SIAS | 2018 Annual Performance Review · 2018-11-29 · Performance Differences-10-8-6-4-2 0 2 4 6...

SIAS | 2018 Annual Performance Review

November 27th, 2018

500 Granville Street | Vancouver | British Columbia | Canada | beedie.sfu.ca/graduate/msc-finance/sias Strictly Private & Confidential – Not For Public Distribution

Presentation

Q&A

Feedback

Reception

Agenda

Carol Liu | Risk & Compliance Analyst, ESG Analyst

minyul@sfu.ca

II. Risk & ESG

Global Equity, 38.22%

Canadian Equity, 33.87%

Fixed Income, 25.05%

Cash & Cash Equivalent, 2.86%

SIAS Asset Mix

• No. of Holdings: 35

• MV: $6.9 mm

• Benchmark: MSCI World

Index

• Benchmark Weight: 35%

• No. of Holdings: 34

• MV: $4.5 mm

• Benchmark: FTSE TMX

Canada Universe Bond

Index

• Benchmark Weight: 28%

• No. of Holdings: 37

• MV: $6.1 mm

• Benchmark: S&P TSX Capped

Composite Index

• Benchmark Weight: 35%

4

SIAS 10-Year Historical

Year End Market Value in the past 10 Years (in millions)

10-Year Cumulative Return

8.009.54

10.49 10.57 11.4313.24

14.7015.63

16.7018.18 17.90

$0.00

$5.00

$10.00

$15.00

$20.00

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

-4.30%

5.20% 6.10%

14.80%

33.00%

47.70%

57.10%

73.80%

89.20% 89.17%

-5.40%4.40%

2.90%

11.70%

27.70%

42.40%48.10%

61.40%

75.80%75.85%

-20.00%

0.00%

20.00%

40.00%

60.00%

80.00%

100.00%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

SIAS

5

-2.00%

-1.50%

-1.00%

-0.50%

0.00%

0.50%

1.00%

10/17 11/17 12/17 1/18 2/18 3/18 4/18 5/18 6/18 7/18 8/18 9/18 10/18

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

10/17 11/17 12/17 1/18 2/18 3/18 4/18 5/18 6/18 7/18 8/18 9/18 10/18

SIAS : 0.22% Benchmark : 0.99%

2018 Performance

SIAS Cumulative Return vs. BenchmarkHIGHLIGHTS————————

Beginning Value

CA$ 18.1 mm

Ending Value

CA$ 17.9 mm—————————

SIAS Return

-1.10%

Benchmark Return

0.07%—————————

Active Return

-1.17%

Tracking Error

2.13%

Information Ratio

-0.55%

Cumulative Active Return

YTD

YTD

6

Positive Allocation Effect & Negative Selection Effect

Active Return Breakdown (as of 31/10/2018)

