69
SIAS Performance Review March 22, 2019 500 Grandville Street | Vancouver | BC | Canada | beedi.sfu.ca/msc-finance/sias Strictly Private & Confidential – Not for Public Distribution
SIAS Performance ReviewMarch 22, 2019
500 Grandville Street | Vancouver | BC | Canada | beedi.sfu.ca/msc-finance/sias
Strictly Private & Confidential – Not for Public Distribution
Compliance
Macro
Fixed Income
Global Equity
Canadian Equity
ESG
Agenda
Risk
SIAS Asset Mix
Asset Mix Change over the years
SIAS 10 Y Historical Performance
SIAS Performance LTM
Allocation & Selection Effect
Performance Review Per Region
Agenda
SIAS Asset Mix: Overweighting Equity and Underweighting Fixed Income
24.1%
34.2%
37.7%
4%
-No. of Holdings: 35 + 11 Country ETFs -MV: $7.2mm-Benchmark: MSCI World Index-Benchmark Weight: 35%
-No. of Holdings: 35-MV: $4.6mm-Benchmark: FTSE TMX Canada Universe Bond Index-Benchmark Weight: 28%
-No. of Holdings: 37-MV: $6.5mm-Benchmark: S&P TSX Capped Composite Index-Benchmark Weight: 35%
Cash &Cash Equivalent
Asset Change: Asset Mix is relatively stable
38.55% 36.80% 38.52% 37.73%
34.23%33.30%
34.51% 34.18%
25.54%24.36%
23.90% 24.14%
1.68% 5.54% 3.07% 3.95%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
2014 2017 2018 2019
Global Equity Canadian Equity Fixed Income Cash & Cash Equivalent
SIAS 10-Year Historical: Solid Performance with sustainable growth
$9.5 $10.5 $10.6 $11.4$13.2
$14.7 $15.6 $16.7$18.2 $17.8 $19.0
$0.0
$5.0
$10.0
$15.0
$20.0
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Market Value of SIAS (in Millions)
-4.3%
5.2% 6.1%14.8%
33.0%47.7%
57.1%
73.8% 89.2% 85.0% 91.1%
-5.4%4.4% 2.9%
11.7%27.7%
42.4%48.1%
61.4%75.8%
68.4%
75.4%
-10.0%
10.0%
30.0%
50.0%
70.0%
90.0%
110.0%
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
10- Year Cumulative Return
SIAS BM
SIAS Return (LTM): Relatively Modest Return During Turbulent Market
-6
-4
-2
0
2
4
6
8
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
SIAS Portfolio Return VS Benchmark Return
Total Return (P) Total Return (B)
-1.2
-1
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
Performance Difference
Highlights (2018-2019)
Beginning Value:18.0 M (CAD)
Ending Value: 19.0 M (CAD)
SIAS Return:5.22%
Active Return:
-0.33%
Tracking Error:1.60%
Information Ratio-0.14
S&P/TSX Index Outperforms MSCI World
-10
-8
-6
-4
-2
0
2
4
6
8
10
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
MSCI WORLD INDEXS&P/TSX CAPPED COMPOSITE INDEXCORE CANADIANUNIVERSE BOND INDEX
38.5%34.5%
23.9%
3.1%
0.0%5.0%
10.0%15.0%20.0%25.0%30.0%35.0%40.0%45.0%
GlobalEquity
CanadianEquity
FixedIncome
Cash&CashEquivalent
-4.0% -2.0% 0.0% 2.0% 4.0%
Fixed Income
Canadian Equity
Global Equity
1-Year Return of IPS Benchmarks
Active Weights Breakdown (as of 03/01/2019) Asset Allocation Breakdown(as of 03/01/2019)
-1.1%
1.1%
0.2%
-1.5%-1.0%-0.5% 0.0% 0.5% 1.0% 1.5%
Global Equity
Canadian Equity
Fixed Income
Active Return Breakdown (as of 03/01/2019)
Portfolio Active Weights
Japan 22.29%France 12.68%Germany 12.30%Switzerland 11.33%United Kingdom 9.27%Rest of Europe 8.43%Australia 6.19%South Korea 5.75%Netherlands 2.85%India 2.74%China 2.36%Hong Kong 2.31%
-200
-150
-100
-50
0
50
100
150
200
250
Unite
d Sta
tes
Japan
Germ
any
Fran
ce
Switzer
land
Unite
d Kin
gdom
Rest o
f Eur
ope
Austra
lia
South
Kor
ea
Nether
land
sIn
dia
China
Hong K
ong
Other
Global Equity Portfolio (ex. Canada)
Active weights in bps.
