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Performance ReviewSeptember 25, 2015
Q2
Agenda
Presentation and Q&A
Intermission
Feedback Session
Reception
2
Introduction
Compliance
Performance and Risk
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Compliance
Daily Monitoring
Trade Approval
Risk
Risk Metrics
Performance
Periodic Reporting
Attribution Analysis
Number of Holdings: 35
Portfolio Weight: 33.22%
Benchmark Weight: 35%
Benchmark: S&P TSX
Capped Composite
Total Return IndexGlobal Equity
Fixed Income
Performance,
Compliance
and Risk
Canadian
Equity
Total Assets: $15.2MQ2 SIAS Abs. Return: -2.44%Q2 SIAS Active Return: -0.63% Q2 Benchmark Return: -1.81%
SIAS Overview
Number of Holdings: 32 Portfolio Weight:37.50%
Benchmark Weight: 35%
Benchmark: MSCI World
*As of June 30th, 20153
Approach: Top-Down Number of Holdings: 28 Portfolio Weight: 25.97% Benchmark Weight: 28% Benchmark: DEX Universe
Introduction
Compliance
Performance and Risk
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Compliance MatrixP
ortfo
lioIn
Co
mp
lian
ce
4
Performance and Risk
Presented by
Steven Sun
Head of Performance
5
-2.44% -1.81%
Portfolio OverviewFund Size: 15.16 Million CAD | Inception Date: Dec 2003 | as of Jun 30, 2015
Absolute Return
Total Assets (CAD)
CME
AssetAllocation
Introduction
Compliance
Performance and Risk
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Q2 Beginning Q2 Ending
$15.54 M $15.16 M
-0.63%Active Return
6
SIAS Q2 Return Benchmark Q2 Return
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
SIAS Q2 Portfolio Attribution
SIAS Asset Class Asset Allocation Selection Value Added
CE 0bps -64bps -64bps
GE 0bps -9bps -9bps
Fixed Income 1bps 5bps 6bps
Cash 4bps 0bps 4bps
Total 5bps -68bps -63bps
7*These number are quarterly calculated.
Introduction
Compliance
Performance and Risk
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Q2 Risk Metrics Summary
Canadian Equity
Global Equity
Fixed Income
SIAS Fund
Active Return
Portfolio -1.65% -0.06% 0.35% -0.63%
Volatility
Portfolio 5.15% 6.88% 2.60% 3.65%
Benchmark 4.77% 7.08% 2.80% 3.62%
Sharpe Ratio
Portfolio -0.66 -0.33 -0.73 -0.71
Benchmark -0.37 -0.31 -0.80 -0.54
TrackingError
Portfolio 2.69% 4.46% 0.96% 1.62%
Information Ratio -0.61 -0.01 0.36 -0.39
8
Introduction
Compliance
Performance and Risk
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
IPS Risk Metrics Objectives
Category IPS Objective SIAS Performance Expectation
Achieved
Absolute Return(CPI+4.5% per year)
5.39% 9.10% Yes
CE Active Return 1.40% 3.26% Yes
GE Active Return 0.29% -0.57% No
FI Active Return 0.10% 0.18% Yes
* Objective from SIAS IPS (2014 version) 9
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% 3.16%
Benchmark Return
-20.00% 18.20% 10.40% -1.40% 8.50% 14.31% 11.52% 4.28%
Introduction
Compliance
Performance and Risk
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
2008
10
-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
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
SIAS Q1-Q2 Portfolio Attribution
SIAS Asset Class Asset Allocation Selection Value Added
CE 0bps -104bps -104bps
GE 12bps -12bps 0bps
Fixed Income 11bps -7bps 4bps
Cash -11bps 0bps -11bps
Total 12bps -124bps -111bps
11
Asset Allocation andCapital Market Expectations
Presented by
Peter Grypma
Chief Investment Officer
12
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
• Canadian economy shrank in Q2 by 0.5% (annualized QoQ)• Canadian interest rate to remain low for foreseeable future• Oil prices remain low, continued negative impact for Canada• Manufacturing now overtaking resource sector as largest
industry
• Stronger American outlook with increased consumer spending, which comprises more than two thirds of GDP
• Jobless rate consistent around 5.5%• Main risk: potential for US Fed rate hike, potential for
consumer pullback. Rate hike unlikely until December due to recent volatility
• Mixed impact of interest rate hikes across different countries and regions
• Recent volatility in markets due to worries about slowing Chinese demand
13
Macro-economic Overview
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