Tracking Error Information Ratio

Canadian Equity 2.5% -0.64

Global Equity 2.07% -0.75

US 3.3% -0.003

ROW 1.47% -0.85

Fixed Income 0.35% 0.97

Risk Overview

0.05% 0.07%0.01%

-0.56% -0.54%

0.10%

-0.60%

-0.50%

-0.40%

-0.30%

-0.20%

-0.10%

0.00%

0.10%

0.20%

Canadian Equity Global Equity Fixed Income

Asset Allocation Effect Stock Selection Effect

Attribution Analysis

-1.60%

-1.54%

0.34%

-2.00% -1.50% -1.00% -0.50% 0.00% 0.50%

Canadian Equity

Global Equity

Fixed Income

7

Future Plan

Risk &

Compliance

RiskCompliance

&

Operations

Future Plan

• Improve the regular compliance

monitoring process by using more

automation

• Recruit more people for future

development

• Actively communicate with treasury to

improve efficiency

• Enhance the risk model to quantify

marginal risk impact of a new

transaction to the current portfolio

8

Involving ESG into Stock Selection-Goeasy Ltd

ESG Matrix

Key sector characteristic and ESG issues

1. Environmental - environmentally

responsible practices: creating green

financial products

2. Social – fair marketing, data security,

access and affordability

3. Governance – director independence,

executive compensation

• Proper employee training to achieve fair

marketing

• No data breach or customers’ privacy

issue yet but little disclosure of data

protection effort

Starting from sector

Digging into company

GSY

CN

Environment

10%

Environmentally responsible

practices（100%）2

Total 2

Social

60%

Fair marketing(30%) 4

Data security(40%) 3

Access and affordability

（30%）4

Total 3.6

Governance

30%

Director

independence(50%)5

Executive

compensation(50%)3

Total 4

Total ESG Score 3.56

9

ESG

Macro

Canadian Equity

Fixed Income

Global Equity

New SIAS structure with a much

wider application of ESG

Enhance proxy voting procedure

and progress

Monthly/quarterly/annual results

discuss deliver

Collaborate with Risk team to

enhance the overall risk

assessment process

Big Picture of Today

Future Plan

10

Marie Mao | Chief Investment Officer

maoruim@sfu.ca

II. Asset Allocation Review

5% 3% 2%

23% 25% 28%

2017 Oct 2018 Oct Benchmark

Better Cash Utilization Within Broad Fixed Income Asset Class

2018 Positioning: Overweight Global & Underweight Canada

Active Asset Allocation Weights For 2018 Annual

-2%

-1%

3%

-3% -2% -1% 0% 1% 2% 3% 4%

Canadian Fixed Income & Cash

Canadian Equity

Global Equity

38% Underweight Overweight

34%

28%

Canadian Fixed Income

Cash & Equivalents

12

Active Asset Allocation Weights For 2018 Annual

Global Equity: Overweight United States & Emerging Market

2%

0%

-1%

2%

3%

-2% -1% 0% 1% 2% 3% 4%

United States

Other Advanced

Europe

Emerging

Global Equity

* Average Active Weights From 2017 Oct to 2018

Oct

Su

b-A

ss

et

Cla

ss

es

Underweight Overweight

13

Un

de

rperf

orm

Overweight Underweight

Ou

tperf

orm

Macro tilts worked well, except for Emerging Markets

Canadian Equity Canadian

Fixed

Income

0.05%

0.01%

Global Equity

0.07%

Emerging Markets

0.19%

United

States

Europe-0.18%

0.06%

14

1.20

1.25

1.30

1.35

60

62

64

66

68

70

72

Weakening Emerging Market Currency Led To Large Capital Outflow From EM

Emerging Market Currency Index USD/CAD Currency

… EM Currency Down By 10%

Strengthening US Dollar Since 2018 …

Strong USD helped US equities, hurt EM positions

15

… while trade war concerns weigh on confidence2

.7%

2.6

%

2.2

%

2.0

%

5.1

%

2.5

%

2.6

0%

1.9

%

2.0

%

4.7

%

0%

1%

2%

3%

4%

5%

6%

US OtherAdvanced

EU Canada EM

Real GDP Growth Forecast

Lowered Economic Growth Outlook Amid Trade Tension Fed Hikes and Trump’s Trade War Have Cash Flying Out

130

140

150

160

170 Continuous Capital Outflows

From Emerging Market

• Lost In Business Confidence

• Escalating Risk

Emerging Market Is

The Most Vulnerable

2019 Forecast (Before Revision)

2019 Forecast (After Revision) Emerging Market Capital Flow Proxy Index

16

Newly formed Macro team with more research effort

Phase of Economic Business Cycle?

Phase of Inventory Cycle?

Inflation Expectations?

Monetary and Fiscal

Policies?

Preferred Asset Class in current

Economic Conditions

Research Method: Capital Market Theory

Macro Team

(10)

Europe Analyst

Capital Market Expectations

A/P Emerging Analyst

Capital Market Expectations

A/P Developed

Analyst

Capital Market Expectations

North America Analyst

Capital Market Expectations

Recommendation

on Capital Market

Expectations &

Asset Allocation

Canadian Equity Team

Canadian Fixed Income

Team

Global Equity Team

Clear Team Structure & Systematic Research Method

17

Xiaoyu Fu | CEO & Canadian Energy sector Analyst

xfa17@sfu.edu

III. Canadian Equity

-3

-2.5

-2

-1.5

-1

-0.5

0Performance Differences

-10-8-6-4-202468

Total Return (%)

SIAS Canadian Equity SPTSX Composite

Market Value Declined 0.15mm with 160 bps Active Loss

SIAS Canadian Equity Cumulative Return vs. Benchmark

Cumulative Active Return: -1.60%

HIGHLIGHTS

Oct’ 17-Oct’ 18

———————

Beginning Value

CA$ 6.20 mm

Ending Value

CA$ 6.05 mm

—————————

Active Return

-1.60%

—————————

Tracking Error

2.50%

Information Ratio

-0.77

* Benchmark: S&P TSX

18 Q3

18 Q318 Q2

18 Q2

19

-0.20%

0.16%

-0.44%

-0.06%

-0.18%

0.06%

-0.01%

0.09%

-0.04%

-0.08%

-0.05%

Industrial

Materials

Health Care

Real Estate

Communication Services

Energy

Consumer Staples

Information Technology

Utilities

Consumer Discretionary

Financial

Sector Allocation contributed -79 bps active return

Underweight

Overweight

Sector Allocation’s Contribution to Active Return (%)