United States 62.56%
Rest of World 37.44%
Global Equity Allocation
Consolidated Region Positions: Global (ex. USA) Underperforms
-25
-20
-15
-10
-5
0
5
10
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
CONSOLIDATED SIAS EMERGING MARKETSCONSOLIDATED SIAS EUROPECONSOLIDATED SIAS DEVELOPED ASIA/PACIFICMSCI WORLD INDEX
Consolidation Region Position Comparison
-200
-150
-100
-50
0
50
100
150
200
250
United
States
Japan
German
y
Franc
e
Switzerl
and
United
Kingdom
Rest o
f Euro
pe
Austra
lia
South
Korea
Netherl
ands
IndiaChin
a
Hong Kon
gOther
Portfolio Country Allocation
HIGHLIGHTS(March 2018-March 2019)
———————
Beginning ValueCA$ 2.8 mEnding ValueCA$ 2.7 m———————
SIAS Return -2.10%
Benchmark Return 6.17%
———————
Active Return-8.27%
Performance Per Region: Emerging Markets Underperform
-40-35-30-25-20-15-10
-505
1015
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
INVESCO CHINA TECHNOLOGYISHARES MSCI SOUTH KOREAISHARES MSCI INDIAMSCI WORLD INDEX
SIAS Emerging ETFs VS. MSCI Emerging Markets
SIAS Emerging ETFs VS. Benchmark
-25.00000
-20.00000
-15.00000
-10.00000
-5.00000
0.00000
5.00000
10.00000
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
CONSOLIDATED SIAS EMERGING MARKETS
MSCI WORLD INDEX
ISHARES MSCI EMERGING MARKETS
HIGHLIGHTS(March 2018-March 2019)
———————
Beginning ValueCA$ 0.33 mEnding Value
CA$ 0.29 m———————
SIAS Return -10.4%
Benchmark Return 6.17%
———————
Active Return-16.57%
Consolidated Developed VS. Benchmark
SIAS Developed ETFs VS. Benchmark
-20
-15
-10
-5
0
5
10
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
ISHARES MSCI HONG KONGISHARES MSCI JAPANISHARES MSCI AUSTRALIAISHARES MSCI SINGAPOREMSCI WORLD INDEX
-15
-10
-5
0
5
10
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
CONSOLIDATED SIAS DEVELOPED ASIA PACIFIC
MSCI WORLD INDEX
Performance Per Region: Developed Asia/Pacific Underperforms
HIGHLIGHTS(March 2018-March 2019)
———————
Beginning ValueCA$ 0.88mEnding ValueCA$ 0.85m———————
SIAS Return -4.2%
Benchmark Return 6.17%
———————
Active Return-10.9%
Consolidated Europe Vs Benchmark
SIAS Europe ETFs VS. Benchmark
-20
-15
-10
-5
0
5
10
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
ISHARES EUROPEISHARES MSCI FRANCEISHARES MSCI GERMANYISHARES MSCI SWITZERLANDMSCI WORLD INDEX
-12
-10
-8
-6
-4
-2
0
2
4
6
8
10
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
CONSOLIDATED SIAS EUROPE
MSCI WORLD INDEX
Performance Per Region: Europe Underperforms
HIGHLIGHTS
(March 2018-March 2019)
———————
Beginning Value
CA$ 1.6 mEnding Value
CA$ 1.5 mm———————
SIAS Return
-3.7%Benchmark
Return
6.17%———————
Active Return
-9.87%
US Equity Market Review
Leading and Confidence Indicators
Yield Curve Review
Per Region Equity Valuation Model
2019 Positioning
Agenda
Hypothetical Scenario/Solution
US CAPE Ratio (Shiller) Double the Average
Shiller P/E Ratio & Long-term Interest Rate
0
2
4
6
8
10
12
14
16
18
0
5
10
15
20
25
30
35
40
45
50
1870 1890 1910 1930 1950 1970 1990 2010 2030
Price
-Ear
ning
s Rat
io (C
APE,
P/E
10)
Price-EarningsRatio
Long-TermInterest Rates
20001981
1929
1901
1921
29.881966
0 5 10 15 20 25 30 35
United States
Developped Markets
World
India
Canada
Emerging America
Developped Asia-Pacific
Developpe Europe
Emerging Asia-Pacific
Emerging Markets
China
United Kingdom
Emerging Europe
CAPE ratio per Country
Wilshire 5000 Total Market Cap Index, Q4 2007=100/Gross Domestic Product, Q4 2007= 100
