Q2&Q3 Performance Review Nov. 1, 2017
Presentation
Q&A
Feedback
Reception
Agenda
Highlights of Changes
3
Transition & Training
IPS Revision:- Global Equity - semi-active, Individual stocks- Fixed Income - credit Ranking Restriction - ESG Integration
SIAS faculty advisorCompliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Introduction
4
Bloombergfunctions
Equity Analysis & Fixed Income Portfolio Selection
Peer Knowledge Sharing: * Leadership from CIO & PMs
* Group discussion & feedback
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Learning Process
5
Reports link withBloomberg data
Regular PM Meetings & Communication
Analysts’ Interactions & Feedback
Proxy Voting & ESG Integration
Networking via Guest Speaker
Events
Highlights
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Improvements
Inclusive Selection Process
Feedback & Workshops
Slack-Communication
New & Old Buddy System
Portfolio Management
Tool
6
Transition
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Transition Process
7
ESG Integration
Model
Bloomberg Research & functions
Security Evaluation
IPS Q&A
Join Team Meetings
Collaboration on Reports
Training for traders & Proxy
voters
Transition & Training
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
8
ESG Integration
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Security Score
9
SustainalyticsScore AnalystScore
50% 50%
SuppliedbyBloombergDevelopedwithSASB
MaterialityMap
Model: Incorporates comprehensive SASB work& Analysts give their own input
ESG Integration Process
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
10
Sector Technology_and_CommunicationsIndustry TelecommunicationsSecurity BCECNEquity
SustainalyticsScore 80.00
AnalystScore 3.60
SecurityESGScore 7.60>7~positive,strongcandidate,>3,<7~usecaution,<3~veryweakcandidate
Environment ScoreGHGemissions N/AAirquality N/AEnergymanagement 3-Average NospecificinitiativestoreduceenergyconsumptionFuelmanagement N/AWaterandwastewatermanagement N/AWasteandhazardousmaterialsmanagement
N/A
ESG Integration Process
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Security Score
Overall SIAS ESG Score
11
Overall SIAS
ESG Score
Improve ESG Impact
& Risks
Weighted Average
Benchmark for SIAS
ESG Standing
Measure Security’s
Impact
ESG Integration Process
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
SIAS Proxy Voting Records
12
From Oct. 1, 2016 to Sept. 30, 2017
51 Proxy Voting & total 554 proposals:
478 Management Proposals
• Election of BOD/Director related 23%• Ratification of Appointment for Auditing 16%• Compensation of Executive Team 10%
76 Shareholders’ Proposals
• Shareholder Rights & Routine items 17%• Shareholders’ Proposal 14%
ESG Integration Process
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Compliance and Performance Review
Presented by
Vivien Yang
Compliance & Risk Analyst
14
WHOWHERE
WHYHOW
SIAS Compliance Review
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
ASSET MIX: 2017 SEPTEMBER 30TOTAL ASSET: $17.5M
Canadian Equity - 35%
Global Equity - 37%
Fixed Income - 25%
ASSET MIX: 2016 SEPTEMBER 30TOTAL ASSET: $16.5M
Canadian Equity - 33%
Global Equity - 36%
Fixed Income - 26%
In Q1 Presentation, we mentioned
Asset Class IPS 2014 IPS 2017
Canadian Equity
