015 30/09/2015

Yield (%) Change (bp)

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Introduction

Compliance

CME

Asset Allocation

Canadian Equity

Global Equity

Fixed Income


Fixed IncomeQ4 Strategy

41

• Keep duration neutral (Current duration relative to benchmark= ‐0.66) increase portfolio duration to match with index by buying mid‐term or long‐term bonds

• Prefer Provincial ‐ earn extra spreads over federal bonds and better risk‐adjusted return over corporates

• Four provincial bond candidates: BC, Alberta, Quebec and Ontario

• Buying opportunity is Alberta (See explanation in later slides)

• Reduce duration in the provincial bucket – while picking up extra credit spreads

• Prefer Mid‐Term: Mid‐term bucket more attractive because of higher yield curve roll down

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Introduction

Compliance

CME

Asset Allocation

Canadian Equity

Global Equity

Fixed Income


42

0.00%

10.00%

20.00%

30.00%

40.00%

50.00%

60.00%

70.00%

QUE. ONT. ALTA. B.C.

DBRS‐adjusted Debt‐to‐GDP

‐2.50%‐2.00%‐1.50%‐1.00%‐0.50%0.00%


DBRS‐adjusted Surplus/(Deficit)‐to‐GDP

0.00%2.00%4.00%6.00%8.00%10.00%12.00%14.00%16.00%


Debt Servicing as % of Revenues

Trade Recommendation – Province of Alberta

Source: DBRS

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%


Federal Transfers‐to‐Total Revenue

• Despite recent challenges stemming from low oil prices and a credit rating downgrade by S&P from AAA to AA+

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Leadership Team: Administration

Presented byMiri Park

Chief Executive Officer

43

Changes/Improvements

• CIO/CEO role separation– CIO: Asset Allocation and Capital Market Expectation– CEO: communication with client, faculty and the industry professionals

• US/Canada Equity teams combined

• Performance Evaluation‐ individual performance and team contribution• Sell Discipline

– Clear cue of when to sell our securities– Will set both target selling price and stop loss prices – Expectation to complete the process by Q22016

• Social Responsible Investing (SRI)– Seek to consider both financial return and social good– Promote environmental stewardship, consumer protection, human right, diversity– Avoid alcohol, tobacco, gambling, weapons – Expectation to complete the guideline by Q22016

45

Introduction

Team Structure and Overview

Compliance



Canadian Equity

Global Equity

Fixed Income

SFU Treasury

CEOMiri Park

Trade

An Hoang

Compliance

Sukhmanjot

RiskDmitrii

Desiatkov

Fixed IncomeAi Zhang

Rest of the worldMahadFarrukh

USNigel

Nguyen

Materials/Staples

Joanna JiangAngel Wang

Discretionary/TelecomSichang LuoAndrew TanAngel Feng

Industrials/Healthcare

Lu YuHarsh Singh

Energy/Utilities

Samir HazimeTravis ZhouShirly Zhang

Financial/ITPranit

ChowhanMingqi LiAn Hoang

CIOVishal Bane

Current team structure

Canada

Salvatore M

44

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Current Initiatives

• Equity Analysts support– From senior managers and supervising professors– Scheduled meetings

• Guest Speakers– Industry professionals/ past students– For specific teams and for general

46

Introduction


Compliance



Canadian Equity

Global Equity

Fixed Income

Learning Opportunities

Thank You

47

performance review january 8, 2016 · q3 risk metrics summary ... • potash demand remains strong...

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