Performance Review May 26th, 2017 · 2017-08-16 · (Mar 31st, 2016) Ending Value CAD$17.3 Million...

Performance Review May 26th, 2017

Presentation

Q&A

Feedback

Reception

Agenda

Compliance and Performance Review

Presented by

Victoria Zhang

Chief Compliance Officer

Canadian Equity34.6%

Global Equity37.1%

Fixed Income24.8%

Cash3.5%

No. of Holdings: 36Benchmark: MSCI WorldBenchmark Weight: 35%

No. of Holdings: 35Benchmark: S&P TSXCapped CompositeTotal Return IndexBenchmark Weight: 35%

Approach: Top-DownNo. of Holdings: 31

Benchmark: FTSE TMXCanada Universe Bond Index

Benchmark Weight: 28%

Benchmark: FTSE TMXCanada 91 Day T-bill IndexBenchmark Weight: 2%

Performance,Compliance,

and Risk- Monitoring- Trade Approval- Risk Metrics- Performance- Periodic Reporting- Attribution Analysis

*Total Assets: $17.3M as of March 31st, 2017

Other

Introduction

SIAS | Compliance Review

4

SIAS Portfolio Weight

Benchmark Weight

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

5

SIAS | Compliance Review

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Portfolio IPS 2014 Compliance Check IPS 2017 Compliance Check

Canadian Equity ü ü

Global Equity ü û

Fixed Income ü ü

*Compliance check: as of March 31st, 2017

Highlights

6

2017 IPS Update

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

IPS 2014 Compliance Check IPS 2017 Compliance Check

Global Equity

• Active Management• Single holding

maximum weight (5/10)• Minimum holdings: 20

• Semi-active Management• Single holding

maximum weight (BM+2/5)• Maximum holdings: 35

Fixed Income • Largest allowable positions in lower-grade bonds (1A)

• Largest allowable positions in lower-grade bonds (3A)

ESG • No Requirement • Integrate ESG into investment decision process

SIAS 2017 Q1 Beginning Value

CAD$ 16.7 Million(Dec 30th, 2016)

Ending Value

CAD$ 17.3 Million(March 31st, 2017)

Return

CAD$ 0.6 Million

3.35%

Sharpe Ratio

1.1

Tracking Error

0.5%

SIAS|Q1 Performance Review

7

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

30-D

ec

6-Ja

n

13-J

an

20-J

an

27-J

an

3-Fe

b

10-F

eb

17-F

eb

24-F

eb

3-M

ar

10-M

ar

17-M

ar

24-M

ar

31-M

ar

SIAS Return 3.35%

Benchmark Return 3.07%

-1.0% -0.8% -0.6% -0.4% -0.2% 0.0% 0.2% 0.4% 0.6%

Active ReturnActive Return: 0.28%

SIAS|Q1 Attribution

Portfolio Attribution

0.01%

0.27%

Sector Allocation

AssetAllocation

0.05%

0.06%

0.17%

Canadian Equity

Fixed Income

Global Equity

Source of Active Return by Sector

8

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

-1.0% -0.8% -0.6% -0.4% -0.2% 0.0% 0.2% 0.4% 0.6%

Active Return: 0.28%

SIAS|Q1 Risk Metrics

SIAS Portfolio Data

Benchmark Data

BM, 0.53

BM, 0.71

BM, 0.45

BM, 1.07

CE, 0.51 GE, 0.54

FI, 0.83

SIAS, 1.30Volatility (%) BM, 1.98

BM, 1.07

BM, 0.31

BM, 1.49

CE, 1.96

GE, 0.73

FI, -0.23

SIAS, 1.08

Sharpe Ratio

9

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Portfolio Tracking Error (%) Information Ratio

SIAS 0.5 0.5

Canadian Equity 0.5 0.6

Global Equity 0.9 0.2

Fixed Income 0.7 -0.1

10

SIAS 10.63% Benchmark 12.95%

Trailing 12 months Cumulative Return

Beginning Value (March 31, 2016)

$ 15.8 Million

Ending Value (March 31, 2017)

$ 17.3 Million

Annual Rate of Return

10.63%

Value added

$ 1.5 Million

SIAS Portfolio

SIAS|Trailing 12 Months Return Review

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


Active Return Objective

Absolute Return Objective

1.40%

0.20%

0.10%

-7.44%

-1.69%

-1.90%

IPS Objective SIAS Over/Under Performance

Fixed Income

Global Equity

CanadianEquity

11

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

5.40%

10.63% SIAS Return

IPS Return Objective

SIAS Trailing 12 Months

Beginning Value

CAD$ 15.8 Million(Mar 31st, 2016)

Ending Value

CAD$17.3 Million

(March 31st, 2017)

Return

CAD$1.45 Million

10.63%


0.0% 1.0% 2.0% 3.0% 4.0% 5.0%

Q2 Q3 Q4 Q1

SIAS Benchmark

12

-1.5% -0.2% -0.7%

0.28%

Q2 Q3 Q4 Q1

Active Return

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

13

SIAS|10-Year Historical

-19.77

19.32

9.92

0.85

8.16

15.91

10.99

6.38

10.62

2008 2009 2010 2011 2012 2013 2014 2015 2016

SIAS Benchmark

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income Annualized Return %

2008 2009 2010 2011 2012 2013 2014 2015 2016 YTD

SIAS -19.77 19.32 9.92 0.85 8.16 15.91 10.99 6.38 6.83 3.35

Benchmark -20 18.2 10.4 -1.4 8.5 14.31 11.52 4.03 8.98 3.07

Asset Allocation

Presented by

Tim Dinger

Chief Investment Officer

Asset Mix


Global Equity36.2%

Fixed Income24.9%

Cash5.3%

Beginning of Q1


Global Equity37.1%

Fixed Income24.8%

Cash3.6%

End of Q1

$17.3 million $16.8 million

Asset Class Change Capital Appreciation Transactions

Canadian Equity 5.8% 1.8% 4.0%

Global Equity 5.5% 5.2% 0.3%

Fixed Income 2.4% (0.6%) 3.0%

Cash (27.0%) 17.4% (44.4%)

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

15

Canadian Economy

AssetClass

Current Weight Target Bench-

markCADEquity 34.5% 30 -40% 35%

FixedIncome 24.8% 20 - 40% 28%

Recommendation

$35

$40

$45

$50

$55

04-16 07-16 10-16 01-17 04-17

Pric

e pe

r ba

rrel

(US$

)