• Forecast for continued suppressed oil prices will have us rethink our allocation to this sector of energy especially in Canada for the longer term
• May move towards either reducing total exposure or diversifying into vertically integrated players especially in US
14
Macro-economic Overview
• Based on a VaR probability model for global portfolio:• 35% chance global equity weight will be out of
compliance due to USD/CAD appreciation• Should consider not adding to total global weight but
changing allocations to different positions
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Returns and correlations
15
MSCI World DEX Universe TSX
MSCI World 1.00
DEX Universe -0.25 1.00
TSX 0.76 -0.20 1.00
SIAS
MSCI World 0.77
DEX Universe -0.05
TSX 0.86
Correlations of Benchmarks 2000-Present Correlations to SIAS 2014
• Global benchmark continues outperformance of Canadian equities
• Macro conditions make the US/Global portfolio more attractive
• Fixed income outperformed Canadian Equity, with negative correlation to portfolio
0.8
0.85
0.9
0.95
1
1.05
1.1
SIAS Benchmark Performance 2015
TSX Composite MSCI World DEX Bond Universe
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
16
• PE ratios for our global benchmark are below 1 year and quarterly moving averages, and just above the 5 year average
• TSX PE is below 1 year and quarterly moving averages, but above the 5 year average, so not disproportionately cheap compared to global ratios
Benchmark Price Levels
10
12
14
16
18
20
22
24
2010-02-01 2011-02-01 2012-02-01 2013-02-01 2014-02-01 2015-02-01
TSX PE Ratio and Moving Averages
PE Ratio 1 year MA 3 month MA 5 Year Average
10
12
14
16
18
20
22
24
2010-02-01 2011-02-01 2012-02-01 2013-02-01 2014-02-01 2015-02-01
MSCI World PE and Moving Averages
PE Ratio 1 year MA 3 month MA 5 year average
Asset Allocation
17
• Allocation strategy based on Monte Carlo simulation to give optimal asset allocation based on range of possible future outcomes
• Not enough reason to refrain from opportunities in certain sectors in Global sector due to possibility of interest rate increase, and plan to increase allocation to fixed income
• Last 30 years of data suggests a quarter with a Fed rate hike has mixed relationship with markets
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Asset Allocation relative to benchmarkIntroduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
18
-1.22
-1.78
1.39
2.50
-2.88
-2.03
2.70
1.31
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
AC
TIV
E W
EIG
HT
(%)
Changes in Active Weights
April 1/2015
June 30/2015
Canadian Equity
Global Equity
Fixed Income
Cash
Target Weight
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Canadian Equity
Portfolio Overview (as of June 30, 2015, # of holdings: 35)
20
Sector Allocation (%)
Financials Q2 Expectation – Overweight
2%
Total Return Over 3 Months
0%
* All charts and table generated from Bloomberg
-2%
April May June July
-4%
4%*In %
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Sector Asset Allocation Selection Value Added
Financials 6 bps -5 bps 1 bps
Energy 11 bps -33 bps -22 bps
Materials 0 bps 4 bps 4 bps
Diversified* 0 bps -148 bps -148 bps
Total 17 bps -180 bps -165 bps
Canadian EquityQ2 Portfolio Attribution
21
Major sources of negative value added within Diversified sectors
• Lack of allocation to Healthcare -52 bps
• Security selection in Consumer Discretionary -52 bps
• Security selection in Consumer Staples -38 bps
• Security selection in Industrials -35 bps (CNR)
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Canadian Equity
Financials Q2 Performance
22
• Winners in portfolio: Sun Life Financial (+ 7.85%)
• Losers in portfolio: IGM Financial Inc. (-14%)
Financials Q3 Expectation –Overweight
1. Canadian interest rate lowered unexpectedly in July . Positive for housing
2. Canada’s economy expected to resume growth in Q3 after recession in first half of 2015
3. Lower Canadian dollar CAD/USD Exchange rate decreased by 1.4% in Q3. Low exchange rate positive for financials
Sector Valuation:
10-year historical P/E 14.4
Current P/E is 12.8. Slightly undervalued.
