Q2&Q3 Performance Review Nov. 1, 2017 · 2020-01-27 · FRANCE, 24.18% GERMANY 19.82% EUROPE ALL...

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 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


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


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


8

ESG Integration

Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


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


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


Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


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


Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


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%


Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


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


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


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


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


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


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


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


Other

Introduction

21

Compliance: How do we function?

Compliance Team Equity Team

Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


Other

Introduction

22



Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


Other

Introduction

23



Trader

Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


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


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


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


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


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


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


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


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


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


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


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


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


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


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


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


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


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


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


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


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


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


Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

FixedIncome


49


Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

FixedIncome


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


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


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


53

MarieMao

NancyZhao

TomChen

Wenrui Huang

RachelZhang

DavidXu

New Team

Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

FixedIncome


Presentation

Q&A

Feedback

Reception

Agenda

Appendix

Compliance and Performance

56

Canadian Equity Compliance ReviewAs of Sep 30, 2017


Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


57

Global Equity Compliance ReviewAs of Sep 30, 2017


Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


58

Fixed Income Compliance ReviewAs of Sep 30, 2017


Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


Appendix

Canadian Equity

60

SIAS Canadian Equity

Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


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


Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income



7%Consumer

Staples3%

Energy17%

Financials39%

Healthcare0%

Industrials8%

Info Tech3%

Materials9%

Real Estate

2%

Telecom Serv7%

Utilities5%

SIAS HOLDINGS


5%Consumer

Staples4%

Energy21%

Financials34%

Healthcare1%

Industrials9%

Info Tech3%

Materials12%

Real Estate

3%

Telecom Serv5% Utilities

3%

BM HOLDINGS

62


Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


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


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


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


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


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


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


Appendix

U.S Equity

71

U.S. Equity| Security Selection

Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


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


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


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


U.S IT & Telecom Sector in 17 Q3



Information Technology -0.2279% -0.65% -0.70%

Telecommunications -0.0453% 1.3% -0.07%*ComparedtoeachsectorIndex’sasofSep29,2017

75


33.24%

WeightinGEPortfolio

19.61%


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


U.S Consumer Sector in 17 Q3



Consumer Staples -0.0767% -1.12% 0.13%Consumer

Discretionary -0.1793% 2.42% 0.14%*ComparedtoeachsectorIndex’sasofSep29,2017

76


20.84%

WeightinGEPortfolio

12.3%


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


U.S Material & Industrials Sector in 17 Q3



Industrials -0.1356% 1.83% -0.20%

Materials 0% -1.88% -0.03%

*ComparedtoeachsectorIndex’sasofSep29,2017

77


12.66%

WeightinGEPortfolio

7.47%


2.76%

7.62% 3.99%

1.04%

Holdings

3MCO GENERALELECTRICCO

EMERSONELECTRICCO

Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


U.S Healthcare Sector in 17 Q3



Healthcare -0.1667% 1.05% -0.16%*ComparedtoeachsectorIndex’sasofSep29,2017

78


14.63%

WeightinGEPortfolio

8.63%


3.19%

5.45%

2.73%

6.44%

Holdings

VARIANMEDICALSYSTEMSINC

AMERISOURCEBERGENCORP

JOHNSON&JOHNSON

Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


U.S Utilities & Energy Sector in 17 Q3



Utilities -0.0004% -0.49% 0.0193%

Energy 0.0009% -0.45% -0.0769%

*ComparedtoeachsectorIndex’sasofSep29,2017

79


7.99%

WeightinGEPortfolio

4.42%


1.74%

7.62% 3.99%

1.04%

Holdings

3MCO GENERALELECTRICCO

EMERSONELECTRICCO

Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


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


82

Fixed Income

Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


83

Fixed Income

Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


84

Fixed Income

Compliance

Performance& Risk

Canadian Equity

Global Equity

Appendices

Introduction

Fixed Income


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


Q2&Q3 Performance Review Nov. 1, 2017 · 2020-01-27 · FRANCE, 24.18% GERMANY 19.82% EUROPE ALL...

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Transcript of Q2&Q3 Performance Review Nov. 1, 2017 · 2020-01-27 · FRANCE, 24.18% GERMANY 19.82% EUROPE ALL...