Spot Crude Oil Price

• Strong GDP in Q1 2017 due to stable consumption and investments

• S&P TSX growth slows down due to low performing energy sector

• US import duty on Canadian lumber -1.0%

1.0%

3.0%

5.0%

03-15 09-15 03-16 09-16 03-17

Canadian GDP (QoQ)Q1 2017 Highlights

Outlook• GDP growth is expected to slow down• Canadian Dollar to remain weak with

respect to the US Dollar• US trade protection laws constitute

threat for Canadian exports

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

20.0x

22.0x

24.0x

04-16 07-16 10-16 01-17 04-17

S&P TSX Index P/E ratio

16

0%

20%

40% Corporate Tax Rates

1900

2150

2400

10

15

20

25

04-16 07-16 10-16 01-17 04-17

US Stock Market

VIX S&P 500

Global Economy

AssetClass

Current Weight Target Bench-

markGlobal Equity 37.1% 30 - 40% 35%

Recommendation

• US stock market shows strong performance despite low GDP growth

• Increasing economic activity with strong growth in the Eurozone

• Global trade volume reaches global industrial production for the first time since 2011

Q1 2017 Highlights

Outlook• Positive momentum in the world

economy is expected to continue in Q2 2017

• Increased risk of protectionism• US tax cuts have the potential to

further boost stock performance

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

18.5x

20.5x

04-16 07-16 10-16 01-17 04-17

S&P 500 P/E ratio

17

Global Economy

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Sector IPS Current position Action Plan Target

Canadian Equity 35% 34.5% è 30 - 40%

Global Equity 35% 37.1% è 30 - 40%

Fixed Income 28% 24.8% ê 20 - 40%

Cash 2% 3.6% è 0 - 10%

Summary

• Canadian economy expected to slow down in Q2 2017

• Use the momentum of the world economy

• Overweight equity portfolios and underweight fixed income with regards to the IPS

18

Canadian Equity

Presented by

Judy Korzeniowski

Analyst

SIAS Canadian Equity 2.7%

SP TSX Total Return 2.4%

Canadian Equity 2017 Q1

Beginning Value

CAD$ 5.6 Million

Dec 30th, 2016

Ending Value

CAD$ 6.0 Million

Mar 31st, 2017

Return

CAD$ 152,622

2.7%

CE | Performance Review

Active Return0.27%

Active Return

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

20

Consumer Discretionnary

8%Consumer

Staples5%

Energy18%

Financials35%

Industrials8%

Info Tech3%

Materials9%

Real Estate

2%

Telecom Serv7%

Utilities5%

HOLDINGS

CE | Holdings

Cenovus Energy

-26%

Arc Resource

s Ltd-17%

Husky Energy Inc-8%

CCL Ind.…

Rogers15%

Restaurant Brand16%

BIGGEST MOVERS

35%ofSIASPortfolio

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

21

Sector Allocation

0.50%

Security Selection

-0.22%

CE | Attribution

Sources of Active Return by Sector

0.62% 0.24% 0.22%

0.16% 0.06%

0.00% -0.05%

-0.07% -0.14%

-0.22% -0.54%

Consumer DiscretionnaryEnergy

Telecom ServIndustrials

HealthcareConsumer Staples

Real EstateUtilities

MaterialsInfo Tech

Financials

Active Return0.27%

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

22


Brookfield Asset Mgmt10%

Sun Life-5%

Biggest Movers

Sector Allocation

0.01%

Security Selection

-0.54%

Financials Attribution

Financial Sector

Sector Return Active Weight* Active Return*

Financials 1.95% 0.18% -0.54%

Real Estate 4.54% -0.98% -0.05%*ComparedtoeachsectorIndex’sasofMarch31,2017

Bank of Nova Scotia

3% Brookfield Asset Mgmt Inc

4%

Igm Financial

Inc1%

Manulife Financial

Corp5%

Onex Corp3%Royal Bank of

Canada6%

Sun Life Financial

Inc5%

Toronto Dominion

Bank6%

Thomson Reuters Corp

4%

Canadian Reit1%

Slate Office Reit1%

37%of Canadian Equity Portfolio

Holdings

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

23

Arc Resources Ltd1%

Cameco Corp

1%Canadian

Natural Resources

Ltd3%

Cenovus Energy Inc

2%

Enbridge Inc3%Husky

Energy Inc1%

Suncor Energy Inc

4%

Transcanada Corp

3%

Security Selection

0.06%

Sector Allocation,

0.18%

SectorAllocation

SectorAllocation

Energy Attribution

Energy Sector


Energy -5.23% -3.34% 0.24%*ComparedtoeachsectorIndex’sasofMarch31,2017

Cameco Corp6%

Cenovus Energy

-26%

Biggest Movers18%of Canadian Equity Portfolio

Holdings

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

24

Sector Allocation

-0.15%

Security Selection

0.01%

SectorAllocation

SecuritySelection

Materials Attribution

Ccl Inds 10%

Potash Corp

-5%

Biggest Movers

Ccl Industries

Inc2%

Goldcorp Inc1%

Potash Corp Of

Saskatchewan1%

Sandstorm Gold Ltd

1%

Silver Wheaton

Corp3%

Teck Resources

Ltd1%

Materials Sector


Materials 6.19% -2.43% -0.14%*ComparedtoeachsectorIndex’sasofMarch31,2017

Holdings


Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

25

0.51%

Sector Allocation

Security Selection

0.18%

SectorAllocation

SecuritySelection

Diversified Attribution

Restaurant Brand16%

CGI Group-1%

Biggest Movers

Brookfield Renewable

2%Bce Inc

4%

CN Rail7%

Cineplex Inc1%Emera Inc

3%Exco Technologies Ltd

1%

Cgi Group 3%

Metro Inc5%

Restaurant Brands Intl

Inc6%

Rogers 3%


Diversified Sector


Remaining 6.17% 6.57% 0.77%*ComparedtoeachsectorIndex’sandgroupedasofMarch31,2017

Holdings

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

26

CE | Security Selection

16.9

28.2

1.9 2.6

16.3

27.3

PE PE Mkt/Book Mkt/Book Debt/Assets Debt/Assets

Benchmark SIAS CE Benchmark SIAS CE Benchmark SIAS CE

3.0 2.6

8.6

12.4 12.6 13.7

Div Yield Div Yield ROE ROE Sales - 3 Year Average Growth

Sales - 3 Year Average Growth

Benchmark SIAS CE Benchmark SIAS CE Benchmark SIAS CE

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

27

Cineplex (Consumer Discretionary): Sold• Barrier threat • Peaking price• Better opportunities inside the sector

ScotiaBank (Financials): Bought• Fintech• Good diversification • Peer analysis

Enbridge (Energy): Bought• Good positioning• Good price (timing)• Peer analysis• Defensive option