Wilshire GDP Ratio Highest in History
0 50 100 150 200
India
United States
Canada
United Kingdom
Japan
South korea
China
Germany
Russia
Italie
Wilshire GDP Per Country
Leading and Confidence Indicators Show Signs of Slowdown
Composite Leading Indicators (CLI)
94
95
96
97
98
99
100
101
102
103
Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18 Jan-19
USA Canada
949596979899
100101102
Jan-0
8
Jan-0
9
Jan-1
0
Jan-1
1
Jan-1
2
Jan-1
3
Jan-1
4
Jan-1
5
Jan-1
6
Jan-1
7
Jan-1
8
Jan-1
9
USA Canada
Consumer Confidence Indicators Business Confidence Indicators
95
96
97
98
99
100
101
102
Jan-0
8
Jan-0
9
Jan-1
0
Jan-1
1
Jan-1
2
Jan-1
3
Jan-1
4
Jan-1
5
Jan-1
6
Jan-1
7
Jan-1
8
Jan-1
9
USA Canada
98 99 100 101
India
Japan
Australia
Germany
Switzerland
Europe
G-7
OECD
France
USA
Canada
UK
China
CLI Per Country or Region
Yield Curve Spread Also Indicates Potential Economic Downturn
10-Year Treasury Constant Maturity Minus 2-year Treasury Constant Maturity
à Yield Curve Inversion
Per Region Equity Valuation Model: Cause for Concern?Model to Determine most Overvalued Equity Market
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
0
5
10
15
20
25
30
35
China South Korea India Consolidated Emerging USA Global SIAS GE Portfolio
PE DY
Based on CAPE Ratio of model above
Based on SIAS Portfolio
Country/Region CAPE PE PC PB PS DY RS 26W RS 52W RankEmerging Europe 9.3 7.3 4.5 1 0.8 4.9% 1.08 1.06 1China 15.4 7.2 4 0.9 0.6 4.2% 1.06 0.99 2Emerging Markets 15.5 13.5 8.4 1.7 1.3 3.2% 1.05 1.03 3Emerging Asia-Pacific 16.1 14.7 9.2 1.8 1.3 2.8% 1.02 1 4Developed Europe 17.6 15.6 8.9 1.7 1 3.5% 0.99 0.98 5Canada 20.8 16.9 8.8 1.8 1.4 3.1% 1.02 1.02 6Developed Markets 23.9 16.3 10.4 2 1.4 2.6% 1 1 7India 21.6 25.4 16.3 2.8 1.8 1.5% 0.98 0.97 8United States 29 18.8 12.4 3.2 2 2.0% 0.99 1.02 9Global 22.7 15.8 10.1 2 1.4 2.7% 1.01 1.01
Emerging Market Demonstration
Hypothetical Solution: Emerging
-25
-20
-15
-10
-5
0
5
10
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
CONSOLIDATED SIAS EMERGING EXPOSUREISHARES EMERGING MARKETS DIVIDENDMSCI WORLD INDEXISHARES MSCI EMERGING MARKETS
0.00%1.00%2.00%3.00%4.00%5.00%6.00%
7.00%8.00%9.00%
0
5
10
15
20
25
Consolidated SIAS Emeging Emerging Dividend ETF Emerging Markets (Model)
PE DY
-50-40-30-20-10
0102030405060
Current Emerging Exposure Emerging Dividend ETF Total Active ReturnContribution
iShares Emerging Market Dividend Comparison
Chg in Price/Earning & Dividend Yield Chg in Annual Total Return
HIGHLIGHTS(March 2018-March 2019)
———————
Change in PECurrent:
19.6Hypothetical
8.05———————
Change in DY Current: 1.56%
Hypothetical8.11%
———————
Contribution to GE PortfolioCurrent: -36 bps
Hypothetical10 bps
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
02468
101214161820
Consolidated SIASDeveloped Asia/Pacific
Exposure
Asia/Pacific Dividend + MinVol Japan
Dev. Asia Pacific (Model)
PE DY
-30
-20
-10
0
10
20
30
Current Developed Asia/PacificExposure
Asia/Pacific Dividend + Min VolJapan
Total Active Return Contribution
Hypothetical Solution: Developed Asia/Pacific
iShares Asia/Pacific Dividend + MSCI Min Vol Japan Comparison
Chg in Price/Earning & Dividend Yield Chg in Annual Total Return
HIGHLIGHTS(March 2018-March 2019)
———————
Change in PE
Current: 13.6
Hypothetical16.7
———————
Change in DY
Current: 3.3%
Hypothetical5.13%
———————
Contribution to GE Portfolio
Current: -20 bps
Hypothetical7 bps
-15
-10
-5
0
5
10