Global Equity
Fixed Income
Other
Introduction
SIAS | Compliance Review
15
IPS 2017Asset Class
Examples ofAdjustments made
due to new IPS
Compliance Check
Sep 30, 2017
Canadian Equity
Global Equity Sell of VISAdue to appreciation
Fixed Income Purchase of moreBBB Bonds
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
16
SIAS|Trailing 12 Months Return Review
Sep/16 Oct/16 Nov/16 Dec/16 Jan/17 Feb/17 Mar/17 Apr/17 May/17 Jun/17 Jul/17 Aug/17 Sep/17
Trailing 12-Months ReturnSIAS 5.47% Benchmark 6.38%
5.47
5.6
5.2
SIAS Return
IPS Return Objective
Absolute AnnualReturn Objective
As of 2017Q3
CAN 5 ¾ 06/01/33 (FI)
CENOVUS ENERGY (CE)
GENERAL ELECTRIC (GE)
ARC RESOURCES (CE)
GOLDCORP (CE)
CANADIAN NATL RAILWAY (CE)
TORONTO-DOMINION BANK (CE)
MANULIFE FINANCIAL (CE)
RESTAURANT BRANDS (CE)
ISHARES EUROPE ETF (GE)
-0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1 1.2
Top / Bottom 5 Contributors to Return2016 Sep 30 - 2017 Sep 30
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
SIAS|2016Q3 – 2017Q3 Risk Metrics
17
1.27%
1.63%
0.64%
0.98%
1.60%
1.70%
0.75%
1.07%
CE
GE
FI
SIAS
Historical Simulation 1-day VaR
VaR ES
SIAS Benchmark
Canadian Equity 8.63 9.12
Global Equity 9.83 9.37
SIAS Portfolio 5.62
SIAS Benchmark
Canadian Equity 1.08 0.92
Global Equity 0.84 1.24
SIAS Portfolio 0.83
SIAS Benchmark
Duration 6.86 7.51
Fixed Income Portfolio
Standard Deviation
Sharpe Ratio
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
18
SIAS|10-Year Historical
-19.8%
-4.3% 5.2% 6.1% 14.8%
33.0% 47.7%
57.1%
73.8%
-20.0%
-5.4% 4.4% 2.9%
11.7%
27.7% 42.4%
48.1% 61.4%
2008 2009 2010 2011 2012 2013 2014 2015 2016
10-Year Cumulative ReturnSIAS Benchmark
10-Year Historical 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 10.62 4.59
Benchmark -20 18.2 10.4 -1.4 8.5 14.31 11.52 4.03 8.98 4.43
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Other
Introduction
The New Compliance Team
19
Carol Liu
Frank Meng
Yu Zhang
Irina Zlotnik
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Other
Introduction
20
Compliance: What do we do?
ComplianceAssurance
Risk Monitoring
TradeAuthorization
ReportBecome friendsWith Bloomberg
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Other
Introduction
21
Compliance: How do we function?
Compliance Team Equity Team
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Other
Introduction
22
Compliance: How do we function?
Compliance Team Equity Team
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Other
Introduction
23
Compliance: How do we function?
Compliance Team Equity Team
Trader
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Other
Introduction
24
Compliance: Why?
Nobel in EconomicsIs Awarded to Richard Thaler
“limited rationality”
“social preference”
“lack of self-control”
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Canadian Equity Performance Review
Presented by
Julia Ferreira
CE Portfolio Manager
Canadian Equity - September 2016 to September 2018
Beginning Value
CAD$ 5.5 Million
Sep 30th, 2016
Ending Value
CAD$ 6.3 Million
Sep 30th, 2017
Return
CAD$ 812,891.65
10.1%
26
30/Sep 31/Dec 31/Mar 30/Jun 30/Sep
SIAS Canadian Equity 10.13%SP TSX Total Return 9.18%
Active Return0.95%
CE | Performance Review
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Consumer Discretionnary