CE | Q1 Transactions

Company Sector Ticker Action Quantity Trade Price End Q1 Price Δ%

Cineplex Discretionary CGX SELL 2,200 51.14 50.50 1.27%

ScotiaBank Financials BNS BUY 2,200 78.15 78.56* 0.52%

Enbridge Energy ENB BUY 3,000 54.94 55.71 1.40%

*Dividend adjusted

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

28

Going Forward

Sector Currentactiveposition ActionPlan BUY Radar SELLRadar

Discretionary 3.6% è

Industrials -1,3% è

Staples -1.0% ê

RealEstate -1.0% ê

Financials 0.2% è

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

29

Global Equity

Presented by

Meng Li

US Equity Analyst

Beginning Value

CAD$ 6.1 Million

Dec 30th, 2016

Ending Value

CAD$ 6.4 Million

Mar 31st, 2017

Global Equity Performance Review

Asia Pacific

14%

Emerging Market

3%

Europe23%

US60%

Holdings

The Rest of World

40%

As of March 31th, 2017

37% of SIAS Portfolio

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

31


-2.00%

-1.00%

0.00%

1.00% Active Return 0.19%

Beginning Value

CAD$ 6.1 Million

Dec 30th, 2016

Ending Value

CAD$ 6.4 Million

Mar 31st, 2017

Return

CAD$ 344,113

5.58%

Active Return

12-30-2016 1-29-2017 2-28-2017 3-30-2017

Global Equity 2017 Q1SIAS Global Equity 5.58%

MSCI World Total Return 5.39%Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

32

Source of Active Return by Sector


Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Active Return 0.19%


Sector Allocation

0.31%

Security Selection

-0.12%Active Return

0.19%

-0.59%

0.13%

0.55%

0.10%

US

Europe

Emerging Market

Asia Pacific

33

U.S. Equity

Presented by

Meng Li

US Equity Analyst

Discretionary14%

Staples8%

Energy6%

Financials5%

Health Care15%

Industrials15%

Info Tech27%

Telecom5%Utilities

3%

Holdings


Target-24%

Qualcomm

-13%

XLE-8%

VISA13%

Varex 19%

Varian 20%

Biggest Movers

Real Estate

3%

U.S. Equity Performance Review

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

35

Source of Active Return by Sector*

Active Return*-0.59%



Security Selection

-0.69%

Asset Allocation

0.10%

0.34% 0.12%

0.01% 0.01%

-0.09% -0.10% -0.10%

-0.13% -0.17% -0.18%

-0.31%

Heal Care

Real Estate*

Ulitilies*

Information Technology

Financials*

Industrials

Materials

Consumer Discretionary

Consumer Staples

Telecommunication

Energy*

Health Care

*Compared to sector compositions (sector index’s) out of total MSCI World Index

*Compared to US compositions out of total MSCI World Index

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

[XLE]

[XLF]

[XLU]

[XLRE]

Asset Allocation

0.03%

Security Selection

0.31%

SectorAllocation SectorAllocation

Health Care Attribution


Health Care 10.4% 0.48% 0.34%*Compared to each sector Index’s as of March 31,2017

Varian 31%

Vare…

Johnson &Johnson

39%

ABC 25%

Holdings

Varian20%

ABC7%

Biggest Movers

Holdings


15%of US Equity Portfolio

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


37


Info Tech 8.9% 2.93% 0.01%

Holdings

Cisco 25%

Qualcomm20%VISA

33%

Alphabet A11%

Alphabet C11% Sector

Allocation0.32%

Security Selection

-0.31%

VISA13%

Qualcomm-13%

*Compared to each sector Index’s as of March 31,2017


Holdings Info Tech Attribution

Biggest Movers


Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


38


Industrials 1.7% 2.74% -0.10%

Holdings EmersonElectric

7%

General Electric

36%3M57%

Sector Allocation

0.11%Security

Selection-0.21%

Emerson Electric

7%

General Electric

-6%

Biggest Movers



Holdings Industrials Attribution


Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


39

Sector Active Weight* Active Return*

Remaining (7 Sectors) -8.73% -0.84%

Holdings AT&T 12%

CBRE …

Coca Cola13%

Walt Disney6%

Home Depot

15%McDonald

9%

XLE …

XLRE…

XL…

Target3%

Wal-Mart5%

XLF …

CBRE10%

Target-24%

Biggest Movers

Asset Allocation

-0.32%

Security Selection

-0.52%

Diversified Attribution



Holdings


Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


40

*As of March 31, 2017

Whole Food (Consumer Staples): Sold• Eroded growth potential

• Self-cannibalization

• More lucrative opportunities outside of consume staples sector

Walt Disney (Consumer Discretionary): Bought• Diversification

• Resilience

• Peer Analysis

Company Sector Ticker Action Quantity Trade Price Current Price*

Walt Disney Discretionary DIS BUY 700 110.26 113.39Whole Food Staples WHF SELL 2,000 31.13 29.72

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


41

Sector Current active position Action Plan BUY Radar SELL Radar

Discretionary -1.02%

è

Financials -5.78% è

Info Technology 2.93% èCompared to each sector Index’s and grouped as of March 31,2017