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
CONSOLIDATED SIAS DEVELOPED ASIA/PACIFICASIA/PACIFIC DIVIDEND + MSCI MIN VOL JAPANMSCI WORLD INDEX
Hypothetical Solution: Europe
-12-10
-8-6-4-202468
10
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
CONSOLIDATED SIAS EUROPE EXPOSUREISHARES EDGE MSCI MIN VOL EUROPE ETFMSCI WORLD INDEX
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
0
2
4
6
8
10
12
14
16
18
20
Consolidated SIAS EuropeExposure
MSCI Min Vol Europe Developed Europe Model
PE DY
-40-20
020406080
100120140160
Consolidated SIAS EuropeExposure
MSCI Min Vol Europe Total Active ReturnContribution
iShares MSCI Min Vol Europe Comparison
Chg in Price/Earning & Dividend Yield Chg in Annual Total Return
HIGHLIGHTS(March 2018-March 2019)
———————
Change in PECurrent:
16.4Hypothetical
14.3———————
Change in DY Current:
3.6%Hypothetical
4.91%———————
Contribution to GE PortfolioCurrent: -21 bps
Hypothetical127 bps
Future Plan: Prepare for a Global Economic Slowdown
Overvalued US Market and Possible
Economic downturn/recession
Wilshire GDP
Shiller PE (CAPE)
Yield Curve Spread
Leading and Confidence Indicators
Maintain current asset allocation ranges
Plan for downturn/recession within asset classes via beta management, duration management, etc.
Implement use of Strategic Regional ETFs
Performance
Sector Allocation & Attribution
Selection Effect
Allocation Effect
Transactions Lookback
Future Plan
Agenda
Portfolio Market Value Appreciated 0.3mm with 100 bps Active Return
-10-8-6-4-202468
1012
1-Mar 1-Apr 1-May 1-Jun 1-Jul 1-Aug 1-Sep 1-Oct 1-Nov 1-Dec 1-Jan 1-Feb 1-Mar
Total Return % SIAS Canadian Equity VS Benchmark
SIAS Canadian Equity S&P/TSX Composite
-1.5
-1
-0.5
0
0.5
1
1.5
2
1-Mar 1-Apr 1-May 1-Jun 1-Jul 1-Aug 1-Sep 1-Oct 1-Nov 1-Dec 1-Jan 1-Feb 1-Mar
Performance Difference
Cumulative Active Return: 1.00%
* Benchmark: S&P TSX
Highlights (2018-2019)
Beginning Value:6.2 MM (CAD)
Ending Value: 6.5 MM (CAD)
Active Return: 1.0%
Tracking Error:2.1
Information Ratio0.5
Canadian Equity – What do we invest in
Asset Class Mix (As of March 1st, 2019)Top 10 Holdings (As of March 1st, 2019)
1. Canadian National Railway Co. 7.0%
2. CGI. Inc. 6.4%
3. Restaurant Brands International 6.3%
4. Royal Bank of Canada 6.0%
5. Toronto-Dominion Bank 5.9%
6. Brookfield Asset Management 5.1%
7. Sun Life Financial Inc. 4.6%
8. Thomson Reuters Corp. 4.4%
9. Manulife Financial Corp. 4.1%
10. Suncor Energy Inc. 4.0%
Total Percentage of Top 10 Investments 53.8%
Total Number of Investments 36
Financials33.95%
Energy17.15%
Industrials12.58%
Materials9.08%
Information Technology
6.54%
Consumer Discretionary
6.41%
Utilities4.27%
Communication Services4.13%
Consumer Staples3.17%
Real Estate2.65%
Health Care0.06%
-2 -1.5 -1 -0.5 0 0.5 1 1.5 2
Information Technology
Financials
Consumer Discretionary
Industrials
Utilities
Real Estate
Consumer Staples
Communication Services
Energy
Health Care
Materials
1.96
1.7
1.57
1.06
0.26
-0.55
-0.66
-0.86
-0.88
-1.49
-1.89
Weight Difference
-1 -0.5 0 0.5 1 1.5
Information Technology
Financials
Consumer Discretionary
Industrials
Utilities
Real Estate
Consumer Staples
Communication Services
Energy
Health Care
Materials
0.21
-0.76
0.82
1.48
0.196
-0.06
0.12
-0.72
-0.08
-0.49
0.27
Total Attribution
Sector Allocation & Attribution
Stock Selection Contributes 151 bps Active Return
1.00
1.51
-0.44
-1.00
-0.50
0.00
0.50
1.00
1.50
2.00