7%Consumer
Staples3%
Energy17%
Financials39%
Healthcare0%
Industrials8%
Info Tech3%
Materials9%
Real Estate
2%
Telecom Serv7%
Utilities5%
HOLDINGS
35%ofSIASPortfolio
27
ManulifeFinancialCorp,41%RestaurantBrands
Intl38%IGM
FinancialInc25%Arc
ResourcesLtd-25%Wheaton
MetalsCorp-32%
CenovusEnergyInc-33%
BIGGEST MOVERS
CE | Holdings
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
SecuritySelection
-0.03%
Sector Allocation
.98%%
Sources of Active Return by Sector
28
Active Return
ActiveReturn0.95%
.60% .82%
.05% -.10%
.11% -.30%
.36% .01%
-.53% .40%
-.27% 0.95%
-0.80% -0.60% -0.40% -0.20% 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20%
ConsumerDiscretionaryFinancials
TelecommunicationServicesUtilities
ConsumerStaplesInformationTechnology
HealthCareRealEstateIndustrials
EnergyMaterials
Total
Allocation Selection
CE | Attribution
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
29
1.310.78
-1.14 -1.50
-1.00
-0.50
0.00
0.50
1.00
1.50
SelectionEffectIndustryStyle
CESIAS- FactorAnalysis
OVERCONSDISCRUNDERPRECMET
RESTAURANTBRANDSONEXBNSSUNCOR
STYLEINDUSTRYIDIOSYNCRATIC
Industry:CAConsDisc0.49
Industry:CAPrecMet0.49
Industry:CATech0.17Industry:CAFinSvcs
-0.41
Style:CALeverage-0.38
Industry:CAIndustrl-0.2
4%
-2%
3%
-3%
19%
-2%
-0.50 -0.40 -0.30 -0.20 -0.10 0.00 0.10 0.20 0.30 0.40 0.50 0.60
TOP&BOTTOM3CTR
FactorCTR ActiveExposure
OVERLEVERAGEUNDERMOMENTUM
CE | Attribution
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
SECTOR COMPANY DATE SELL /BUY Δ % TRADE Δ % SP TSX TR
Materials 1st Nov 16 BUY 26.05% 8.57%
Insurance 1st Nov 16 SELL -10.34% 8.57%
Banks17th Mar 17
&19th May 17 BUY 5.85% .93%
Discretionary 17th Mar 17 SELL 22.05% .93%
Energy 22nd Mar 17 BUY -.35% -3.19%
Staples 19th May 17 SELL 4.42% 2.26%30
CE | Transaction Lookback
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
31
• New documentation standards
• Macro discussions
• Strategy discussions
• Legacy spreadsheets
• Bloomberg integration
• Slack platform
• Weekly newsletter
• Overlap between cohorts for trainings & collaboration
CE | Improvements
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Global Equity Performance Review
Presented by
Yi(Helen) Li
ROW Analyst/Proxy Voter
30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
GE Annual Performance VS. BenchmarkSIASGlobalEquity9.05%
MSCIWorldIndex12.40%
Beginning Value
CAD$5.99 Million
Sep 30th, 2016
Ending Value
CAD$6.49 Million
Sep 30th, 2017
Return
CAD$2,462,897.95
9.05% 0.04%
-0.20%
0.74%
-0.87%
-3.35%
-3.30% -2.80% -2.30% -1.80% -1.30% -0.80% -0.30% 0.20% 0.70%
Africa/MiddleEast
AsiaPacific
EmergingMarket
Europe
NorthAmerica
SectorAllocation SecuritySelection
Global Equity | Performance Review
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
33
FRANCE,24.18%
GERMANY19.82%
EUROPEALLINCUKGEOGRAPHICFOCUS
16.15%AUSTRALI
A7.10%
INDIA
6.99%
NEWZEALAND-0.74%
BIGGEST MOVERS
Europe24%
Asia Pacific
14%
Emerging Market
5%
North America57%
HOLDINGS
37.37%ofSIASPortfolio
Global Equity | Holdings
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
34
Region• Benchmark
Active Weight• Strategy
Country• Macro Economy
and Political
Sector• Historical
Performance and Outlook
Company/ETF Provider• Financial and
ESG/Holdings