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


42

Rest of the world

Presented by

Yanis Madjuga

Portfolio Manager

Rest of the World Performance Review

Beginning Value

CAD$ 2.4 Million

Dec 31st, 2016

Ending Value

CAD$ 2.6 Million

Mar 31st, 2017

Active Return

0.78%

Return

6.53%

CAD$ 190,242

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

44

Asset Allocation0.00%

Security Selection0.78%

Attribution

Australia6%

EuropeEtf30%

France4%

Germany8%HongKong

2%

India3%

Japan

22%

NewZealand4%

Singapore1%

SouthKorea6%

Switzerland5%

UnitedKingdom

9%

Rest of the World Performance Review

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

45

Asia Pacific14.25%

Emerging Market3.2058%

Europe22.66%

Source of Active Return

0.13%

0.55%

0.10%

US

Europe

Emerging Market

Asia Pacific

Portfolio Distribution

Going Forward

Sector Currentactiveposition ActionPlan BUY Radar SELLRadar

EmergingMarkets 3.21% è

AsiaPacific 1.19%

èEurope -1.28%

è

NorthAmerica è

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

46

Fixed Income

Presented by

Jin Liang

Analyst

48

BeginningValue

CAD$4.16Million

Dec30th,2016

EndingValue

CAD$4.28Million

Mar31st,2017

Return

CAD$63,940

1.04%

Fixed Income Performance Review

Fixed Income 2017 Q1

Active Return -0.06%

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

SIAS Fixed Income ReturnBenchmark Return

Active Return

2016Q2 2016Q3 2016Q4 2017Q1

-1.60%

-1.20%

-0.80%

-0.40%

0.00%

Active Return

Fixed Income Performance Review

0.03%

0.02%

0.55%

0.35%

0.04%

0.04%

0.00%

Federal

Municipal

Provincial

Financial

Industrial

Utilities

Communication

0.23%

1.18%

1.76%

2.04%

0.67%

0.47%

0.59%

Federal

Municipal

Provincial

Financial

Industrial

Utilities

Communication

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

49

Fixed Income Performance Attribution

Federal15%

Provincial51%

Municipal1%

Corporate33%

FI Holdings

Federal37%

Provincial34%

Municipal2%

Corporate27%

Benchmark Holdings

1.533.72

0.00 1.52

6.772.20 3.38

0.16 1.73

7.48

Federal Provincial Municipal Corporate Total

SIAS Duration Benchmark Duration

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

50

Fixed Income Performance-Government

0.24 1.303.71

5.26

0.81 1.133.80

5.75

1-5 years 6-10 years 10+ years Total

SIAS Government Duration Benchmark Government Duration

0

0.5

1

1.5

2

2.5

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

Canada Sovereign Yield Curve

Beginning Q1 Ending Q1

0

0.5

1

1.5

2

2.5

3

3.5

4

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

Provincial Yield Curve


Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

51

Fixed Income Performance-Corporate

0.00 0.01 0.14 0.05

0.62 0.42 0.28

1.51

0.00 0.19 0.18 0.240.51

0.160.45

1.72

SIAS Duration Benchmark Duration

0

20

40

60

80

100

120

140

160

180

3M 7Y 30Y

Corp AA+, AA, AA- G-Spread


0

50

100

150

200

250

300

3M 7Y 30Y

Corp BBB+, BBB, BBB- G-Spread


Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

52

• New sector: Energy sector.• Increasing oil sands production.• Diversified revenue sources, • Reasonable capital structure and debt distribution.• Stable cash flows for debt payment.

0.00

5.00

10.00

15.00

20.00

25.00

30.00

35.00

12/31/2015 03/31/2016 06/30/2016 09/30/2016 12/31/2016

EBITDA to Interest Expense

Description Issue date Maturity Yield M-Duration Rating Rating OutlookPPLCN 3.71 08/11/2026 08/11/2016 11-Aug-2026 3.35% 7.734 BBB Stable

Fixed Income New Transaction

Pembina Pipeline Corp

Bond Description (As of March 23rd , 2017)

11-7-2016 12-7-2016 1-7-2017 2-7-2017 3-7-2017

G-Spread

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

53

Description Issue date Maturity Yield M-Duration Rating Rating OutlookSAPCN 2.827 11/21/2023 11/21/2016 21-Dec-2023 2.55% 5.969 AL Stable

0

5

10

15

20

25

30

35

2012 2013 2014 2015 2016

EBITDA to Interest Expense

Saputo Inc.

Bond Description (As of March 23rd , 2017)

11-18-2016 1-18-2017 3-18-2017

G-Spread

Fixed Income New Transaction

• New sector: Consumer staples sector.• Consistent return and second-lowest volatility.• High liquidity and stable cash flows• Capable to pay the interest and principal.

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

54

Improve Yield

Utilities Sector Communication Sector

New IPS

BBB Corp Bond Excess Cash Allocation

Going Forward

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

0.06

0.09

0.110.12

0.110.10

0.09

0.07

0.050.01

0.00

0.02

0.04

0.06

0.08

0.10

0.12

0.14

0

0.5

1

1.5

2

2.5

3

1 Mo 1 Yr 7 Yr 20 Yr

Projected Yield Curve

spread

Spot

6 Mo (P)

55

Going Forward

1-5 yrs 6-10 yrs 10yr+

Federal

Municipal

Provincial

Corporate

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Sell Radar Buy Radar

56

Q&A Session

Appendix

Appendix

Compliance and Performance

60

SIAS Compliance Review

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Canadian Equity Compliance Review

61


Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Global Equity Compliance Review

62


Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Fixed Income Compliance Review

Appendix

Canadian Equity

Canadian Trailing 12 Months

-4.4%

-1.2%

0.2% 0.30%

Q2 Q3 Q4 Q1

Active Return

BeginningValue

CAD$5.2Million

Dec31st,2016

EndingValue

CAD$6.0Million

Mar31st,2017

FinancialIncrease

CAD$669,000.

12.6%

CE | Performance Review

Q22016 Q32016 Q42016 Q12017

Quarterly Return

SIASCanadianEquity SPTSXTotalReturn

64

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Active Weights (%)

Discretionary Industrials

StaplesReal Estate

CE | Allocation

4.1% 1.8% 1.7%

0.0% 0.9% 0.1%

-0.6% -1.8%

1.1%

-2.6% -3.7%

3.6% 1.9% 1.9% 1.0% 0.2% 0.1%

-0.6% -1.0% -1.3% -2.4% -3.3%

Discret Utilities Telecom Staples Financials InfoTech HealthcareRealEstate Industrials Materials Energy

ProposedWeight Q12017ActiveWeight

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

65

66

CE | Attribution

Sector Sector Allocation Security Selection TotalFinancials 0.01% -0.54% -0.54%

Real Estate -0.05% 0.00% -0.05%Energy 0.18% 0.06% 0.24%

Materials -0.15% 0.01% -0.14%Semi-Total -0.15% -0.48% -0.50%

Consumer Discretionary 0.25% 0.22% 0.62%Info Tech 0.01% -0.22% -0.22%

Telecom Serv 0.09% 0.09% 0.22%Industrials -0.07% 0.27% 0.16%

Healthcare 0.06% 0.06% 0.06%Consumer Staples 0.03% -0.02% 0.00%

Utilities 0.14% -0.13% -0.07%Diversified 0.51% 0.27% 0.77%

Total 0.50% -0.21% 0.27%

0.62% 0.24% 0.22%

0.16% 0.06%

0.00% -0.05%

-0.07% -0.14%

-0.22% -0.54%

ConsumerDiscretionnaryEnergy

TelecomServIndustrialsHealthcare

ConsumerStaplesRealEstate

UtilitiesMaterialsInfoTechFinancials

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

67

CE | Financials

SECTOR STFINL Index 3.50%Name Sub Industry CE Weight Sector Weight Return Attribution