20

0.14%

0.07%

0.06%

-0.79%

0.69%

0.14%

0.11%

-0.03%

-0.14%

-0.50%

Industrials

Materials

Real Estate

Communication Services

Energy

Consumer Staples

Information Technology

Utilities

Consumer Discretionary

Financial

Stock Selection Contributes -81 bps Active Return

Selection’s Contribution to Active Return (%)

Overweight

Underweight

Nov 2nd 2017: Bought 4600 shares of CORUS at C$11.85. Sector Over-

Weight

July 5th 2018: Sold 7850 shares of CORUS at C$4.81. Sector Under-

Weight

Jul 25th 2018: Sold 900 shares of Bank of Nova Scotia at

C$76.48 Sep 26th 2018: Bought 1,500 shares of GOEASY at

C$54.57. Current Price: C$38.54

21

0.18

0.160.15

0.13 0.13

0

0.05

0.1

0.15

0.2

-0.31

-0.25

-0.21 -0.21

-0.16

-0.35

-0.3

-0.25

-0.2

-0.15

-0.1

-0.05

0

-0.71

-0.61

-0.44-0.4 -0.39

-0.8

-0.7

-0.6

-0.5

-0.4

-0.3

-0.2

-0.1

0

Contribution to Returns from Individual SecuritiesU

nd

erp

erfo

rmed

Ou

tperf

orm

Un

de

rperf

orm

Overweight Underweight

0.62

0.320.25

0.16 0.14

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

22

Transactions in Canadian Equity Portfolio

CORUS ENTERTAINMENT

Base Price: $11.85

Bought 4,600 Shares

ROGERS COMMUNICATIONS

Base Price: $56.91

Sold 2,800 Shares

BUY SELL

CGI

Base Price: $73.76

Bought 2,200 Shares

BANK OF NOVA SCOTIA

Base Price: $76.48

Sold 900 Shares

CHOICE PROPERTIES REIT

Base Price: $11.56

Bought 5904 Shares

ARC RESOURCES

Base Price: $15.39

Bought 5000 Shares

GOEASY LTD.

Base Price: $54.57

Bought 1500 Shares

ISHARES CORE S&P/TSX

CAPPED

Base Price: $24.89

Sold 4,200 Units

CORUS ENTERTAINMENT

Base Price: $4.81

Sold 7,850 Shares

23

Future Plan

Performance Measurement

Training Sessions

Company research training

ESG analysis training

Training for successive cohort

Canadian Equity Team

Portfolio Manager (1)

Portfolio Performance & Asset Allocation

Sector Managers (21)

Sector Performance &

Company Analysis

What’s New

Sector Managers

Overall Contribution

to Team

Knowledge of Sector

Completion & Quality of Analysis

Portfolio Manager

Knowledge of Asset

Classes

Portfolio Management

Ability

Leadership Ability

Elimination of the voting system for stock

selection

Addition of Slack Channels for report

submission and news sharing

24

David Xu | Fixed Income Analyst

xihanx@sfu.ca

IV. Canadian Fixed Income

Rachel Zhang | Fixed Income Portfolio Manager

rza60@sfu.ca

SIAS Fixed Income: Outperformed by 35 bps

SIAS Fixed Income Cumulative Return vs. Benchmark (17’Oct-18’Oct)

HIGHLIGHTS

17’Oct-18’Oct

———————

Beginning Value

CA$ 4.2 mm

Ending Value

CA$ 4.5 mm—————————

Active Return

0.35%—————————

Tracking Error

0.35%

Information Ratio

1.00

-2.00%

-1.00%

0.00%

1.00%

2.00%

10/31 11/30 12/31 01/31 02/28 03/31 04/30 05/31 06/30 07/31 08/31 09/30 10/31

SIAS Fixed Income: -0.27% (Oct 2017-Oct 2018) Benchmark: -0.62% (Oct 2017-Oct 2018)