Decision Making Process
Emerging Market
China
Technology Sector
Guggenheim
Rest of the World| Compliance Process
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
IPS Changes
Maximum of 35 Holdings
Minimum weight of 45% in ETFs
15 ETFS to replicate the MSCI World
20 Stocks for an active exposure
35
RoW|2016 – 17 Transactions
REGION COUNTRY DATE SELL /BUY Δ % TRADE Δ % MSCI WORLD
EmergingMarket
GuggenheimChina
TechnologySector ETF
21st Sept 17 BUY 2.18% 1.86%
Europe France 21st Sept 17 BUY 1.65% 1.86%
Asia Pacific 21st Sept 17 SELL -1.97% 1.86%
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
36
U.S. Equity Performance Review
Presented by
Aleck An
U.S. Equity Analyst/Trader
38
Consumer Discretionary
17.62%
Consumer Staples7.54%
Energy5.37%
Financials7.91%
Health Care
16.39%
Industrials13.33%
Information Technology
22.41%
Real Estate2.52%
Telecommunication Services
4.46%
Utilities2.46%
Materials0.00%
U.SEquityHoldings
McDonald's
32.54%HomeDepot29.73%
CBRE 28.85%
XLE -4.73%
Disney -14.18%
GE -19.08%
BIGGEST MOVERS
U.S. Equity| Holdings
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
39
-1.10%
0.10%
0.09%
-0.69%
0.20%
0.50%
-1.44%
0.45%
0.19%
0.00%
-0.42%
-2.12%
-2.5000% -2.0000% -1.5000% -1.0000% -0.5000% 0.0000% 0.5000% 1.0000%
ConsumerDiscretionary
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTechnology
RealEstate
TelecommunicationServices
Utilities
Materials
TotalUS
ATTRIBUTION
SectorAllocation SecuritySelection
U.S. Equity| Attribution
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
40
Idea Generation
Preliminary Screening
1st Round Discussion
Equity Analysis2nd Round of DiscussionVoting
Cooling-off Period
Revisit the Decision
Implement the Strategy
U.S. Equity| Decision Making Process
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Transactions Lookback
41
SECTOR COMPANY DATE SELL /BUY Δ % TRADE Δ% MSCI TR
Discretionary 27th Feb 17 BUY -14.18% 4.69%
Discretionary 27th Feb 17 SELL -29.44% 4.69%
IT 16th May 17 SELL 12.93% -3.08%
Financials 18th May 17 BUY 3.34% -1.75%
IT 29th June 17 BUY -5.58% 0.37%
IT 29th June 17 BUY 0.02% 0.37%
IT 29th June 17 & 18th Sep 17 SELL -4.93% 3.08%
Industrial 29th June 17 SELL -2.66% 0.37%
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Transactions Lookback
42
SECTOR COMPANY DATE SELL /BUY Δ % TRADE Δ % MSCI World Index
Staples 29th June 17 SELL -9.74% 0.37%
Health Care 25th Sep 17 SELL -4.10% 1.79%
IT 25th Sep 17 BUY 6.08% 1.79%
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Fixed Income
Presented by
Veronica Zhang
FI Portfolio Manager
44
BeginningValue
CAD$4.33Million
Sep30th,2016
EndingValue
CAD$4.19Million
Sep30th,2017
Return
CAD$384,743.91
-2.87%
Fixed Income Performance Review
Active Return 0.27%
Fixed Income 2017 AnnualBenchmarkSIAS FI
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
FixedIncome
Learning & Transition
45
Federal16%
Provincial 48%
Municipal5%
Corporate31%
FI Composition As of 09/30/2016
Federal14%
Municipal3%
Provincial45%
Corporate38%
FI Composition As of 09/30/2017
Fixed Income Holdings
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
FixedIncome
Learning & Transition
46
Provincial: Decreased Weight
Corporate:Increased Exposure to BBBCorp Sectors
Sovereign: Kept Underweightingon Sovereign Bonds