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Canadian Equity
23
Materials Q2 Performance
Winners in portfolio:
• Canfor Corp (+12%), due to weaker Canadian dollar
Losers in portfolio:
• Goldcorp Inc. (-7%), due to strong USD, Silver Wheaton (-13%)
Materials Q3 Expectation – Underweight and selectively overweight soft commodities
• 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
Sector Valuation
• Overall overvalued, especially Goldcorp
• Lumber and potash undervalued
5 yr P/E 10 yr P/E Current P/E (Q2)
SPTSMT 30.1x 27.5x 45.2x
Goldcorp 68.8x 54.4x 135.1x
Silver Wheaton 36.3x 46.2x 29.3x
Teck Resources 21.0x 15.4x 20.5x
Cameco Corp 24.0x 34.6x 31.2x
Canfor Corp 28.1x 22.7x 21.0x
Potash Corp 21.4x 23.4x 18.8x
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Canadian Equity
24
Energy Q2 Performance
Winners in Portfolio:
• Encana (-1%),
ARC Resources (-2%)
Losers in Portfolio:
• Husky (-9%)
CNQ (-13%)
Energy Q3 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
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Canadian Equity
25
Winners in portfolio:
• Metro Inc (+10.83%)
Losers in Portfolio: Thomson Reuters Corp(-6.75%), Saputo Inc (-12.75%)
Consumer sectors Q2 Performance
Consumer sectors Q3 Expectation - Marketweight Consumer Staples & Maintain Overweight Consumer Discretionary
Sector valuationConsumer estimate is positive. Overvalued stocks still in pricing correction• Consumer Staples: Current P/E of 25 higher than 10-year historical P/E of 19• Consumer Discretionary: Current P/E of 22 higher than 10-year historical P/E of 18 • Sell overvalued consumer stocks and improve security selection
• Consumer Discretionary will benefit from the economy‘s recovery• Consumers Staples very overvalued but remain a less volatile sector
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Utilities/ Industrials/Telecom Q2 Performance
26
• Healthcare expected to continue its momentum despite our previous hesitation
• Utilities typically do well in the Fall quarter
Sector Valuation
• Industrials: 10-yr historical P/E 17.8, current P/E 22.6, overvalued
• Utilities: 10-yr historical P/E 30.9, current P/E 27.0, undervalued.
Winners and Losers in portfolio:
• Telecom (Rogers Communications 4.5 %, )
• Utilities (BEP – 7.2%), Industrials (CNR - 15%)
Utilities/ Industrials/Telecom Diversified Q3 Expectation - move towards marketweight in Healthcare and IT
**Red line is Healthcare, Black line is Telecom, Blue line is TSX, Orange line Utilities, Green line is IT
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Canadian Equity
Portfolio Improvement in Q2
• Reduced # of holdings from maximum of 35 down to 34 to improve operational flexibility. Target is 32 holdings to lower monitoring efforts and improve trading flexibility
Portfolio Strategy in Q3
1. Financials: Maintain an overweight position but improve security selection
• Currently hold five Canadian banks. Sell Scotiabank and National Bank as they are not expected to underperform their peers. Move funds to Wealth Management (CI Financial)
• Maintain holdings in insurance companies but improve security selection by selling Great West Life and buying Manulife
• Improve security selection in REITS
2. Materials: Underweight metals. Overweight soft commodities
• Sell base metals and maintain core holdings in gold. Add to lumber and potash companies
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Canadian Equity
Portfolio Strategy for Q3
3. Energy: Maintain an underweight position
Sell Husky Energy
4. Consumers: Reduce overweight Staples and increase overweight in Discretionary
Sold Saputo, Sell Cineplex for a better consumer discretionary name
5. Utilities, Industrials, telecom: improve security selection
Bought Exco Technologies to diversify, Sell some CNR. Sell Rogers for Telus
6. IT and Healthcare
Buy CGI Group. Make a commitment to take a small position in Valeant or a healthcare index during price pullback
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Active Sectors in the Canadian Equity Portfolio
* Relative to the benchmark S&P TSX (June 30, 2015)
Sector Current active position* Action Plan
Financials 4.14%
Energy -4.05%
Materials 0.14%
Consumer Discretionary 1.60%
Consumer Staples 3.41%
Information Technology -2.45%
Healthcare -5.28%
Telecommunications 1.58 %
Utilities 2.46%
Industrials -2.58%
29
Global Equity: US Equity
Presented by
Robert Person
US Equity Portfolio Manager
30
Introduction
Compliance
CME
Asset
Allocation
Canadian
Equity
Global
Equity
Fixed Income
Performance
and Risk
Transaction Date Company (Ticker) Shares Price Position Value % of GE Port Return
Buy (Q2) 2015/04/12 CBRE Group (CBG) 1300 $38.48 (USD) $50,024 (USD) 1.01% -15.69%
Buy (Q2) 2015/04/12 Target Corporation (TGT) 600 $80.35 (USD) $48,210 (USD) 1.11% -3.21%
Recent Transactions
CBRE Group – Buy Rationale• Strong gains across global leasing, occupier
outsourcing, and capital markets business segments.