-0.20%

-0.10%

0.00%

0.10%

0.20%

0.30%

0.40%

10/31 11/30 12/31 01/31 02/28 03/31 04/30 05/31 06/30 07/31 08/31 09/30 10/31

Cumulative Active Return: 0.35% (Oct 2017-Oct 2018)

YTD

YTD18’ Oct

18’ Oct

26

45%34%

15% 35%

40%30%

PORT BENCH

37% 35%

22%34%

41%31%

PORT BENCH

Dollar Weight: Overweight Corp & Provincial Bonds

SIAS Fixed Income: Dollar Weight Breakdown

17’ Oct 18’ Oct

Corp

——————

Sovereign

——————

Provincial

Corp

Called*

& Matured

& Sold <

Corp

Bought

Bought

LT

Sovereign

4.2 mm 4.5 mm

* BMO 6.17 03/28/23 was called on 03/28/2018

Sold

MT

Provincial

27

Duration: Underweight Corp & Provincial Bonds

Avg. Duration (17’Oct - 18’Oct)

Contribution to Duration (17’Oct) Contribution to Duration (18’Oct)

Port Bench +/-

Duration 7.1 7.47 -0.37

+/-

SIAS Fixed Income -0.67

Corporate Debt 0.05

Government Debt -0.74

Provincial -0.17

Sovereign & Agency -0.57

+/-

SIAS Fixed Income -0.21

Corporate Debt -0.12

Government Debt -0.09

Provincial -1.11

Sovereign & Agency 1.02

Barbell Strategy & prepared for a rising interest rate environment

28

Active Return Attribution: Most Factors are Positive

① ② ③

0.35

-0.06

0.27

0.12

0.02

-0.10

0.00

0.10

0.20

0.30

0.40

Total Return Yield Curve Spread Time Return Selection Effect

Active Return Attribution

29

0

0.2

0.4

0.6

0.8

0 4 8 12 16 20 24 28

Key

Rate

Dura

tion

Tenor

Key Rate Duration BM KRD Port KRD

① Yield Curve Movement: Negative Return Contribution

Active Return from Curve Change % -0.06

Market

Curve

up

—————

Portfolio

Lose in MT

Curve

1

1.4

1.8

2.2

2.6

3

1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y

Sovereign Yield Curve Change

10/31/2017 10/31/2018

Upward shift helped, but was offset by flattening

30

② Spread Movement: Main Active Return

Active Return from Spread Movement % 0.27

Market

Spreads

widened but

narrowed in

MT Prov

—————

Portfolio

Favorable

KRD for

Corp

& Prov

Prov AA Level Bond G-Spread (bps)Corp A Level Bond G-Spread (bps)

Corp Bonds KRD (Port-Bench)

0

20

40

60

80

6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y

10/31/18 10/31/17

40

60

80

100

120

140

160

6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y

10/31/18 10/31/17

-4

-3

-2

-1

0

1

2

6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y

Prov Bond KRD (Port-Bench)

-1.5

-1

-0.5

0

0.5

1

6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y

31

③ Time Effect : Active Return Contribution

Active Return from Time Effect (Carry) % 0.12

Yield Advantage %Trend (17’Oct – 18’Oct)

0.17

0.15

0.13

0.11

0.05

0.03

0.06

0.05

0.03

0.11

0.07

0.08

0.07

0.00

0.04

0.08

0.12

0.16

0.20

17'Oct 17'Nov 17'Dec 18'Jan 18'Feb 18'Mar 18'Apr 18'May 18'Jun 18'Jul 18'Aug 18'Sep 18'Oct

32

Fixed Income—Transactions (17’Oct – 18’Oct)

Settlement Description Sell/Buy Amount Price Yield

12/11/2017 CCOCN 5.67 09/02/19 Buy 60,000 104.10 3.04

2/8/2018 CAN 3.50 12/01/45 Buy 88,000 120.782 2.48

3/20/2018 GTAAIR 3.04 09/21/22 Buy 10,000 103.027 2.41

3/20/2018 CAN 3.50 12/01/45 Buy 212,000 124.495 2.3

5/31/2018 CAN 5.75 06/01/33 Sell 50,000 144.354 2.23

5/31/2018 CAN 3.50 12/01/45 Sell 70,000 124.844 2.26

6/1/2018 BMO SHORT PROVINCIAL BD INDEX Buy 25,000 13.3 2.4

8/2/2018 BMO SHORT PROVINCIAL BD INDEX Sell 25,000 13.23 2.6

8/2/2018 ONT 5.85 03/08/33 Sell 100,000 131.49 3.08

8/2/2018 HRUCN 3.797 06/13/23 Buy 200,000 97.30 4.46

8/2/2018 CAN 3.50 12/01/45 Buy 170,000 122.941 2.34

8/3/2018 TOYOTA 2.48 11/19/19 Buy 180,000 99.94 2.52

33

Future Strategy—Keep Barbelling

Portfolio bets on:

Widening credit spreads in Prov and Corp bonds

Keep barbelling & lower-than-benchmark duration:

Buy short-term Prov and Corp bonds

Sell medium-term Prov bonds

Buy long-term sovereign bonds (lock at relative higher yield)

2

2.1

2.2

2.3

2.4

2.5

2.6

1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 20Y 30Y

SIAS Yield Curve Projection (1 Year Forward)

Yield Curve 11/21/2018 Yield Curve 1 Year Forward

34

Transition to New Cohort

Portfolio Manager Analyst / Quant / ESG Specialist

New Team Structure

Future Team Plan

Develop a new credit analysis model

Use up-to-date data and quantitative measurement to monitor the credit quality of issuers

Cooperate with Macro Team to develop macro scenarios for portfolio scenario analysis*

* See Appendix: Fixed Income—Scenario Analysis 35

IV. US Equity

Tracy Wang| US Equity Analyst

ywa271@sfu.ca

Vincent Xie | US Portfolio Manager

wxa27@sfu.ca

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

11/17 11/17 12/17 12/17 1/18 1/18 2/18 3/18 3/18 4/18 4/18 5/18 6/18 6/18 7/18 7/18 8/18 9/18 9/18 10/18 10/18

Cumulative Active Return: -0.1%

-3%

0%

3%

6%

9%

12%

15%

18%

11/17 11/17 12/17 12/17 1/18 1/18 2/18 3/18 3/18 4/18 4/18 5/18 6/18 6/18 7/18 7/18 8/18 9/18 9/18 10/18 10/18

SIAS US. Equity: 9.34%

Benchmark: 9.44%

SIAS U.S. Equity Cumulative Return vs. Benchmark

HIGHLIGHTS

17’Oct-18’Oct

———————

Beginning Value

CA$ 4.00 mm

Ending Value

CA$ 4.07 mm

—————————

Active Return

-0.1%

—————————

Tracking Error

3.30%

Information Ratio

-0.029

* Benchmark: MSCI World (URTH), U.S. Include Only

18 Q2

18 Q3

US Portfolio Tracking the Benchmark

18 Q2 18 Q3

37

-0.40%

0.20%

0.51%

-0.36%

0.02%

0.07%

-0.04%

0.05%

0.05%

0.05%

-0.10%

0.51%

Information Technology

Financials

Materials

Health Care

Energy

Utilities

Not Classified

Real Estate

Consumer Staples

Industrials

Communication Services

Consumer Discretionary

Active Return from Overweight on Consumer Discretionary

Sector Allocation’s Active Return

Overweight

Underweight

Overweight 7.67%

Underweight 5.11%

Underweight 1.36%%

Underweight 2.66%

38

2.6%

0.2%

0.0%

0.0%

-0.1%

0.0%

0.0%

0.1%

0.3%

-2.2%

-0.4%

0.3%

Information Technology

Financials

Materials

Health Care

Energy

Utilities

Not Classified

Real Estate

Consumer Staples

Industrials

Communication Services

Consumer Discretionary

Selection contributes 0.78% Active Return

Selection’s Active Return

39

-1.04%

-0.49%

-0.28%-0.22%

-0.04%

1.26%

0.87%

0.28% 0.26% 0.25%

Contribution to Return from SecuritiesU

nd

erp

erfo

rmed

Ou

tperf

orm

Un

de

rperf

orm

Overweight Underweight

2.29%

1.64%

1.18%

0.96%

0.64%

-0.04% -0.04% -0.04%

-0.03% -0.03%

40

Non-Factor Contributes 2.9% Active Risk

Rolling Beta is decreasing and close to 1

2.88%

0.95%0.72%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

Non-Factor Risk Industry Risk Style Risk

Non-factor Active RiskActive Risk Attribution

0.7

0.8

0.9

1

1.1

1.2

1.3

10/2017 11/2017 12/2017 1/2018 2/2018 3/2018 4/2018 5/2018 6/2018 7/2018 8/2018 9/2018 10/2018