Municipal: Matured Bond
45%
3%
38%
14%
Federal37%
Municipal2%
Provincial34%
Corporate27%
FTSE Canadian Universe
Fixed Income Holdings
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
FixedIncome
Learning & Transition
1.01 1.10
3.53
0.31
1.05
3.47
0.00
1.00
2.00
3.00
4.00
(1-5years) (6- 10years) (10+years)
Government Sector Duration
Benchmark
SIASFI
47
0
0.5
1
1.5
2
2.5
3
1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 20Y 30Y
Canada Sovereign Yield Curve
2016/09/30
0
0.5
1
1.5
2
2.5
3
3.5
1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y
Provincial AA+, AA, AA- Yield Curve
2016/09/30 2017/09/30 2017/09/30
Fixed Income Performance Analysis
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
FixedIncome
Learning & Transition
0.00
0.18 0.190.13
0.24
0.52
0.17
0.43
0.16
0.35
0.15
0.66
0.380.33
0.000.100.200.300.400.500.600.70
Basic Material Communications Consumer Diversified Energy Financial Industrial Utilities
Corporate Sector Duration
Benchmark SIAS FI
48
0
20
40
60
80
100
120
140
160
180
1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y
Corp AA+, AA, AA- G-Spread
2016/09/30 2017/09/30
0
50
100
150
200
250
300
1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y
Corp BBB+, BBB, BBB- G-Spread
2016/09/30 2017/09/30
Fixed Income Performance Analysis
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
FixedIncome
Learning & Transition
49
Fixed Income Performance Analysis
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
FixedIncome
Learning & Transition
2017 Annual Universe BM(XBB) SIAS Relative Contribution to Duration
Easy to observed yield changes
Estimated Performance Impact
NominalDuration 7.51 6.86 -0.65 0.14% 0.09%Quasi 3.47 3.44 -0.03 -0.11% 0.00%Corp(A&BBB) 1.87 2.03 0.12 -0.14% 0.02%
0.04 -0.25% 0.01%EstimatedImpactfromrelativecontributiontoduration 0.11%
YieldAdvantage 0.21%
EstimatedModelPerformance 0.30%ActualPerformance 0.27%Error -0.03%
2.173.31
0.161.871.39
3.24
0.19
2.03
0.00
2.00
4.00
Federal Provincal Municipal Corporate
DurationBenchmark SIASFI
50
Transaction
SECTOR COMPANY DATE SELL /BUY
EnergyPPLCN 3.71 08/11/26
Mar 22nd, 17&
June 29th, 17 BUY
Consumer StapleSAPCN 2.827 11/21/23
Mar 22nd, 17 BUY
Consumer StapleLCN 5.9 01/18/36
June 29th, 17 BUY
UtilityFTSCN 2.85 12/12/23
June 30th, 17 BUY
ProvincialALTA 3.4 12/01/23
June 29th, 17 SELL
CommunicationBCECN 2.9 08/12/26
Aug 21st, 17 BUY
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
FixedIncome
Learning & Transition
51
New TeamTraining
Bond Market Analysis,
Duration Match, Curve Building
Analyst Report
Weekly News
Summary
Going Forward
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
FixedIncome
Learning & Transition
52
Going Forward
Step 1 Investment Ideas
Step 2Feedback/ImprovementStep 3
Step 4
Discuss within SIAS/First Check with Compliance Team
Step 5
Step 6 Final Check with Compliance Team/ Proceed Transactions
Discuss in House
Vote
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
FixedIncome
Learning & Transition
53
MarieMao
NancyZhao
TomChen
Wenrui Huang
RachelZhang
DavidXu
New Team
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
FixedIncome
Learning & Transition
Presentation
Q&A
Feedback
Reception
Agenda
Appendix
Compliance and Performance
56