• High expected growth for sales, leasing, and facilities management in 2015.
• Strong EBITDA Growth
Target Corporation – Buy Rationale• With closure of Canadian operations Target
can focus on the American market and boost from domestic economic recovery.
• New clothing product line.
0.8
0.85
0.9
0.95
1
1.05
2015-04-13 2015-05-13 2015-06-13 2015-07-13 2015-08-13
Relative Performance
CBG Financials
0.8
0.85
0.9
0.95
1
1.05
2015-04-13 2015-05-13 2015-06-13 2015-07-13 2015-08-13
Relative Performance
TGT Consumer Discretionary
Introduction
Compliance
CME
Asset
Allocation
Canadian
Equity
Global
Equity
Fixed Income
Performance
and Risk
US Equities
Relative Performance
0.9
0.92
0.94
0.96
0.98
1
1.02
1.04
1.06
2015-01-02 2015-02-02 2015-03-02 2015-04-02 2015-05-02 2015-06-02 2015-07-02 2015-08-02 2015-09-02
US Equities VS S&P 500
SIAS Portfolio S&P 500
0.9
0.92
0.94
0.96
0.98
1
0
10
20
30
40
50
2015-02-17 2015-03-17 2015-04-17 2015-05-17 2015-06-17 2015-07-17 2015-08-17
Rolling 30-day Correlation VS VIX Index
VIX Correlation
Introduction
Compliance
CME
Asset
Allocation
Canadian
Equity
Global
Equity
Fixed Income
Performance
and Risk
Market Pricing and Allocation
10
12
14
16
18
20
22
24
2011-03-01 2012-03-01 2013-03-01 2014-03-01 2015-03-01
Price to Earnings Ratios
SPX Index S5ENRS Index S5FINL Index S5CONS Index
Price to Earnings Ratio
2010 2011 2012 2013 2014 2015
S&P 500 15.7 13.8 14.2 16.2 17.7 16.9
Healthcare Index 12.1 12.1 14.1 17.7 22.0 21.3
IT Index 16.2 14.0 14.8 16.1 18.6 17.0
Tele Index 16.9 16.4 19.9 18.7 14.7 13.1
Materials Index 18.7 14.1 15.7 17.7 19.0 15.4
Industrials Index 12.1 12.1 14.1 17.7 22.0 15.3
Cons Disc Index 15.7 15.4 15.8 20.2 20.1 20.5
Cons Stap Index 15.1 15.5 16.8 18.1 19.3 18.9
Utilities Index 12.0 13.0 14.1 16.0 16.8 15.2
Energy Index 14.1 12.9 11.9 13.8 15.1 16.4
Financials Index 16.8 12.9 12.0 12.8 14.3 13.7
Introduction
Compliance
CME
Asset
Allocation
Canadian
Equity
Global
Equity
Fixed Income
Performance
and Risk
Allocation
Sector Weights
Introduction
Compliance
CME
Asset
Allocation
Canadian
Equity
Global
Equity
Fixed Income
Performance
and Risk
Sector Allocation
0.6
0.7
0.8
0.9
1
1.1
1.2
Relative Performance
S&P 500 Energy Index Materials Index
Materials• Commodity prices continue
bearish trend• Deflationary pressure from USD
appreciation• Decrease in accomadative policy
Energy• Value opportunities in vertically
integrated oil and gas• USD/WTI correlation: -.57• Continuation of global oil oversupply• Diversify energy holdings
Introduction
Compliance
CME
Asset
Allocation
Canadian
Equity
Global
Equity
Fixed Income
Performance
and Risk
Sector Allocation
Financials• Yield curve flatting led to an
increase in bank stocks in 2004• Diversify financial holdings
Healthcare• Continued Momentum in Healthcare • Led by medical service providers
catalyzed by ACA
0.6
0.7
0.8
0.9
1
1.1
1.2
1.3
1.4
1.5
Relative Performance
S&P 500 Financials Index Healthcare Index
Global Equity: Rest of World Equity
Presented by
Elham Saeedy
Rest of World Equity Portfolio Manager
37
38
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
2015 Q2 RoW Equity Trades
Holding ActionNumber of
SharesDate
Transaction Price
Resulting Portfolio Weight
iShares Japan Index Fund
BUY 15000 April 28th $12.82 8.80%
iSharesSingapore Index Fund
Sell 5000 May 21st $13.45 0.55%
iSharesMexico Index
FundSell 1000 May 21st $59.67 0.00%
Global Equity Q2 Portfolio Attribution
39*These number are quarterly calculated.