BANK OF NOVA SCOTIA Diversified Banks 2.89% 8.01% 0.5% -0.22%

ROYAL BANK OF CA Diversified Banks 5.80% 16.06% 7.5% 1.09%

TORONTO-DOM BANK Diversified Banks 5.74% 15.90% 1.4% -0.25%

IGM FINANCIAL IN Asset Management 0.77% 2.13% 5.3% 0.08%

MANULIFE FIN Life & Health Insurance 4.72% 13.07% -0.5% -0.54%

SUN LIFE FINANCI Life & Health Insurance 5.20% 14.39% -5.0% -1.48%

ONEX CORP Multi-Sector Holdings 2.92% 8.08% 4.5% 0.22%

BROOKFIELD ASS-A Asset Management 4.13% 11.44% 10.2% 1.19%

THOMSON REUTERS Exchanges & Data 3.95% 10.93% -1.5% -0.61%

Financials Active 0.18% 1.95% -0.54%

ROYALBANKOFCA1.09%

TORONTO-DOMBANK-0.25%

IGMFINANCIALIN0.08%

MANULIFEFIN-0.54%

SUNLIFEFINANCI-1.48%

ONEXCORP0.22%

BROOKFIELDASS-A1.19%

THOMSONREUTERS-0.61%

Financials-0.54%

FINANCIALSATTRIBUTION

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

68

CE | Real Estate

SECTOR STRLST Index 4.68%Name Sub Industry CE Weight Sector Weight Return Attribution

CAN REAL ESTATE Diversified REITs 0.78% 40.28% 8.29% 0.77%

SLATE OFFICE REI Diversified REITs 1.15% 59.72% 4.15% -0.82%

Real Estate Active -0.98% 4.54% -0.05%

CANREALESTATE0.77%

SLATEOFFICEREI-0.82%

RealEstateActiveReturn-0.05%

REALESTATE ATTRIBUTION

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

69

CE | Energy

SECTOR STENRS Index -5.52%Name Subindustry CE Weight Sector Weight Return Attribution

ARC RESOURCES LT Oil & Gas Exploration 1.71% 8.60% -17.14% -1.02%

CAMECO CORP Coal & Consumable Fuels 1.25% 6.29% 5.56% 0.70%

CAN NATURAL RES Oil & Gas Exploration 3.09% 15.56% 2.00% 1.17%

CENOVUS ENERGY Integrated Oil & Gas 2.25% 11.33% -25.62% -2.32%

ENBRIDGE INC Oil & Gas Storage & Transp 2.77% 13.96% 1.30% 0.95%

HUSKY ENERGY INC Integrated Oil & Gas 1.62% 8.16% -7.86% -0.20%

SUNCOR ENERGY Integrated Oil & Gas 4.22% 21.24% -6.26% -0.19%

TRANSCANADA CORP Oil & Gas Storage & Transp 2.95% 14.85% 2.30% 1.16%

Energy Active -3.34% -5.23% 0.24%

ARCRESOURCESLT-1.02%

CAMECOCORP0.70%

CANNATURALRES1.17%

CENOVUSENERGY-2.32%

HUSKYENERGYINC-0.20% SUNCORENERGY

-0.19%

TRANSCANADACORP1.16% ENBRIDGEINC

0.95%

EnergyActiveReturn0.24%

ENERGYATTRIBUTION

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

70

CE | Materials

SECTOR STMATR Index 6.13%

Name Sub Industry CE Weight Sector Weight Return Attribution

CCL INDS B Metal & Glass Containers 2.04% 23.01% 10.20% 0.76%

GOLDCORP INC Gold 1.10% 12.48% 6.24% -0.05%

POTASH CORP SAS Fertilizers & Agricultural 0.98% 11.06% -5.92% -1.28%

SANDSTORM GOLD Gold 1.19% 13.49% 8.54% 0.24%

SILVER WHEATON Silver 2.63% 29.76% 6.82% 0.05%

TECK RESOURCES-B Diversified Metals & Mining 0.90% 10.19% 8.22% 0.15%

Materials Active Return -2.43% 6.19% -0.14%

CCLINDSB

0.76%

GOLDCORPINC-0.05%

POTASHCORPSAS-1.28%

SANDSTORMGOLD0.24%

SILVERWHEATON0.05% TECKRESOURCES-B,0.15%

MaterialsActiveReturn-0.14%

MATERIALS ATTRIBUTION

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

71

CE | Remaining

Benchmark Return 5.24%Name Subindustry CE Weight GICS Sector Weight Return Active Return

CINEPLEX INC Movies & Entertain. 2.84% Discretionary 8.10% 0.1% 0.00%

RESTAURANT BRAND Restaurants 5.26% Discretionary 15.02% 16.1% 0.37%

METRO INC Food Retail 4.55% Staples 13.00% 2.1% 0.04%

CGI GROUP INC-A IT Consulting 2.70% Info Tech 7.72% -1.1% -0.01%

CAN NATL RAILWAY Railroads 6.10% Industrials 17.41% 8.9% 0.24%

EXCO TECH LTD Industrial Machinery 1.09% Industrials 3.10% 7.1% 0.03%

BCE INC Integrated Telecom 3.89% Telecom 11.13% 2.6% 0.04%

ROGERS Wireless Telecom 0.00% Telecom 0.00% 14.5% 0.00%

EMERA INC Electric Utilities 2.74% Utilities 7.83% 4.7% 0.06%

BROOKFIELD RENEW Renewable Electricity 1.72% Utilities 4.91% 0.3% 0.00%

Diversified Sectors Active 6.57% 6.2% 0.77%

CINEPLEXINC0.00%

RESTAURANTBRAND0.37%

METROINC0.04%

CGIGROUPINC-A-0.01%

CANNATLRAILWAY0.24% EXCOTECHLTD

0.03%BCEINC0.04% ROGERS

0.00%

BROOKFIELDRENEW0.00%

EMERAINC0.06%

DiversifiedSectorsActive0.77%

DIVERSIFIEDATTRIBUTION

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

72

CE | Portfolio Security Selection

TSX SIAS CE TSX SIAS CE TSX SIAS CE

PE Mkt/Book Debt/Assets

PORTFOLIO 16.91 28.54 HIGHER 1.93 2.63 HIGHER 16.34 27.32 HIGHER GROWTH

DISCRETIONARY 14.51 27.75 Higher 2.73 6.25 Higher 33.03 40.39 Higher GrowthSTAPLES 19.87 15.00 Lower 3.03 3.46 Higher 31.14 22.26 Lower ValueENERGY 25.66 28.13 Higher 1.88 1.67 Lower 34.63 27.40 Lower ValueFINANCIALS 12.92 37.50 Higher 1.76 1.80 Higher 11.05 15.89 Higher MixedINDUSTRIALS 19.04 17.46 Lower 3.92 4.41 Higher 32.07 26.33 Lower ValueINFOTECH 19.53 16.55 Lower 3.16 2.95 Lower 23.36 15.31 Lower ValueMATERIALS 22.86 38.38 Higher 1.48 2.20 Higher 21.33 19.07 Lower GrowthREAL ESTATE 15.33 10.74 Lower 1.08 0.39 Lower 42.26 50.18 Higher ValueTELECOM 16.98 17.43 Higher 3.75 4.39 Higher 48.46 51.14 Higher GrowthUTILITIES 18.83 17.98 Lower 1.49 1.25 Lower 46.25 47.05 Higher Value