Canadian Equity Compliance ReviewAs of Sep 30, 2017
SIAS Compliance Review
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
57
Global Equity Compliance ReviewAs of Sep 30, 2017
SIAS Compliance Review
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
58
Fixed Income Compliance ReviewAs of Sep 30, 2017
SIAS Compliance Review
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Appendix
Canadian Equity
60
SIAS Canadian Equity
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Canadian Quarterly Return - TTM
4.70% 2.68% 0.32% 2.37%
Q42016 Q12017 Q22017 Q32017
Quarterly Return
SIASCanadianEquity SPTSXTotalReturn
0.2% 0.3%
2.0%
-1.3% Q4 Q1 Q2 Q3
Beginning Value
CAD$ 5.5 Million
Sep 30th, 2016
Ending Value
CAD$ 6.3 Million
Sep 30th, 2017
Return
CAD$ 812,891.65
10.1%
61
SIAS Canadian Equity
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Consumer Discretionnary
7%Consumer
Staples3%
Energy17%
Financials39%
Healthcare0%
Industrials8%
Info Tech3%
Materials9%
Real Estate
2%
Telecom Serv7%
Utilities5%
SIAS HOLDINGS
Consumer Discretionnary
5%Consumer
Staples4%
Energy21%
Financials34%
Healthcare1%
Industrials9%
Info Tech3%
Materials12%
Real Estate
3%
Telecom Serv5% Utilities
3%
BM HOLDINGS
62
SIAS Canadian Equity
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Company SubSectorName Sector %HoldingRestaurantBrandsIntlInc HotelsRestaurants&Leisure C.Discretionary 6%CineplexInc Media C.Discretionary 1%MetroInc Food&DrugRetailing C.Staples 3%SuncorEnergyInc Energy Energy 4%CanadianNaturalResourcesLtd Energy Energy 3%TranscanadaCorp Energy Energy 3%EnbridgeInc Energy Energy 3%HuskyEnergyInc Energy Energy 2%CenovusEnergyInc Energy Energy 1%ArcResourcesLtd Energy Energy 1%RoyalBankOfCanada Banks Financials 6%Toronto-DominionBank Banks Financials 6%BankOfNovaScotia Banks Financials 5%OnexCorp DiversifiedFinancials Financials 3%IgmFinancialInc DiversifiedFinancials Financials 1%TrisuraGroupLtd DiversifiedFinancials Financials 0%SunLifeFinancialInc Insurance Financials 5%ManulifeFinancialCorp Insurance Financials 5%ThomsonReutersCorp Media Financials 4%BrookfieldAssetMgmtInc RealEstate Financials 5%ExcoTechnologiesLtd CapitalGoods Industrials 1%CanadianNationalRailwayCo Transportation Industrials 7%CgiGroupInc Software&Services IT 3%WheatonPreciousMetalsCorp Materials Materials 2%CclIndustriesInc Materials Materials 2%SandstormGoldLtd Materials Materials 1%CamecoCorp Materials Materials 1%GoldcorpInc Materials Materials 1%PotashCorpOfSaskatchewan Materials Materials 1%TeckResourcesLtd Materials Materials 1%SlateOfficeReit RealEstate-Trusts RealEstate 1%CanadianReit RealEstate-Trusts RealEstate 1%BceInc CommunicationServices Telecomm 4%RogersCommunicationsInc CommunicationServices Telecomm 3%BrookfieldRenewablePartners LimitedPartnership Utilities 2%EmeraInc Utilities Utilities 3%
Appendix
Global Equity
Beginning Value
CAD$ 2.4 Million
Sep 30th, 2016
Ending Value
CAD$ 2.8 Million
Sep 30th, 2017
Return
CAD$ 333,750
12.11%
Rest of the World Performance Review
9/30/2016 12/31/2016 3/31/2017 6/30/2017 9/30/2017
CumulativeReturn
RestoftheWorld GEBenchmark
RegionSector
AllocationSecurity
SelectionActive Return
Africa/Middle East 0.02% 0.02% 0.04%Asia Pacific 0.12% -0.32% -0.20%Emerging Market -0.11% 0.85% 0.74%Europe -0.23% -0.64% -0.87%ROW -0.20% -0.10% -0.30%
