UTAM 2017 ANNUAL REPORT AND PERFORMANCE REVIEW · EFIP 0.8% 0.3% -0.1% (1) Due to rounding, some...

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UTAM 2017 ANNUAL REPORT AND PERFORMANCE REVIEW Presentation to Business Board Daren M. Smith, CFA President and Chief Investment Officer April 23, 2018

Transcript of UTAM 2017 ANNUAL REPORT AND PERFORMANCE REVIEW · EFIP 0.8% 0.3% -0.1% (1) Due to rounding, some...

Page 1: UTAM 2017 ANNUAL REPORT AND PERFORMANCE REVIEW · EFIP 0.8% 0.3% -0.1% (1) Due to rounding, some values in this presentation may differ from the results of simple subtraction. 7 Performance:

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)

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QUESTIONS?