TSX SIAS CE TSX SIAS CE TSX SIAS CE

Dividend Yield ROE Sales - 3 Year Average Growth

PORTFOLIO 2.95 2.64 LOWER 8.55 12.38 HIGHER 12.57 13.70 HIGHER GROWTH

DISCRETIONARY 2.22 2.00 Lower 16.10 16.90 Higher 29.21 54.58 Higher GrowthSTAPLES 1.34 1.59 Higher 9.62 21.63 Higher 8.25 3.92 Lower ValueENERGY 3.30 2.63 Lower 2.49 2.77 Higher 1.24 -4.70 Lower ValueFINANCIALS 3.60 2.96 Lower 12.90 13.75 Higher 13.31 17.89 Higher MixedINDUSTRIALS 1.61 1.87 Higher 15.79 23.96 Higher 8.00 9.92 Higher ValueINFOTECH 0.87 0.00 Lower 7.74 17.73 Higher 6.28 1.98 Lower ValueMATERIALS 1.15 0.95 Lower 4.03 7.60 Higher 35.55 8.12 Lower GrowthREAL ESTATE 5.07 7.20 Higher 6.41 9.01 Higher 6.37 44.98 Higher ValueTELECOM 4.46 4.24 Lower 18.91 19.11 Higher 2.66 2.29 Lower GrowthUTILITIES 4.21 5.15 Higher 7.67 2.60 Lower 11.44 22.39 Higher Value

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

73

Company Sector Ticker Action Quantity Trade Price End Q1 Price Δ%

CCL Ind Inc. Materials CCL.B BUY 460 $241.40 $291.22* 20.64%

Great-West Life Insurance GWO SELL 6600 $33.912 $37.563* 9.72%

CCL Industries Inc. (Materials, Supply Chain Distributor): Bought

• 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): Sold

• Diversify SIAS portfolio and decrease risks related to low interest rates.<

• GWO has exposure only to 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.

CE | Q4 Transactions

*Dividend adjusted

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Appendix

U.S. Equity

Date Dividend Received

March 13, 2017 $1,938.56

March 14, 2017 $1,615.44

March 15, 2017 $1,074.73

Adjustments:

SIAS Cumulative Return= (MV ending + Dividend Receivable + Sum of Dividend Received) – (MV beginning + Sum of Trading)

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


75

Q2 2016 Q3 2016 Q4 2016 Q1 2017

US Trailing 12 Months

SIAS US BM

Beginning Value

CAD$ 3.6 Million

Dec 31st, 2016

Ending Value

CAD$ 3.8 Million

Mar 31st, 2017

Active Return

-0.59%Q2 2016 Q3 2016 Q4 2016 Q1 2017

Active Return

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


76

12-30-2016 1-29-2017 2-28-2017 3-30-2017

US Equity 2017 Q1

-0.06

-0.03

0

SIAS US BM

Active Return-0.59%

Active Return

Beginning Value

CAD$ 3.6 Million

Dec 31st, 2016

Ending Value

CAD$ 3.8 Million

Mar 31st, 2017

Active Return

-0.59%

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


77

Walt Disney20%

Home Depot

45%

McDonald's27%

Target8%


Con. Discretionary 6.2% -1.02% -0.13%

Home Depot

10%

Target -24%

Biggest Movers

Holdings


Sector Allocation

-0.065%

Security Selection-0.065%

Discretionary Attribution

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


78


Con. Staples 1.9% -0.04% -0.17%

Sector Allocation

-0.002%

Security Selection-0.170%

Staples Attribution

Coca Cola,

2%

Wal-Mart, 5%

Biggest Movers

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Going forward,

Instead of gaining more exposure to defensive sector, we will allocate further to IT and financials due to US economy revitalization and promising outlook universally.


79


Financials 1.9% -5.78% -0.08%

2017 Q1:There is only one holding sitting in financials sector (after VISA reclassification).

However,

CBRE, a commercial real estate company, also provides with exposure to diversified financials.

VISA, previously classified as financials, also provides exposure to diversified financials

Sector Allocation

-0.10%

Security Selection

0.02%

SectorAllocation SecuritySelection

Financials Attribution

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income Going Forward:-We are planning to gain exposure to current holdings-No buy radars for financials for the sake of compliance


80

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Peer Analysis| Disney VS Industry Average [GICS]

1.07

1.14

Disney Average

Beta

18.62

41.83

Disney Average

P/E

9.80%

13.52%

Disney Average

Ke21.13%

18.01%

Disney Average

ROE8.94%

8.86%

Disney Average

WACC13.77%

12.57%

Disney Average

ROIC

28.12% 21.32%

Disney Average

Operating Margin

31.42%

56.03%

Disney Average

Financial Leverage


81

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

1.07

1.81

Disney Netflix

Beta

18.62

206.79

Disney Netflix

P/E

9.80%

13.52%

Disney Netflix

Ke21.13%

12.75%

Disney Netflix

ROE

8.94%

12.99%

Disney Netflix

WACC13.77%

7.03%

Disney Netflix

ROIC

28.12%

7.03%

Disney Netflix

Operating Margin

33.84

2.91

Disney Netflix

Interest Coverage

Peer Analysis| Disney VS Netflix


82

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Multiples| Disney

3.273.34

3.15

3.04

Next 4Q FY 2017 FY 2018 FY 2019

EV/Revenue

10.73

9.87

9.39

FY 2017 FY 2018 FY 2019

EV/EBITDA

12.2612.51

11.48

10.79

Next 4Q FY 2017 FY 2018 FY 2019

EV/EBIT

1.38 1.471.62 1.73

FY 2016 FY 2017 FY 2018 FY 2019

Dividend Yield


83

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Buy Radar| Amazon

Target Price: $1,102.97Current Price: $970.67Concernsv High P/Ev Competition

§ MSFT| cloud segment§ Wal-Mart| online-retail à forcing lower profit margin

Meritsv Paying for growth à short-term pain, long-term gainv Propelling growth at the expense of near-term profit