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Global Equity Sector Performance Review
Active Return-3.35%
Region Sector Allocation Security Selection Active Return
Africa/Middle East 0.0214% 0.0185% 0.0399%Asia Pacific 0.1178% -0.3207% -0.2029%Emerging Market -0.1111% 0.8470% 0.7360%Europe -0.2309% -0.6396% -0.8705%
North America -0.3129% -2.7429% -3.0558%Total -0.5158% -2.8376% -3.3533%
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Rest of the World | Holdings
Europe Inc UK
Geographic Focus
30.57%
United Kingdom9.13%
Germany7.78%
France6.13%
Switzerland5.04%
Japan21.27%
Australia5.61%
Hong Kong2.17%
Singapore1.13%
South Korea5.94%
China2.64% India
2.58%
15.86% of SIAS Portfolio
Europe58.65%
Asia Pacific30.19%
Emerging Market11.16%Region Overweight
Asia Pacific 0.89%Emerging
Market 3.23%
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
RoW|Holdings Active Return
Country Sector Allocation
Security Selection
Return in portfolio
Return in Benchmark
Active Weight
Active Return
AUSTRALIA 0.00% -0.22% -3.26% -0.01% -0.12% -3.25%
HONG KONG -0.01% 0.07% 3.64% 0.58% -0.39% 3.06%
JAPAN 0.00% 0.48% 1.88% -0.15% -0.06% 2.03%
SINGAPORE 0.00% 0.03% 2.46% 0.38% 0.01% 2.08%
FRANCE -0.14% 0.48% 13.40% 2.50% -2.08% 10.90%
GERMANY -0.02% -0.12% 0.58% 2.06% -0.42% -1.49%
SWITZERLAND 0.02% 0.04% 0.28% -0.46% -1.58% 0.73%
UNITED KINGDOM 0.12% 0.01% 0.47% 0.45% 9.55% 0.02%
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
RoW|2016 – 17 Transactions
REGION COUNTRY DATE SELL /BUY Δ % TRADE Δ % MSCI WORLD
EmergingMarket India 12th Mar 16 DECLINED
SELL 1.74% 19.25%
Europe 12th Mar 16 DECLINED SELL 4.34% 19.25%
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Sector Currentactiveposition ActionPlan BUY Radar SELLRadar
EmergingMarkets 4.6% è
AsiaPacific 0.89%
èEurope -1.47% è
NorthAmerica
GE|Going Forward
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Appendix
U.S Equity
71
U.S. Equity| Security Selection
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
23.1
16.2
5.4
20.4
11.03
2.372.725.13
3.03
P/E P/CF P/B U.SEquityPortfolio Benchmark Difference
1.91.5
2.34
1.23
-0.41
0.26
Dividend Yield Current Ratio
U.SEquityPortfolio Benchmark Difference
72
-1.40% -1.20% -1.00% -0.80% -0.60% -0.40% -0.20% 0.00% 0.20% 0.40%
SectorActiveReturnbyAssetAllocation
AssetAllocation2016Q4 AssetAllocation2017Q1 AssetAllocation2017Q2 AssetAllocation2017Q3
-1.20% -1.00% -0.80% -0.60% -0.40% -0.20% 0.00% 0.20% 0.40% 0.60% 0.80%
SectorActiveReturnbyStockSelection
StockSelection2016Q4 StockSelection2017Q1 StockSelection2017Q2 StockSelection2017Q3
U.S. Equity|Attribution
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
73
Beginning Value
CAD$ 3.5 Million
Sep 30th, 2016
Ending Value
CAD$ 3.8 Million
Sep 30th, 2017
Return
CAD$ 302,116.73
8.61%
1.93%
2.49%
0.97%
-0.85%
3.61%
3.08%
0.16% 0.29%
16Q4 17Q1 17Q2 17Q3
QuarterlyWeight-AdjustedReturn- U.SEquity
SIASU.S BENCHMARK
U.S. Equity|Attribution
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
U.S Financial & Real Estate Sector in 17 Q3
Sector Weighted Adjusted Return
Active Weight* Active Return*
Financials 0.01% -3.9% -0.08%
Real Estate -0.02% -0.46% 0.02%*ComparedtoeachsectorIndex’sasofSep29,2017