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Asia PacificEmergingMarket
Europe North America Total
Pure Sector Allocation -0.02% -0.11% 0.00% 0.02% -0.13%
Sector Selection -0.04% -0.01% 0.22% -0.11% 0.07%
Value Added -0.06% -0.12% 0.22% -0.09% -0.06%
-0.15%
-0.10%
-0.05%
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
Pure Sector Allocation Sector Selection Value Added
40
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Q2 Performance
• Best performer: Japan (+2.54%),
• Worst performer: Australia (-7.16%)
Q3 Expectation
• Asian markets will grow slower and are impacted by the slowdown of China
• Operating conditions in the Japanese manufacturing sector is being improved and domestic new order growth is accelerating.
• Australia Central Bank lower the forecast of growth
2015 Q3 SIAS Global Equity Sector Expectation: Asia Pacific
Source: Bloomberg & IEconomics
-10
-5
0
5
10
15
20
25
2010 2011 2012 2013 2014 2015
GDP Growth Rate
Japan Australia Singapore Hong Kong
-2
0
2
4
6
8
10
2010 2011 2012 2013 2014 2015
Inflation Rate
Japan Australia Singapore Hong Kong
41
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
2015 Q3 Global Equity Sector Expectation: Europe
Q2 Performance
• Best performers: United Kingdom (+0.88%), Switzerland(+0.66%)
• Worst performers: Germany(-6.58%)
Q3 Expectation
• The outlook for European economy is positive compare to other markets
• Due to political stability in UK and healthy GDP growth, we expect growth momentum for UK ETF.
• Germany’s manufacturing and service sectors are in a better shape than last quarter.
-4
-3
-2
-1
0
1
2
3
4
2012 2013 2014 2015
GDP Growth Rate
Euro Zone
UK
Germany
Switzerland
Italy
France
42
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
2015 Q3 SIAS Global Equity Sector Expectation: Emerging Markets
Q2 Performance
• Best performer: South Korea (-2.93%)
• Worst performer: India (-5.47%)
Q3 Expectation
• The China slump has triggered a sharp downturn in the price of raw materials.
• India’s manufacturing economy rebounded in Q2 and PMI is rising, this reflects stronger increases of new orders and output.
• Latest PMI reading was among the lowest since 2011, reflecting a slumping economy in Latin America.