Total Active Return SELECTION ALLOCATION
-0.09
-0.59
0.80
1.36
0.22
-0.05
0.24
-0.61
0.04 0.000.21
-1.00
-0.50
0.00
0.50
1.00
1.50
InformationTechnology
Financials ConsumerDiscretionary
Industrials Utilities Real Estate Consumer Staples CommuicationServices
Energy Health Care Materials
Asset Allocation Contributes -44 bps Active Return
1
1.51
-0.44
-1
-0.5
0
0.5
1
1.5
2
Total Active Return SELECTION ALLOCATION
0.46
-0.14 -0.18
0.01
-0.01
0.02
-0.03 -0.05 -0.1 -0.09
-0.49
0.15
-0.6-0.4-0.2
00.20.40.6
Inform
ation
…
Financia
ls
Consum
er…
Industr
ials
Utilitie
s
Not Clas
sified
Real E
state
Consum
er Stap
les
Commuic
ation
Servi
ces
Energy
Health C
are
Materia
ls
Contribution to Returns from Individual Securities
Underperformed
Outperform
Underperform
Overweight Underweight1.27%
1.06%
0.79%
0.58% 0.57%
-0.48%
-0.36%-0.31% -0.30% -0.30%
-0.53%
-0.44%
-0.33%-0.28%
-0.21%
0.19%
0.16%0.15% 0.15%
0.12%
Transactions in the Canadian Equity Portfolio
ROGERS COMMUNICATIONS
Base Price: $56.91
Sold 2,800 Shares
Date: 3/27/2018
BUY SELL
CGI
Base Price: $73.76
Bought 2,200 Shares
Date: 4/17/2018
BANK OF NOVA SCOTIA
Base Price: $76.48
Sold 900 Shares
Date: 7/25/2018
CHOICE PROPERTIES REIT
Base Price: $11.56
Bought 5904 Shares
Date: 5/31/2018
ARC RESOURCES
Base Price: $15.39
Bought 5000 Shares
Date: 7/25/2018
GOEASY LTD.
Base Price: $54.57
Bought 1500 Shares
Date: 9/26/2018
ISHARES CORE S&P/TSX
CAPPED
Base Price: $24.89
Sold 4,200 Units
Date: 4/27/2018
CORUS ENTERTAINMENT
Base Price: $4.81
Sold 7,850 Shares
Date: 7/5/2018
Future Plan in Canadian Equity
Initial Screening
Stock Selection
Asset Allocation
• Macroeconomic & Sector Analysis
• Portfolio Optimization
• Pairs Trading
• Continuous Analysis & Updates
• Portfolio Monitoring & Rebalancing
• Proxy Voting
• Industry Analysis• Company
Fundamentals & ESG Analysis
• Event Studies• Issue Sector Reports
• Quantitative FactorModel
• ESG Analysis
Ownership
Investment Strategy
Sm
all
Med
ium
Lar
ge
Value Blend Growth
Selection & Allocation Process
Watch List
Maintain overall underweight in both energy and materials sectors
Maintain overweight on other value sectors such as utilities and real estate
Increasing overweight on consumer staples sector while reducing weights on consumer discretionary
Incorporating ESG Analysis
Examples: TRP vs ENB
Compensation Analysis
Carbon Footprint Analysis
Future Plan
Agenda
Involving ESG Analysis in Stock Selection & the Endowment Level
Sector Valuation Map Proxy Voting
§ Key sector characteristic and ESG issues- SASB Materiality Map- Substantial Reports- Bloomberg
§ Incorporating ESG Analysis/Valuation- - Buy / Sell / Hold
§ Stewardship- Proxy Voting (Integration with the BEAM Fund)
- Engagement & Integration
ProxyEdge®
§ Collaboration
§ Guidelines
§ Voting Records
Dimension Consumer Discretionary
Consumer Staples Energy Utilities IT & Communication Financials Industrials Materials
Environment
Social
Governance
Example – Executive Compensation Analyzer: TRP vs. ENB
Example – Portfolio Carbon Footprint Analyzer: TRP vs. ENB
Future Plan of ESG Team
01
0302
CanadianEquity
USEquity
FixedIncome
Integration Into SIAS Fund
§ Modify qualitative factor model andconvert to quantitative factor model
§ Enhance proxy voting procedure andvoting process
§ Analyze from Canadian Equity andpromote to US Equity and FixedIncome asset team
§ Work with BEAM Fund and monitorthe ESG performance of all theholdings.