74
76%
9%
15%
Holdings
FINANCIALSELECTSECTORSPDR
REALESTATESELECTSECTSPDR
CBREGROUPINC
WeightinU.SPortfolio
10.64%
WeightinGEPortfolio
6.28%
WeightinSIASPortfolio
2.31%
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
U.S IT & Telecom Sector in 17 Q3
Sector Weighted Adjusted Return
Active Weight* Active Return*
Information Technology -0.2279% -0.65% -0.70%
Telecommunications -0.0453% 1.3% -0.07%*ComparedtoeachsectorIndex’sasofSep29,2017
75
WeightinU.SPortfolio
33.24%
WeightinGEPortfolio
19.61%
WeightinSIASPortfolio
7.24%
4.50%
4.43%
4.13% 2.26% 6.95%
4.53%
6.44%
Holdings
ALPHABETINC-CLA ALPHABETINC-CLC
AMAZON.COMINC FACEBOOKINC
VISAINC AT&TINC
CISCOSYSTEMSINC
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
U.S Consumer Sector in 17 Q3
Sector Weighted Adjusted Return
Active Weight* Active Return*
Consumer Staples -0.0767% -1.12% 0.13%Consumer
Discretionary -0.1793% 2.42% 0.14%*ComparedtoeachsectorIndex’sasofSep29,2017
76
WeightinU.SPortfolio
20.84%
WeightinGEPortfolio
12.3%
WeightinSIASPortfolio
4.54%
5.35%
2.28%
6.75%
4.40%
2.06%
Holdings
COCA-COLACO/THE WALTDISNEYCO/THE
HOMEDEPOTINC/THE MCDONALD'SCORP
WAL-MARTSTORESINC
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
U.S Material & Industrials Sector in 17 Q3
Sector Weighted Adjusted Return
Active Weight* Active Return*
Industrials -0.1356% 1.83% -0.20%
Materials 0% -1.88% -0.03%
*ComparedtoeachsectorIndex’sasofSep29,2017
77
WeightinU.SPortfolio
12.66%
WeightinGEPortfolio
7.47%
WeightinSIASPortfolio
2.76%
7.62% 3.99%
1.04%
Holdings
3MCO GENERALELECTRICCO
EMERSONELECTRICCO
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
U.S Healthcare Sector in 17 Q3
Sector Weighted Adjusted Return
Active Weight* Active Return*
Healthcare -0.1667% 1.05% -0.16%*ComparedtoeachsectorIndex’sasofSep29,2017
78
WeightinU.SPortfolio
14.63%
WeightinGEPortfolio
8.63%
WeightinSIASPortfolio
3.19%
5.45%
2.73%
6.44%
Holdings
VARIANMEDICALSYSTEMSINC
AMERISOURCEBERGENCORP
JOHNSON&JOHNSON
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
U.S Utilities & Energy Sector in 17 Q3
Sector Weighted Adjusted Return
Active Weight* Active Return*
Utilities -0.0004% -0.49% 0.0193%
Energy 0.0009% -0.45% -0.0769%
*ComparedtoeachsectorIndex’sasofSep29,2017
79
WeightinU.SPortfolio
7.99%
WeightinGEPortfolio
4.42%
WeightinSIASPortfolio
1.74%
7.62% 3.99%
1.04%
Holdings
3MCO GENERALELECTRICCO
EMERSONELECTRICCO
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
Appendix
Fixed Income
81
Federal14%
Municipal3%
Provincial45%
Corporate
38%
FI Holdings
Federal37%
Municipal2%
Provincial34%
Corporate27%
Benchmark Holdings
2.173.31
0.16
1.871.39
3.24
0.19
2.03
0.00
2.00
4.00
Federal Provincal Municipal Corporate
DurationBenchmark SIASFI
Fixed Income
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
82
Fixed Income
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
83
Fixed Income
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
84
Fixed Income
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
85
Adrian Zhang
Sherry Xie
Karen Cui
Jing Liang
Thank You
Previous TeamFixed Income
Compliance
Performance& Risk
Canadian Equity
Global Equity
Appendices
Introduction
Fixed Income
Learning & Transition
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