Beta

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

CSCO VAR HD V AMZN MCD KO GOOGL

Active Risk Contribution to Return

41

Transactions in Industrial and Health Care

General Electric

Base Price: $14.99

Current Price: $7.65

Sold 5,000 Shares

Amgen

Base Price: $175

Current Price: $196.44

Bought100 Shares

Sell Buy

Base Price: $130.6

Sold 1,500 Shares

Base Price: $228.8

Bought 550 Shares

Base Price: $112

Bought 700 Shares

Base Price: $313.6

Bought 400 Shares

iShares Core S&P

Mid-Cap ETF

Base Price: $198.4

Bought 950 Shares

Base Price: $86.77

Sold 100 Shares

Base Price: $139.26

Sold 200 Shares

For compliance

Base Price: $43.9

Sold 300 Shares

42

New Team & Future Plan

Stock Pitch

Portfolio

Analysis

Sector

Report

• Second

Assessment

• PM

election

• First Assessment

• Presentation

Future Plan

Selection Process New Team

• Analyst Performance Evaluation

• Portfolio Manager Performance Evaluation

• Organizational Restructuring

• More Quantitative Approach

• Ongoing Collaboration with

Macro team

• Daily Stock Screening by the

Analyst and the Portfolio

Manager.

PM

Analyst &

ESG Leader

……..

Analyst

& Trader

Analyst Analyst

43

VI. Q&A Session

VII. Appendix

Global Equity Got -0.96% Active Return for Year 2018

SIAS Global Equity Cumulative Return vs. Benchmark

-4

-2

0

2

4

6

8

10

12

14SIAS Global Equity

Benchmark

HIGHLIGHTS

Oct’17-Oct’18

———————

Beginning Value

CA$ 6.87 mm

Ending Value

CA$ 6.65 mm

—————————

Active Return

-0.91%

—————————

Tracking Error

2.09%

Information Ratio

-0.43

* Benchmark: MSCI World (URTH)

SIAS Global Equity: 3.06%

Benchmark: 4.02%

-2

-1.5

-1

-0.5

0

0.5

1

1.5

2

10/17 11/17 12/17 01/18 02/18 03/18 04/18 05/18 06/18 07/18 08/18 09/18 10/18

Cummulative Active Return -0.96%

46

-10

-8

-6

-4

-2

0

2

4

6SIAS Macro ETF

Benchmark

Macro Team ETFs Got -1.24% Active Return for Year 2018

SIAS Macro Team ETFs Cumulative Return vs. Benchmark

HIGHLIGHTS

18

———————

Beginning Value

CA$ 2.94 mm

Ending Value

CA$ 2.57 mm

—————————

Active Return

-1.24%

—————————

Tracking Error

1.47%

Information Ratio

-0.84

* Benchmark: MSCI World EX US(EFA)

SIAS Macro ETF: -5.85%

Benchmark:

-4.61%

-2

-1.5

-1

-0.5

0

0.5

1

1.5

Cummulative Active Return -1.24%

47

Selection Contribute -130 bps Active Return

Overweight Underweight

Australia Japan

Un

der

per

form

Switzerland

Ou

tper

form 14

5 -2

South

Korea

GermanyChinaHong Kong

-58-35-34

-15

United

Kingdom

6

48

• Operation and ESG analysts are embedded into each assets teams

• Newly added RISK, Operation and HR functions in SIAS, to improve record retention

and increase engagement

SIAS Organizational Structure Transformation

The New Structure

Old Structure

CCO CIO CEO

Global

PMFixed Income

PMCE PM

Analyst

s

Analyst

s

Analyst

s

Analyst

s

Analyst

s

Analyst

s

Complianc

eMacro Mangers CE PM Global PM FI PMRISK HR

ESG

AnalystsOperation

AnalystsAnalysts Analysts

ESG

AnalystsAnalysts

Analysts Analysts Analysts Analysts Analysts

49

SIAS Achievements

Competitions:• McGill International Portfolio Challenge, Final round, Top five world wide

• CFA Research Challenge: Top 2 team in Western Canada

• PRIMA Risk Challenge: Regional Winner, Global round finalist

• National Investment Banking Competition: Global round finalist

• McGill International Portfolio Challenge: Global round finalist

50

Events and Training

Engagement Activity:• Breaking into Vancouver’s IB industry- NIBC information section; Guest speakers: Phillp

Chua, Tim Dinger, etc.