§ Expand analyst team and sectoranalysis
Performance
Sector Allocation & Attribution
Selection Effect
Allocation Effect
Future Plan
Transaction Lookback
Agenda
US Portfolio Performed In Line with The Benchmark
Highlights (2018-2019)
Beginning Value:4.0 M (CAD)
Ending Value: 4.48 M (CAD)
Portfolio Return:12.0%
Active Return: 0.1%
Tracking Error:3.08
Information Ratio0.03
-8-6-4-202468
101214
1-Mar 1-Apr 1-May 1-Jun 1-Jul 1-Aug 1-Sep 1-Oct 1-Nov 1-Dec 1-Jan 1-Feb 1-Mar
Total Return % SIAS US equity VS Benchmark
SIAS US equity Benchmark
-2.5-2
-1.5-1
-0.50
0.51
1.52
2.53
1-Mar 1-Apr 1-May 1-Jun 1-Jul 1-Aug 1-Sep 1-Oct 1-Nov 1-Dec 1-Jan 1-Feb 1-Mar
Performance Difference
Cumulative Active Return: 0.09%
* Benchmark: MCSI World (US ONLY)
What do we invest in?
Top 10 Holdings (As of March 1st, 2019) Asset Class Mix (As of March 1st, 2019)
Consumer Discretionary
17.75%
Communication Services17.39%
Information Technology
16.48%
Industrials11.21%
Consumer Staples10.97%
Financials9.17%
Health Care7.13%
Energy4.64
Real Estate2.79%
Utilities2.40%
Not Classified0.08%
1.CISCO SYSTEM INC 8.44%
2. VISA INC-CLASS A SHARES 8.04%
3. HOME DEPOT INC 6.77%
4. 3M CO 6.99%
5. VARIAN MEDICAL SYSTEM 6.59%
6. AMAZON.COM INC 6.40%
7. ALPHABET INC-CL A 4.93%
8. ALPHABET INC CL C 4.92%
9. COCA-COLA CO 4.88%
10. MACDONALD’S CORP 4.55%
Total Percentage of Top 10 Investments 62.17%
Total Number of Investments 35
Sector Allocation & Attribution
-1.5 -1 -0.5 0 0.5 1 1.5
Consumer Discretionary
Communication services
Consumer Staples
Industrials
Real State
Not Classified
Utilities
Energy
Materials
Financials
Health Care
Information Technology
0.7
-0.51
0.06
-1.01
-0.24
-0.03
-0.08
-0.02
0.3
0.43
-0.76
1.24
Total Attribution
-6 -4 -2 0 2 4 6 8 10
Consumer Discretionary
Communication services
Consumer Staples
Industrials
Real State
Not Classified
Utilities
Energy
Materials
Financials
Health Care
Information Technology
8.04
7.16
1.36
0.51
-0.08
-0.23
-0.57
-0.7
-2.49
-3.54
-4.43
-5.04
Weight Difference
Stock Selection Contributes 178 bps to Active Return
0.09
1.78
-0.13
-1.57-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
Total Active Return SELECTION ALLOCATION INTERACTION
0.39
-0.16
0.33
-1.29
-0.17
0
-0.01 -0.05 -0.01 -0.05
0.8
2.02
-1.5
-1
-0.5
0
0.5
1
1.5
2
2.5
ConsumerDiscretionary
CommunicationServices
ConsumerStaples
Industrials Real Estate Not Classified Utilities Energy Materials Financials Health Care InformationTechnology
Asset Allocation Contributes -13 bps to Active Return
0.09
1.78
-0.13
-1.57-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
Total Active Return SELECTION ALLOCATION INTERACTION
0.06
-0.23-0.15
0.14
-0.01 -0.03 -0.07
0.03
0.3
0.46
-0.43
-0.22
-0.5-0.4-0.3-0.2-0.100.10.20.30.40.50.6
ConsumerDiscretionary
CommunicationServices
ConsumerStaples
Industrials Real Estate Not Classified Utilities Energy Materials Financials Health Care InformationTechnology
Future Plan
Watch ListInvestment Strategy
Forward Looking:
• Our Macro team has concerns about US market and the potential of recession
• Considering defensive sectors( health care and utilities)
• Reducing our position in US and reducing the Beta
Transactions Lookback (2018/19)
SECTOR COMPANY SELL / BUY UNITS PRICE
IT SELL 1000 $52.06
IT SELL 300 $152.55
Not Classified BUY 348 $279.63
Industrials SELL 5000 $14.99
Industrials BUY 400 $313.6
Health Care SELL 1500 $130.6
Health Care BUY 100 $175
Transactions Lookback (2018/19)
SECTOR COMPANY SELL / BUY UNITS PRICE