Source: Bloomberg
-6
0
6
12
2010 2011 2012 2013 2014 2015
GDP Growth Rate
Mexico Brazil Russia
India China South Korea
0
10
20
2010 2011 2012 2013 2014 2015
Inflation Rate
43
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Active Sectors in the Rest of the World Portfolio
Sector Current active position Action Plan
Emerging Market 3.34%
Asia Pacific 2.11%
Europe -2.29%
Q2 Fixed Income Trades
Holding ActionPrincipalPayment
Maturity Date
Trade Date
Price of Bond
on Trade Date
Percentage of FI
Portfolio on Trade
Date
Coupon Rate
Province of
ManitobaBuy $150,000
Jun 02, 2025
Jun 02, 2015
$100.16 3.80% 2.45%
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
45
Fixed Income Attribution
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Income Treasury Return Spread Selection Total
Portfolio 1 bp -149 bps 2 bps -29 bps -176 bps
Benchmark 1 bp -213 bps 2 bps 0 bp -211 bps
Active 0 bp 64 bps 0 bp -29 bps 35 bps
46
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Yield Curve MovementCanadian Treasury Bill/Bond Yield
4
0.30.50.70.91.11.31.51.71.92.12.32.52.7
1 m 3 m 6 m 1 y 2 y 3 y 5 y 7 y 10 y longterm
Inte
rest
Ra
te (
%)
Maturity
2015-3-31
2015-6-30
2015-9-8
Duration Structure for Q2Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
0%
5%
10%
15%
20%
25%
30%
0-1year 1-3year 3-5year 5-7year 7-10year 10+
Portfolio Benchmark
Portfolio Duration: 6.79 Benchmark Duration: 7.4648
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
Fixed Income Sector Allocation for Q2
Sector Federal Provincial Municipal Corporate
Portfolio 7.72% 59.08% 1.39% 31.81%
Benchmark 36.64% 33.28% 1.8% 28.20%
Active Weight -28.92% 25.8% -0.41% 3.61%
0
20
40
60
80
Federal Provincial Municipal Corporate
Ho
ldin
gs in
%Portfolio Benchmark
49
Updates
Presented by
Mengke Chen
Compliance Analyst
50
51
Updates
Transition to Team 2015 in September
September 10th: SIAS Orientation to 2015 cohort
September 29th: Application due
Week of September 28th: Interviews
Week of October 5th: New hire announcement
Week of October 12th: Training
October 26th: Full handover
Thank You
52
AppendixCanadian Equity (CE)
Canadian Equity(June 30th, 2013) Shares Price(CAD) Sector Market Value(CAD) Weights in CE
ROYAL BANK OF CANADA 3800 73.7 FINANCIALS 280060 5.70%
TORONTO-DOMINION BANK 5160 52.91 FINANCIALS 273015.6 5.56%
SUN LIFE FINANCIAL INC 6000 41.96 FINANCIALS 251760 5.12%
BROOKFIELD ASSET MGMT INC 5550 42.34 FINANCIALS 234987 4.78%
GREAT WEST LIFECO INC 6600 34.14 FINANCIALS 225324 4.59%
BANK OF NOVA SCOTIA 3200 59.6 FINANCIALS 190720 3.88%
ONEX CORP 1900 79.75 FINANCIALS 151525 3.08%
CANADIAN IMPERIAL BK OF COMM 1500 96.34 FINANCIALS 144510 2.94%
BROOKFIELD RENEWABLE ENERGY 2570 38.61 FINANCIALS 99227.7 2.02%
NATIONAL BANK OF CANADA 2000 43.7 FINANCIALS 87400 1.78%
SLATE OFFICE REIT 8690 7.05 FINANCIALS 61264.5 1.25%
CANADIAN NATURAL RESOURCES LTD 4,300 $28.81 ENERGY 123883 2.52%
SUNCOR ENERGY INC 5,720 $36.81 ENERGY 210553.2 4.29%
TRANSCANADA CORP 2,900 $45.50 ENERGY 131950 2.69%
CENOVUS ENERGY INC 3,300 $18.68 ENERGY 61644 1.25%