• Daily work with Bloomberg- Bloomberg terminal training and Woman in Capital market

information section; Guest Speakers: Julia Ferreira

• SIAS Welcome events

• ESG: Training section with Stephanie Bertels, Investing Powerfully, Investing for 2

Degrees

• Guest Lecture with Distill Analytic

• “Commodity Pricing Model” with Prof. Eduardo Schwartz

51

5% 3% 2%

23% 25% 28%

34% 34%35%

38% 38% 35%

0%

20%

40%

60%

80%

100%

2017 Oct 2018 Oct Benchmark

Better Cash Utilization Within The Broad Fixed Income Asset Class

Overweight Global & Underweight Canada in 2018 Annual

Global Equity

CanadianEquity

CanadianFixed Income

Cash

52

Average Active Weight Bet

Asset Allocation Portfolio Weight* Benchmark Weight Active Weight

United State 23% 21% 2%

Other Advanced 5% 5% 0%

Europe 8% 9% -1%

Emerging 2% 0% 2%

Global Equity 38% 35% 3%

Canadian Equity 34% 35% -1%

Canadian Fixed Income 24% 28% -4%

Cash 4% 2% 2%

Active Asset Allocation Bet Through 2018 Annual

* Average Active Weights From 2017 Oct to 2018

Oct

53

2018 Annual Cash Flow Management

0.82 0.82

0.52 0.52

$0.0MM

$0.5MM

$1.0MM

2017 Q4 2018 Q1

4.193.60 3.60

4.50

- $ 0.59 MM + $ 0.90 MM

$0MM

$2MM

$4MM

2017 Oct 2018 Oct

Capital Appreciation Transaction

6.87 6.87 6.90 6.90

+$ 0.42 MM - $ 0.39 MM

$0MM

$2MM

$4MM

$6MM

$8MM

2017 Oct 2018 Oct

6.206.09

- $0.35 MM + $0.23 MM

$0MM

$2MM

$4MM

$6MM

$8MM

2017 Oct 2018 Oct

Value Change from Market Transaction Cash: Cash Deployment Into Fixed IncomeGlobal Equity: Pull Out To Rebalance The Overweight

Canadian Equity: Injection To Rebalance The Underweight Fixed Income: Injection To Rebalance The Underweight

Net outflow due to forced

selling of largest holdings

under IPS constraints

Value Loss Due To Market Movement

Transaction: Buy

Value Gain Due To Market Movement IN: Dividend, coupon

OUT: Fixed Income

Transaction: Pair trade

Value Loss Due To Rising Rate Environment

Transaction: Pair trade

Net inflow to rebalance

weighting and buy cheap

+ $ 0.79 MM

- $ 1.09 MM

2017 Oct 2018 Oct

54

Fixed Income Holdings — Government Bonds

*210,000 is the original face value of the amortizer bond; the true principal value is 121115.38

Holdings (as of October 31, 2018)

Issuer Wgt Pos YTM Mod Dur CTD Rating

Government Debt 59.14 2.83 8.82 5.22 AA+

Agency FARMCR 4.6 06/01/21 FARM CREDIT CAN 2.32 99,000 2.68 2.39 0.06 AAA

Local Authority

ALTA 2.55 12/15/22 ALBERTA PROVINCE 2.20 100,000 2.27 1.04 0.02 AA-

ALTA 3.4 12/01/23 ALBERTA PROVINCE 1.28 56,000 2.80 3.84 0.08 AA-

ALTA 4 12/01/19 ALBERTA PROVINCE 2.28 100,000 2.88 4.59 0.06 AA-

BRCOL 5.4 06/18/35 BRIT COLUMBIA 2.85 100,000 3.11 8.13 0.40 AA+

BRCOL 5.7 06/18/29 BRIT COLUMBIA 4.96 180,000 3.23 11.50 0.33 AA+

MP 2.45 06/02/25 MANITOBA PROV 3.22 150,000 3.31 9.04 0.39 A+

MP 6.3 03/05/31 MANITOBA PROV 4.32 150,000 3.01 5.96 0.19 A+

NBRNS 2.85 06/02/23 NEW BRUNSWICK 1.11 50,000 2.89 4.22 0.05 A+

NS 5.8 06/01/33 NOVA SCOTIA 1.13 39,000 3.29 10.27 0.12 AA-

ONT 5.35 06/02/19 ONTARIO PROVINCE 3.89 170,000 3.28 10.26 0.29 AA-

ONT 5.85 03/08/33 ONTARIO PROVINCE 2.86 100,000 2.11 0.57 0.02 AA-

SCDA 3.2 06/03/24 SASKATCHEWAN CDA 4.52 200,000 2.92 5.03 0.23 AA

YORKDS 5.3 06/03/25 YORK REGION DIST 2.26 210,000* 4.12 3.17 0.07 A+

TreasuryCAN 3 ½ 12/01/45 CANADA-GOV'T 10.59 400,000 2.52 10.51 0.98 AAA

CAN 5 ¾ 06/01/33 CANADA-GOV'T 9.34 300,000 2.53 18.12 1.92 AAA

55

Fixed Income Holdings — Corporate Bonds

Holdings (as of October 31, 2018)