IT SELL 300 $43.9
IT SELL 200 $139.6
STAPLES BUY 550 $228.8
FINANCIALS BUY 700 $112
NOT CLASSIFIED BUY 950 $198.4
HEALTH CARE SELL 100 $86.77
iShares Core S&P Mid-Cap ETF
SIAS Fixed Income Performance
Dollar Weights of SIAS FI vs Benchmark
Duration Analysis
Active Return Attribution
Yield Curve Change
Timing Effect
Agenda
Transactions
Future Strategy
SIAS Fixed Income: Outperforming by 21 Bps
-0.3
-0.2
-0.1
0
0.1
0.2
0.3
0.4
0.5
0.6
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
-2
-1
0
1
2
3
4
5
3-1-2018 4-1-2018 5-1-2018 6-1-2018 7-1-2018 8-1-2018 9-1-2018 10-1-2018 11-1-2018 12-1-2018 1-1-2019 2-1-2019 3-1-2019
Total Return (P) Total Return (B)
Highlights (2018-2019)
Beginning Value:4.31 M (CAD)
Ending Value: 4.60 M (CAD)
Active Return: 0.21%
Tracking Error:0.39
Information Ratio0.52
Dollar Weight: Existing Overweight in Corporate will be reduced
SIAS Fixed Income: Dollar Weight Breakdown
4.31 mm 4.54 mm 4.60 mm
March 1 ,2018 October 18 ,2018 March 1 ,2019
37.5%26.0%
16.9% 36.3%
45.6%33.5%
PORTFOLIO BECNHMARK
40.9%27.6%
22.2%35.9%
36.9% 34.1%
PORTFOLIO BECNHMARK
43.0%27.3%
22.9%35.3%
34.1% 35.0%
PORTFOLIO BECNHMARK
Provincial
Corporate
Federal
Historical Overweight
in Corporate
—————
The weight will be
reduced during 2019
Active Return Attribution: Underweighting in Corp CTD has paid off
0.21
-0.03
0.38
0.01
0.08
-0.23
ACTIVE RETURN YIELD CURVE CHANGE SPREAD CHANGE CURRENCY TIME RETURN SELECTION
Spread Change has attributed the most
active return
_______
All the changes were positive
_______
Compared to benchmark, the bond
selection has performed poorly
Yield Curve movement has contributed negative return
0.90
0.84
1.00
5.01 5.28
12.1
2
7.42
6.98
2.20
0.03 0.73 2.
05
5.18 7.
60
5.98
10.6
6
18.9
8
14.9
8
6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y
Portfolio Benchmark
Market
Curvedown
—————
Portfolio
Gained on S-T
Exposure
Lose in LT Curve
Sove
reig
n Yi
eld
Cur
ve
Active Return from Curve Change: -0.03
Key Rate Duration of the Portfolio
0.5%
1.0%
1.5%
2.0%
2.5%
3/1/2018 3/1/2019
0.5%
1.0%
1.5%
2.0%
2.5%
3.0% 10/18/2018 3/1/2019
Spread Change has contributed the most
0
20
40
60
80
100
120
140
160
3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y
1/3/2019 1/3/2018
0
10
20
30
40
50
60
70
80
90
100
3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y
1/3/2019 1/3/2018
Spreadwent
Up, more in
the L-T
—————
Due to
underweight
in L-T Corp
and medium
term
provincial,
we
Active Return from Spread Change: 0.38
Corp AA Bond G-Spread Provincial AA Bond G-Spread
-1.2
-1
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y
Key Rate Duration Breakdown
Corp KRD (Portfolio – Benchmark) Provincial KRD (Portfolio – Benchmark)
Timing Effect: Curve and Spread Carry has generated positive return
Carry return for the
period is positive
_______
0.01
0.02
0.03
0.02
0.01
0.02
0.03
0.04 0.04
0.06
0.07
0.08
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
Apr-01 May-01 Jun-01 Jul-01 Aug-01 Sep-01 Oct-01 Nov-01 Dec-01 Jan-02 Feb-02 Mar-02
Duration Analysis: Duration has Shortened
Duration Analysis (March 1, 2019)
Portfolio Benchmark
6.9 7.54-0.64
+/-Corporate 0.15Federal 0.99Provincial -1.6
1/3/2019+/-
Corporate 0.16Federal -0.27Provincial -0.36
1/3/2018
Contribution to Duration
Long Term exposure in government has increased duration
4 of the Provincial bonds have maturity 2019 & 2020
Transactions in corporate has kept duration relatively stable
Transactions
Settlement Description Sell/Buy Amount Price