§ Fulfillment centers§ Content§ Investments in India§ Investments in hardware products

v VMware.Amazon.com partnership v It will take time for Wal-Mart customers to reward these changes due to

switching costv Synergy and resilience

Investment:§ FBA § Dispensing drugs§ Investment in India


84

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Buy Radar| Amazon

Revenue

2014 2015 2016 2017 2018

182.71

131.74 142.91

83.41

50.3

Last 4Q

Next 4Q

FY 2017

FY 2018

FY 2019

P/E36.12

22.52 24.4418.43

14.5

Last 4Q

Next 4Q

FY 2017

FY 2018

FY 2019

EV/EBITDA3.25

2.67 2.792.31

1.94

Last 4Q

Next 4Q

FY 2017

FY 2018

FY 2019

EV/Revenue


85

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

VISA

Concernsv Revenue opportunity from the potentially large, yet state-controlled markets

of India and China remains unclear

Meritsv Benefit from globe shift to electronic paymentsv 39% of global card-payment volume

Versus-35% for China UnionPay-20% for MasterCard-5% for American Express-1% for Discover

v Start realizing earnings gain from last year’s acquisition of Visa Europe


86

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

Buy Radar| MSFT

1.07

1.09

MSFT Average

Beta

31.62

50.09

MSFT Average

P/E

10.36%

10.38%

MSFT Average

Ke24.07%

-10.21… MSFT Average

ROE

9.17%

9.73%

MSFT Average

WACC18.31%

1.94%

MSFT Average

ROIC

25.32%

0.82%

MSFT Average

Operating Margin 2.24%

0.46%

MSFT Average

Div. Yield


87

Appendix

Fixed Income

89

SIASPortfolioSector MarketValue ContributiontoDuration

ShortTerm MediumTerm LongTerm ShortTerm MediumTerm LongTerm1-5years 6-10years 10+years Totoal 1-5years 6-10years 10+years Totoal

Federal 2.58% 0.00% 12.31% 14.90% 0.0963 0.0000 1.4330 1.5294Provincial 6.77% 22.52% 21.24% 50.52% 0.1452 1.3060 2.2735 3.7247Municipal 1.17% 0.00% 0.00% 1.17% 0.0032 0.0000 0.0000 0.0032Corporate 19.04% 8.74% 5.62% 33.41% 0.4864 0.4380 0.5915 1.5159

Total 29.57% 31.26% 39.17% 100.00% 0.7311 1.7441 4.2980 6.7732

BenchmarkSector MarketValue ContributiontoDuration


Federal 21.84% 7.23% 7.65% 36.72% 0.5791 0.4747 1.1431 2.1970Provincial 7.57% 9.78% 16.78% 34.13% 0.2138 0.6258 2.5449 3.3845Municipal 0.66% 0.47% 0.78% 1.91% 0.0178 0.0322 0.1144 0.1644Corporate 14.84% 5.04% 7.36% 27.24% 0.4256 0.3153 0.9895 1.7304

Total 44.91% 22.51% 32.58% 100.00% 1.2363 1.4480 4.7919 7.4762

ActiveWeightingandActiveCTDSector MarketValue ContributiontoDuration


Federal -19.26% -7.23% 4.66% -21.82% -0.4828 -0.4747 0.2899 -0.6676Provincial -0.80% 12.74% 4.46% 16.39% -0.0686 0.6802 -0.2714 0.3402Municipal 0.52% -0.47% -0.78% -0.74% -0.0146 -0.0322 -0.1144 -0.1612Corporate 4.20% 3.71% -1.74% 6.17% 0.0608 0.1228 -0.3980 -0.2145

Total -15.35% 8.75% 6.60% 0.00% -0.5052 0.2961 -0.4939 -0.7031

Appendix

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

90

BenchmarkCORPSector MarketValue ContributiontoDuration

ShortTerm MediumTerm LongTerm ShortTerm MediumTerm LongTerm1-5years 6-10years 10+years Totoal 1-5years 6-10years 10+years Total

BasicMaterials 0.03% 0.06% 0.01% 0.10% 0.00 0.00 0.00 0.00Communications 1.24% 0.75% 0.74% 2.73% 0.04 0.05 0.10 0.19

Consumer 1.56% 0.27% 0.93% 2.75% 0.04 0.02 0.12 0.18Energy 0.82% 0.98% 1.16% 2.96% 0.02 0.06 0.15 0.24Financial 9.80% 1.99% 0.88% 12.68% 0.28 0.12 0.10 0.51Industrial 0.49% 0.14% 1.16% 1.79% 0.01 0.01 0.14 0.16Utilities 0.91% 0.81% 2.47% 4.19% 0.03 0.05 0.37 0.45Total 14.86% 5.00% 7.34% 27.20% 0.43 0.31 0.99 1.72

SIASCORPSector MarketValue ContributiontoDuration

ShortTerm MediumTerm LongTerm ShortTerm MediumTerm LongTerm1-5years 6-10years 10+years Total 1-5years 6-10years 10+years Total

BasicMaterials 0.00% 0.00% 0.00% 0.00% 0.00 0.00 0.00 0.00Communications 0.41% 0.00% 0.00% 0.41% 0.01 0.00 0.00 0.01

Consumer 0.00% 2.38% 3.19% 5.58% 0.00 0.14 0.40 0.53Energy 0.00% 0.61% 0.00% 0.61% 0.00 0.05 0.00 0.05Financial 8.97% 5.77% 2.43% 17.16% 0.17 0.25 0.19 0.62Industrial 2.41% 0.00% 0.00% 2.41% 0.02 0.00 0.00 0.02Utilities 7.26% 0.00% 0.00% 7.26% 0.28 0.00 0.00 0.28Total 19.05% 8.76% 5.62% 33.43% 0.49 0.44 0.59 1.52

ActiveCORPSector MarketValue ContributiontoDuration

ShortTerm MediumTerm LongTerm ShortTerm MediumTerm LongTerm1-5years 6-10years 10+years Total 1-5years 6-10years 10+years Total

BasicMaterials -0.03% -0.06% -0.01% -0.10% -0.0008 -0.0020 -0.0009 -0.0037Communications -0.82% -0.75% -0.74% -2.32% -0.0242 -0.0456 -0.1020 -0.1718

Consumer -1.56% 2.12% 2.27% 2.82% -0.0441 0.1235 0.2760 0.3555Energy -0.82% -0.37% -1.16% -2.35% -0.0249 -0.0164 -0.1532 -0.1945Financial -0.83% 3.78% 1.54% 4.49% -0.1091 0.1291 0.0923 0.1123Industrial 1.92% -0.14% -1.16% 0.62% 0.0119 -0.0081 -0.1426 -0.1388Utilities 6.35% -0.81% -2.47% 3.07% 0.2518 -0.0526 -0.3670 -0.1678Total 4.20% 3.76% -1.73% 6.23% 0.0606 0.1279 -0.3973 -0.2087

