Performance Review May 26th, 2017 · 2017-08-16 · (Mar 31st, 2016) Ending Value CAD$17.3 Million...
Transcript of Performance Review May 26th, 2017 · 2017-08-16 · (Mar 31st, 2016) Ending Value CAD$17.3 Million...
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Performance Review May 26th, 2017
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Presentation
Q&A
Feedback
Reception
Agenda
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Compliance and Performance Review
Presented by
Victoria Zhang
Chief Compliance Officer
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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: $17.3M as of March 31st, 2017
Other
Introduction
SIAS | Compliance Review
4
SIAS Portfolio Weight
Benchmark Weight
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
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SIAS | Compliance Review
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Portfolio IPS 2014 Compliance Check IPS 2017 Compliance Check
Canadian Equity ü ü
Global Equity ü û
Fixed Income ü ü
*Compliance check: as of March 31st, 2017
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Highlights
6
2017 IPS Update
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
IPS 2014 Compliance Check IPS 2017 Compliance Check
Global Equity
• Active Management• Single holding
maximum weight (5/10)• Minimum holdings: 20
• Semi-active Management• Single holding
maximum weight (BM+2/5)• Maximum holdings: 35
Fixed Income • Largest allowable positions in lower-grade bonds (1A)
• Largest allowable positions in lower-grade bonds (3A)
ESG • No Requirement • Integrate ESG into investment decision process
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SIAS 2017 Q1 Beginning Value
CAD$ 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
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13-J
an
20-J
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27-J
an
3-Fe
b
10-F
eb
17-F
eb
24-F
eb
3-M
ar
10-M
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17-M
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24-M
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31-M
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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%
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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%
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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
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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
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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
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SIAS|Trailing 12 Months Return Review
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
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Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
5.40%
10.63% SIAS Return
IPS Return Objective
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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%
SIAS|Trailing 12 Months Return Review
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
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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
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Asset Allocation
Presented by
Tim Dinger
Chief Investment Officer
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Asset Mix
Canadian Equity33.6%
Global Equity36.2%
Fixed Income24.9%
Cash5.3%
Beginning of Q1
Canadian Equity34.5%
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
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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
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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
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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
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Canadian Equity
Presented by
Judy Korzeniowski
Analyst
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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
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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
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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
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Portfolio Attribution
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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
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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
Sector Return Active Weight* Active Return*
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
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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
Sector Return Active Weight* Active Return*
Materials 6.19% -2.43% -0.14%*ComparedtoeachsectorIndex’sasofMarch31,2017
Holdings
9%of Canadian Equity Portfolio
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
25
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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%
35%of Canadian Equity Portfolio
Diversified Sector
Sector Return Active Weight* Active Return*
Remaining 6.17% 6.57% 0.77%*ComparedtoeachsectorIndex’sandgroupedasofMarch31,2017
Holdings
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
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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
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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
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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
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Global Equity
Presented by
Meng Li
US Equity Analyst
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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
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Global Equity Performance Review
-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
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Source of Active Return by Sector
Portfolio Attribution
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Active Return 0.19%
Global Equity Performance Review
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
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U.S. Equity
Presented by
Meng Li
US Equity Analyst
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Discretionary14%
Staples8%
Energy6%
Financials5%
Health Care15%
Industrials15%
Info Tech27%
Telecom5%Utilities
3%
Holdings
As of March 31th, 2017
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
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Source of Active Return by Sector*
Active Return*-0.59%
U.S. Equity Performance Review
Portfolio Attribution
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]
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Asset Allocation
0.03%
Security Selection
0.31%
SectorAllocation SectorAllocation
Health Care Attribution
Sector Return Active Weight* Active Return*
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
As of March 31th, 2017
15%of US Equity Portfolio
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
U.S. Equity Performance Review
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Sector Return Active Weight* Active Return*
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
27%of US Equity Portfolio
Holdings Info Tech Attribution
Biggest Movers
As of March 31th, 2017
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
U.S. Equity Performance Review
38
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Sector Return Active Weight* Active Return*
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
*Compared to each sector Index’s as of March 31,2017
15%of US Equity Portfolio
Holdings Industrials Attribution
As of March 31th, 2017
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
U.S. Equity Performance Review
39
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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
*Compared to each sector Index’s as of March 31,2017
43%of US Equity Portfolio
Holdings
As of March 31th, 2017
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
U.S. Equity Performance Review
40
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*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
U.S. Equity Performance Review
41
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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
U.S. Equity Performance Review
42
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Rest of the world
Presented by
Yanis Madjuga
Portfolio Manager
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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%
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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
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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
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Fixed Income
Presented by
Jin Liang
Analyst
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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
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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
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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
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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
Beginning Q1 Ending Q1
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
51
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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
Beginning Q1 Ending Q1
0
50
100
150
200
250
300
3M 7Y 30Y
Corp BBB+, BBB, BBB- G-Spread
Beginning Q1 Ending Q1
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
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• 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
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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
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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
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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
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Q&A Session
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Appendix
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Appendix
Compliance and Performance
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60
SIAS Compliance Review
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Canadian Equity Compliance Review
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SIAS Compliance Review
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Global Equity Compliance Review
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SIAS Compliance Review
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Fixed Income Compliance Review
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Appendix
Canadian Equity
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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Appendix
U.S. Equity
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Date Dividend Received
March 13, 2017 $1,938.56
March 14, 2017 $1,615.44
March 15, 2017 $1,074.73
Adjustments:
SIAS Cumulative Return= (MV ending + Dividend Receivable + Sum of Dividend Received) – (MV beginning + Sum of Trading)
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
U.S. Equity Performance Review
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Q2 2016 Q3 2016 Q4 2016 Q1 2017
US Trailing 12 Months
SIAS US BM
Beginning Value
CAD$ 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
U.S. Equity Performance Review
76
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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
U.S. Equity Performance Review
77
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Walt Disney20%
Home Depot
45%
McDonald's27%
Target8%
Sector Return Active Weight* Active Return*
Con. Discretionary 6.2% -1.02% -0.13%
Home Depot
10%
Target -24%
Biggest Movers
Holdings
14%of US Equity Portfolio
Sector Allocation
-0.065%
Security Selection-0.065%
Discretionary Attribution
Compliance
Performance & Risk
Asset Allocation
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
U.S. Equity Performance Review
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Sector Return Active Weight* Active Return*
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.
U.S. Equity Performance Review
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Sector Return Active Weight* Active Return*
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
U.S. Equity Performance Review
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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
U.S. Equity Performance Review
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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
U.S. Equity Performance Review
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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
U.S. Equity Performance Review
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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
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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
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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
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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
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Appendix
Fixed Income
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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
ShortTerm MediumTerm LongTerm ShortTerm MediumTerm LongTerm1-5years 6-10years 10+years Totoal 1-5years 6-10years 10+years Totoal
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
ShortTerm MediumTerm LongTerm ShortTerm MediumTerm LongTerm1-5years 6-10years 10+years Totoal 1-5years 6-10years 10+years Totoal
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
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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
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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%
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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%
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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