3/20/2018 GTAAIR 3.04 09/21/22 Buy 10,000 103.027
3/20/2018 CAN 3.50 12/01/45 Buy 212,000 124.495
5/31/2018 CAN 5.75 06/01/33 Sell 50,000 144.354
5/31/2018 CAN 3.50 12/01/45 Sell 70,000 124.844
6/1/2018 BMO SHORT PROVINCIAL BD INDEX Buy 25,000 13.3
8/2/2018 BMO SHORT PROVINCIAL BD INDEX Sell 25,000 13.23
8/2/2018 ONT 5.85 03/08/33 Sell 100,000 131.49
8/2/2018 HRUCN 3.797 06/13/23 Buy 200,000 97.30
8/2/2018 CAN 3.50 12/01/45 Buy 170,000 122.941
8/3/2018 TOYOTA 2.48 11/19/19 Buy 180,000 99.94
12/5/2018 MP 6.3% 3/5/2031 Government of Manitoba Sell 100,000 131.37
12/5/2018 CCOCN 3.12% 11/9/2022 Buy 100,000 100.59
Going Forward: Longer duration bet with overweight in Government
Future Strategy
• The declining interest rate will increase the portfolio value for long duration bet
• Longer Duration bet
• Mostly in Government
• Possibility of recession
• Going more defensive, overweighting a L-T government and provincial
• Underweighting consumer-cyclical
• Underweighting some M-T notes to balance duration
• Going for Bond ETFs for more liquidity and diversification
0.3%
0.8%
1.3%
1.8%
2.3%
2.8%
3/1/2019 6/1/2019
Yield Curve will be stable or will steepen a little bit,
the spread will narrow
SIAS Yield Curve Forecast for 2019
Vivek Anand
Risk Analyst – Global Equity
Risk
Volatility of the Portfolio
Contributors to Risk
Future Plan
Agenda
Scenario Analysis
Volatility of the portfolio over next 1 year is 7.49*
Expected Active Risk of the Portfolio = 1.28
Equity72%
Currency19%
Fixed Income9%
*The standard deviation of the distribution of returns
What contributes to the active risk of the portfolio?
24.17%
20.59%
7.01%
4.33%
0.04%
22.35%
8.04%
7.01%
3.58%
2.90%
Consumer Disc
Technology
Communication
Consumer Stap
Utilities
Healthcare
Materials
Energy
Industrials
Financials
OverweightUnderweight
49.98%
32.99%
0.78%
4.88%
4.88%
4.88%
0.78%
0.78%
0.05%
Profit
Size
Leverage
Earn Variability
Value
Growth
Volatility
Momentrum
Div Yield
OverweightUnderweight
Industry Style
*The contribution is calculated by taking the square of the SD and then taking their percentage to the total contribution
Top Risk Contributors to the Portfolio
STOCKS PORTFOLIO % WT
BENCHMARK % WT ACTIVE % WT CONTRIBUTION
% RISK CTR
RESTAURANT BRANDS INTERN 2.182 0.342 1.840 7.211 0.020
CISCO SYSTEMS INC 1.987 0.207 1.780 5.529 0.050
ENBRIDGE INC 0.788 1.613 -0.824 4.754 -0.010
VARIAN MEDICAL SYSTEMS INC 1.586 0.013 1.573 4.380 0.040
VISA INC-CLASS A SHARES 1.891 0.223 1.668 4.156 0.090
HOME DEPOT INC 1.627 0.182 1.444 3.970 0.000
MCDONALD'S CORP 1.106 0.123 0.983 2.690 0.010
SHOPIFY INC - CLASS A 0.000 0.389 -0.389 2.615 -0.040
BARRICK GOLD CORP 0.000 0.459 -0.459 2.490 -0.020
3M CO 1.604 0.103 1.501 2.333 0.020
Scenario Analysis on different asset class
Global Equity
Canadian Equity
Fixed Income
n Equities up 10% - Loss of 0.53%• Loss in Information Technology by 1.54%• Gain in Communications by 0.32%
n Equities down 10% - Gain of 0.53%• Gain in Information Technology by 1.54%• Loss in Communications by 0.32%
n Parallel shift up 1%• 13% value decrease in T-Bonds• 10% value decrease in ETRHWY,
BRCOL and LCNn Parallel shift down 1%
• 16% value increase in T-Bonds• 10% value increase in BRCOL,
ETRHWY and CAN-30Y
n Equities up 10% - Loss of 0.63%• Loss in Healthcare by 0.60%• Gain in Financials by 0.36%
n Equities down 10% - Gain of 0.63%• Gain in Healthcare by 0.60%• Loss in Financials by 0.36%
Future Plan
OPTIMIZATION VIRTUAL HEDGING
MONTHLY REPORTING