Appendix

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

91

Appendix

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

3/31/2017683234SL3 PROVOFONTARIO 0.19%

3/31/201756344ZCG2 PROVOFMANITOBA 0.17%

3/31/2017780085N93 ROYALBANKOFCANADA 0.10%

3/31/201746152HAB7 INVESTORSGROUPINC 0.08%

3/31/201735085ZAD8 407INTERNATIONALINC 0.06%

3/31/201706369ZAY0 BANKOFMONTREAL 0.05%

3/31/20170641492L0 BANKOFNOVASCOTIA 0.05%

3/31/2017135087XG4 GOVERNMENTOFCANADA 0.04%

3/31/2017803854JW9 PROVOFSASKATCHEWAN 0.04%

3/31/201744810ZBF6 HYDROONEINC 0.04%

3/31/2017110709EK4 PROVOFBRITISHCOLUMBIA 0.04%

3/31/201739138CAG1 GREATWESTLIFECOINC 0.04%

3/31/2017563469UE3 PROVOFMANITOBA 0.04%

3/31/201736158ZBH8 GECAPITALCANADAFUNDINGCO 0.04%

3/31/2017013051DL8 PROVOFALBERTA 0.03%

3/31/2017541908BZ1 LONDONONTARIO 0.02%

3/31/2017110709FJ6 PROVOFBRITISHCOLUMBIA 0.02%

3/31/2017642869AF8 PROVOFNEWBRUNSWICK 0.02%

3/31/2017669827FL6 PROVOFNOVASCOTIA 0.02%

3/31/2017987049AC7 YORKREGIONDISTSCHBRD 0.01%

3/31/2017013051DG9 PROVOFALBERTA 0.01%

3/31/201789119ZAD5 TORONTOHYDROCORP 0.01%

3/31/201780310ZAC3 SAPUTOINC 0.00%

3/31/201770632ZAG6 PEMBINAPIPELINECORP 0.00%

3/31/201782028KAR2 SHAWCOMMUNICATIONSINC 0.00%

3/31/201744810ZBA7 HYDROONE -0.01%

3/31/2017013051CZ8 PROVOFALBERTA -0.01%

3/31/201712741RAC3 CADILLACFAIRVIEWFINTR -0.01%

3/31/201730766ZXM0 FARMCREDITCORP -0.01%

3/31/201739191ZAT6 GREATERTORONTOAIRPORTSAUTH -0.02%

3/31/2017683234UV8 PROVOFONTARIO -0.03%

92

Appendix

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

AsofDate CUSIP Description Position BaseMarketValue %Holding

3/31/2017135087XG4 GOVERNMENTOFCANADA 350000 522769.52 12.22%

3/31/2017683234SL3 PROVOFONTARIO 200000 272501.06 6.37%

3/31/2017110709EK4 PROVOFBRITISHCOLUMBIA 180000 236918.66 5.54%

3/31/2017013051DL8 PROVOFALBERTA 212000 229812.56 5.37%

3/31/2017803854JW9 PROVOFSASKATCHEWAN 200000 214431.88 5.01%

3/31/201756344ZCG2 PROVOFMANITOBA 150000 206304.68 4.82%

3/31/2017683234UV8 PROVOFONTARIO 170000 185510.18 4.34%

3/31/2017987049AC7 YORKREGIONDISTSCHBRD 141784.84 160296.27 3.75%

3/31/2017563469UE3 PROVOFMANITOBA 150000 151636.85 3.54%

3/31/2017780085N93 ROYALBANKOFCANADA 120000 142923.69 3.34%

3/31/201735085ZAD8 407INTERNATIONALINC 100000 134561.96 3.15%

3/31/2017110709FJ6 PROVOFBRITISHCOLUMBIA 100000 133296.04 3.12%

3/31/201730766ZXM0 FARMCREDITCORP 99000 111412.92 2.60%

3/31/201789119ZAD5 TORONTOHYDROCORP 100000 107801.05 2.52%

3/31/2017013051CZ8 PROVOFALBERTA 100000 107361.78 2.51%

3/31/201744810ZBF6 HYDROONEINC 100000 106355.07 2.49%

3/31/20170641492L0 BANKOFNOVASCOTIA 100000 105713.68 2.47%

3/31/2017642869AF8 PROVOFNEWBRUNSWICK 100000 104861.62 2.45%

3/31/201706369ZAY0 BANKOFMONTREAL 100000 104738.37 2.45%

3/31/201739191ZAT6 GREATERTORONTOAIRPORTSAUTH 100000 104317.14 2.44%

3/31/2017013051DG9 PROVOFALBERTA 100000 103734.9 2.43%

3/31/201746152HAB7 INVESTORSGROUPINC 80000 103070.5 2.41%

3/31/201712741RAC3 CADILLACFAIRVIEWFINTR 100000 102730.69 2.40%

3/31/201736158ZBH8 GECAPITALCANADAFUNDINGCO 100000 101693.69 2.38%

3/31/201780310ZAC3 SAPUTOINC 100000 101652.39 2.38%

3/31/201744810ZBA7 HYDROONEINC 90000 97960.71 2.29%

3/31/201739138CAG1 GREATWESTLIFECOINC 70000 76872.68 1.80%

3/31/2017669827FL6 PROVOFNOVASCOTIA 39000 52025.25 1.22%

3/31/2017541908BZ1 LONDONONTARIO 50000 50895.44 1.19%

3/31/201770632ZAG6 PEMBINAPIPELINECORP 25000 25708.74 0.60%

3/31/201782028KAR2 SHAWCOMMUNICATIONSINC 16000 17845.39 0.42%

93

2017 Q1

Q1 Benchmark SIASRelative Contribution to Duration

Easy to observed yield changes

Estimated Performance Impact

Nominal Duration 7.64 7.02 -0.62 -0.11% -0.08%Quasi 3.55 3.81 0.26 -1.71% 0.44%Corp 1.88 1.67 -0.21 -1.79% -0.38%

Estimated Impact from relative contribution to duration -0.03%GOVT BOND(GOVT 10 YEAR GY) 1.12%

From 12/30/2016 to 03/31/2017

7 YR ZERO-COUPON BOND

0.016668Yield Advantage 0.23% PRTU CTYQuarterly Advantage 0.06% 1.90%

Income Return 1.00%

Estimated Model Performance 1.03%

Actual Performance 1.04%

Error -0.01%

Compliance

Performance & Risk

Asset Allocation

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income

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Performance Review May 26th, 2017 · 2017-08-16 · (Mar 31st, 2016) Ending Value CAD$17.3 Million...

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