UTAM 2017 ANNUAL REPORT AND PERFORMANCE REVIEW · EFIP 0.8% 0.3% -0.1% (1) Due to rounding, some...
Transcript of UTAM 2017 ANNUAL REPORT AND PERFORMANCE REVIEW · EFIP 0.8% 0.3% -0.1% (1) Due to rounding, some...
UTAM 2017 ANNUAL REPORT
AND
PERFORMANCE REVIEW
Presentation to Business Board
Daren M. Smith, CFAPresident and Chief Investment Officer
April 23, 2018
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• Theme: Provide readers with a better
understanding of what goes into
generating the investment returns.
• Particular focus on the people at UTAM
and the processes that we follow,
including Responsible Investing
activities.
Annual Report: Behind the Numbers
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Portfolio Market Values(at Dec. 31 in $Billions)
Portfolio 2017 2016
LTCAP $2.9 $2.6
Pension $5.0 $4.4
EFIP $2.0 $1.8
Total $9.9 $8.8
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Portfolio ReturnsRolling Periods ending Dec. 31, 2017
Portfolio 1 Year 5 Years 10 Years
LTCAP 12.4% 11.0% 4.3%
Pension 12.4% 10.9% 4.2%
EFIP 1.5% 1.6% 1.8%
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Performance: Evaluating Returns
1) Were the returns generated good or bad?
2) How much did UTAM add or detract with its
active management approach?
To answer these questions we need the following:
Target Return: The return objective for each portfolio.
Reference Portfolio: Passive, easy to implement,
public markets only, low-cost, simple and appropriate
for Pension and LTCAP’s long-term risk and return
objectives.
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Performance: Actual vs TargetRolling Periods ending December 31, 2017
1 Year 5 Years 10 Years
Actual Portfolio Returns
LTCAP 12.4% 11.0% 4.3%
Pension 12.4% 10.9% 4.2%
EFIP 1.5% 1.6% 1.8%
University Target Returns
LTCAP & Pension: CPI + 4% 5.8% 5.5% 5.6%
EFIP: 365 day T-bill + 0.50% 0.8% 1.3% 2.0%
Actual minus Target (1)
LTCAP 6.6% 5.5% -1.2%
Pension 6.6% 5.4% -1.4%
EFIP 0.8% 0.3% -0.1%
(1) Due to rounding, some values in this presentation may differ from the results of simple subtraction.
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Performance: Reference vs TargetRolling Periods ending December 31, 2017
1 Year 5 Years 10 Years
Reference Portfolio Returns (1)
LTCAP 11.4% 8.7% 3.8%
Pension 11.4% 8.7% 3.8%
University Target Returns
LTCAP & Pension: CPI + 4% 5.8% 5.5% 5.6%
Reference minus Target
LTCAP 5.7% 3.2% -1.8%
Pension 5.7% 3.2% -1.8%
(1) Reference Portfolio adopted in March 2012 for LTCAP and May 2012 for Pension. Policy Portfolio used for prior periods. There is no Reference Portfolio for EFIP.
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Performance: Actual vs ReferenceRolling Periods ending December 31, 2017
1 Year 5 Years 10 Years
Actual Portfolio Returns
LTCAP 12.4% 11.0% 4.3%
Pension 12.4% 10.9% 4.2%
Reference Portfolio Returns
LTCAP 11.4% 8.7% 3.8%
Pension 11.4% 8.7% 3.8%
Actual minus Reference (UTAM value add)
LTCAP 0.9% 2.3% 0.5%
Pension 1.0% 2.3% 0.4%
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UTAM Value AddRolling Periods ending Dec. 31, 2017
Portfolio 1 Year 5 Years 10 Years
LTCAP 0.9% 2.3% 0.5%
Pension 1.0% 2.2% 0.4%
Total
Value Add
$68
Million
$625
Million
$416
Million
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Asset Allocation & LimitsPension at Dec. 31, 2017 (LTCAP is similar)
Reference
Portfolio %Actual %
Outside of
Limit?
------- Limit -------
Min. % Max. %
Canadian Equity 10 10.0 No 5 15
US Equity 20 20.0 No 15 25
Europe, Australia, Far East Equity 15 14.9 No 10 20
Emerging Markets Equity 10 9.9 No 5 15
Global Equity 5 5.0 No 0 10
Total Equity 60 59.8 No 50 70
Credit (Corporate Credit) 20 20.1 No 10 30
Rates (Government Bonds) 20 12.5 No 10 30
Absolute Return Hedge Funds 7.4
Cash 0.2
Total Other 0 7.6 No 0 15
Total 100 100.0
Foreign Currency Exposure 32.3 32.6 No 24.8 39.8
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Actual Risk vs Reference Portfolio RiskDecember 31, 2017
Risk (Volatility)
Reference Portfolio 5.7%
LTCAP 5.8%
Pension 5.8%
LTCAP Active Risk 0.1%
Pension Active Risk 0.1%
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• Developed and Published a
Responsible Investing Policy
• Signatory to the UN-supported
Principles for Responsible Investing
• ESG Integration
• Active Ownership
Responsible Investing
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• Member of the Responsible Investment
Association and Canadian Coalition for
Good Governance.
• Signatory to CDP (formerly the Carbon
Disclosure Project) and the Montréal
Carbon Pledge.
• Published second annual Responsible
Investing report.
Responsible Investing (continued)
QUESTIONS?