HUSKY ENERGY INC 5,800 $23.34 ENERGY 135372 2.76%
ARC RESOURCES LTD 4,400 $19.07 ENERGY 83908 1.71%
CANADIAN NATURAL RESOURCES LTD 4,300 $28.81 ENERGY 123883 2.52%
POTASH CORP OF SASKATCHEWAN 2,400 $34.31 MATERIALS 82344 1.68%
TECK RESOURCES LTD 2,000 $9.36 MATERIALS 18720 0.38%
GOLDCORP INC 3,600 $18.47 MATERIALS 66492 1.35%
CAMECO CORP 5,300 $18.00 MATERIALS 95400 1.94%
CANFOR CORPORATION NEW 8,000 $20.36 MATERIALS 162880 3.32%
SILVER WHEATON CORP 2,500 $16.38 MATERIALS 40950 0.83%
POTASH CORP OF SASKATCHEWAN 2,400 $34.31 MATERIALS 82344 1.68%
THOMSON REUTERS CORP 4,000 $51.64 Consumer Discretionary 206560 4.20%
CINEPLEX INC 3,300 $47.34 Consumer Discretionary 156222 3.18%
RESTAURANT BRANDS INTL INC 1,564 $52.31 Consumer Discretionary 81812.84 1.67%
CANADIAN NATIONAL RAILWAY CO 4,020 $73.54 INDUSTRIAL 295630.8 6.02%
BCE INC 4,000 $53.33 TELECOM 213320 4.34%
ROGERS COMMUNICATIONS INC 2,800 $45.20 TELECOM 126560 2.58%
METRO INC 6,750 $35.52 CONSUMER STAPLES 239760 4.88%
SAPUTO INC 4,000 $30.81 CONSUMER STAPLES 123240 2.51%
EMERA INC 3,600 $47.22 UTILITY 169992 3.46%
Appendix
Global Equity (GE) – U.S.US Equity (June30th, 2015) Shares Price (CAD) Sector Market Value(CAD) Weights in GE
3M CO 1225 192.6358 Consumer Discretionary 235978.9 4.15%
MCDONALD'S CORP 1600 118.6901 Consumer Discretionary 189904.23 3.34%
HOME DEPOT INC/THE 1250 138.7402 Consumer Discretionary 173425.31 3.05%
WAL-MART STORES INC 800 88.5526 Consumer Discretionary 70842.05 1.25%
TARGET CORP 600 101.911 Consumer Staples 61146.58 1.08%
COCA-COLA CO/THE 3600 48.9767 Consumer Staples 176316.1 3.10%
WHOLE FOODS MARKET INC 2000 49.2389 Consumer Staples 98477.74 1.73%
VISA INC 2800 83.8334 Financials 234733.57 4.13%
FINANCIAL SELECT SECTOR SPDR 6100 30.4372 Financials 185666.99 3.27%
CBRE GROUP INC 1300 46.1927 Financials 60050.45 1.06%
JOHNSON & JOHNSON 1500 121.6739 Healthcare 182510.91 3.21%
VARIAN MEDICAL SYSTEMS INC 1650 105.2818 Healthcare 173714.95 3.06%
GENERAL ELECTRIC CO 5000 33.1713 Industrials 165856.58 2.92%
EMERSON ELECTRIC CO 1800 69.2016 Industrials 124562.85 2.19%
JOY GLOBAL INC 1000 45.1939 Industrials 45193.89 0.79%
QUALCOMM INC 2550 78.1904 Information Technology 199385.58 3.51%
CISCO SYSTEMS INC 5800 34.2824 Information Technology 198838.13 3.50%
GOOGLE INC 100 649.8307 Information Technology 64983.07 1.14%
GOOGLE INC 100 674.2129 Information Technology 67421.29 1.19%
MENTOR GRAPHICS CORP 6500 32.9965 Information Technology 214477.47 3.77%
AT&T INC 3500 44.3449 Telecommunications 155207.3 2.73%
55
Appendix
Global Equity (GE) - RoW
RoW Equity (June30th, 2015) Shares Price (CAD) Region Market Value(CAD) Weights in GE
ISHARES MSCI AUSTRALIA ETF 5420 26.2549 Asia Pacific 142301.58 2.50%
ISHARES MSCI JAPAN ETF 33085 15.9926 Asia Pacific 529116.64 9.31%
ISHARES MSCI HONG KONG ETF 5608 28.165 Asia Pacific 157949.5 2.78%
ISHARES MSCI SINGAPORE ETF 2000 15.693 Asia Pacific 31386.03 0.55%
ISHARES MSCI SOUTH KOREA CAP 1864 68.8021 Emerging Markets 128247.08 2.26%
ISHARES MSCI INDIA ETF 1700 37.7781 Emerging Markets 64222.76 1.13%
ISHARES EUROPE ETF 14130 54.5947 Europe 771423.37 13.57%
ISHARES MSCI SWITZERLAND CAP 3115 40.8867 Europe 127362.19 2.24%
ISHARES MSCI UNITED KINGDOM 11350 22.7842 Europe 258600.81 4.55%
ISHARES MSCI GERMANY ETF 5200 34.8068 Europe 180995.29 3.18%
# Ratings based on DBRS / equivalent measures
Fixed Income (June 31st, 2015)Maturity
DateCoupon Rate (%) Par Value (CAD) Market Value (CAD) Est. Annual Income (CAD) Industry Group Bond Rating Weights in FI
PROV OF MANITOBA 2031/3/5 6.3 150000 212531.76 9450 Provincial A(High) 5.40%
PROV OF MANITOBA 2025/6/2 2.45 150000 149352.47 3675 Provincial A(High) 3.79%
PROV OF NEW BRUNSWICK 2023/6/2 2.85 100000 104320.25 2850 Provincial A(High) 2.65%
PROV OF NOVA SCOTIA 2033/6/1 5.8 39000 53276.33 2262 Provincial A(High) 1.35%
PROV OF BRITISH COLUMBIA 2029/6/18 5.7 100000 242053.13 10260 Provincial AA(High) 6.15%
PROV OF BRITISH COLUMBIA 2035/6/18 5.4 100000 135399.54 5400 Provincial AA(High) 3.44%
PROV OF SASKATCHEWAN 2024/6/3 3.2 165000 177512.24 5280 Provincial AA(High) 4.51%
PROV OF ONTARIO 2019/6/2 5.35 170000 197104.45 9095 Provincial AA(Low) 5.01%
PROV OF ONTARIO 2033/3/8 5.85 200000 277065.28 11700 Provincial AA(Low) 7.04%
OMERS REALTY CTT HLDGS INC 2016/5/5 4.75 320000 329589.43 15200 Provincial AAA 8.37%
PROV OF ALBERTA 2019/12/1 4 100000 111815 4000 Provincial AAA 2.84%
PROV OF ALBERTA 2022/12/15 2.55 100000 104063.37 2550 Provincial AAA 2.64%
PROV OF ALBERTA 2023/12/1 3.4 212000 231959.61 7208 Provincial AAA 5.89%
LONDON ONTARIO 2017/8/6 5.875 50000 54824.97 2937.5 Municipal AAA 1.39%
FARM CREDIT CORP 2021/6/1 4.6 99000 116158.58 4554 Federal AAA 2.95%
YORK REGION DIST SCH BRD 2025/6/3 5.3 160894.48 187952.12 8847.73 Federal AA(Low) 4.77%
407 INTERNATIONAL INC 2035/12/3 5.96 100000 131386.01 5960 Corporate A 3.34%
TORONTO HYDRO CORP 2021/11/18 3.54 100000 109187.89 3540 Corporate A 2.77%GREATER TORONTO AIRPORTS
AUTH2018/4/17 5.26 100000 111352.28 5260 Corporate A 2.83%
HYDRO ONE INC 2022/1/13 3.2 100000 107415.31 3200 Corporate A(High) 2.73%
BROOKFIELD ASSET MGMT INC 2016/9/8 5.2 90000 93698.85 4680 Corporate A(Low) 2.38%
INVESTORS GROUP INC 2027/12/13 6.65 80000 103483.72 5320 Corporate A 2.63%
BANK OF MONTREAL 2023/3/28 6.17 100000 112234.99 6170 Corporate AA 2.85%
BANK OF NOVA SCOTIA 2021/1/11 3.27 100000 106607.94 3270 Corporate AA 2.71%
CADILLAC FAIRVIEW FIN TR 2018/5/9 3.64 100000 107349.72 3640 Corporate AAA 2.73%
GE CAPITAL CANADA FUNDING CO 2017/8/17 5.53 100000 108982.89 5530 Corporate AA 2.77%
ROYAL BANK OF CANADA 2025/7/16 4.93 120000 142217.99 5916 Corporate AA 3.61%
SHAW COMMUNICATIONS INC 2020/12/7 5.5 16000 18442.93 880 Corporate BBB 0.47%
AppendixFixed Income (FI)
AppendixContact Info
57
Name Position Email
Peter Grypma Chief Investment Officer [email protected]
Tina Zhang Chief Compliance Officer [email protected]
Juliette Tang Chief Risk Officer [email protected]
Sabrina TsaiPortfolio ManagerCanadian Equity
Robert PersonPortfolio ManagerUS Equity
Elham SaeedyPortfolio ManagerRest of World Equity
Nicole GuPortfolio ManagerFixed Income
Deepanshu Chitkara Head Trader [email protected]