Issuer Wgt Pos YTM Mod Dur CTD Rating

Corporate Debt 40.86 3.51 4.59 1.88 A

Basic Materials CCOCN 5.67 09/02/19 CAMECO CORP 1.36 60,000 3.04 0.81 0.01 BBB

CommunicationsBCECN 2.9 08/12/26 BELL CANADA 2.08 100,000 3.83 6.81 0.14 BBB+

SJRCN 5 ½ 12/07/20 SHAW COMMUNICAT 0.38 16,000 3.16 1.94 0.01 BBB-

Consumer, Non-cyclical

TOYOTA 2.48 11/19/19 TOYOTA CRED CAN 3.99 180,000 2.71 1.02 0.04 AA-

ETRHWY 5.96 12/03/35 407 INTL INC 2.90 100,000 3.64 11.33 0.33 A

LCN 5.9 01/18/36 LOBLAW CO LTD 1.94 75,000 4.57 11.09 0.22 BBB

SAPCN 2.827 11/21/23 SAPUTO INC 2.14 100,000 3.65 4.59 0.10 A-

Energy PPLCN 3.71 08/11/26 PEMBINA PIPELINE 2.17 100,000 4.04 6.62 0.14 BBB

Financial

BNS 3.27 01/11/21 BANK NOVA SCOTIA 2.23 100,000 2.98 2.08 0.05 AA

GWOCN 4.65 08/13/20 GREAT-WEST LIFEC 1.60 70,000 4.80 4.11 0.18 A+

HRUCN 3.797 06/13/23 CENTRE STREET TR 4.28 200,000 2.95 1.69 0.03 A

IGMCN 6.65 12/13/27 INVESTORS GROUP 2.15 80,000 4.07 6.90 0.15 A

RY 4.93 07/16/25 ROYAL BK CANADA 2.93 120,000 3.33 5.67 0.17 AA-

Industrial GTAAIR 3.04 09/21/22 GREATER TORONTO 2.21 100,000 2.96 3.41 0.08 A+

Utilities

FTSCN 2.85 12/12/23 FORTIS INC 1.94 90,000 3.55 4.65 0.09 BBB

HYDONE 3.2 01/13/22 HYDRO ONE INC 2.22 100,000 2.88 1.50 0.03 A-

HYDONE 4.4 06/01/20 HYDRO ONE INC 2.06 90,000 3.14 2.99 0.07 A-

TORHYD 3.54 11/18/21 TORONTO HYDRO 2.27 100,000 2.96 2.83 0.06 A

56

Fixed Income — Bond Matured & Called (17’Oct-18’Oct)

Ticker Issuer Pos Called / Matured

BMO 6.17 03/28/23 BMO 100,000 Called

GTAAIR 5.26 04/17/18 GREATER TORONTO 100,000 Matured

CADF 3.64 05/09/18 CADILLAC FAIRVIE 100,000 Matured

57

Fixed Income — Active Risk Breakdown (Annual)

0.35

0.12

0.3

0.11

0

0.1

0.2

0.3

0.4

Total Risk Yield Curve Spread Non-Factor

Active Risk Breakdown

58

Fixed Income — Contribution to Duration

Contribution to Duration (17’Oct) Contribution to Duration (18’Oct)

Port Bench +/-

SIAS Fixed Income 6.83 7.5 -0.67

Corporate Debt 2.07 2.02 0.05

Government Debt 4.75 5.49 -0.74

Provincial 3.26 3.43 -0.17

Sovereign & Agency 1.49 2.06 -0.57

Port Bench +/-

SIAS Fixed Income 7.1 7.31 -0.21

Corporate Debt 1.88 2 -0.12

Government Debt 5.22 5.31 -0.09

Provincial 2.26 3.37 -1.11

Sovereign & Agency 2.96 1.94 1.02

59

Fixed Income—Yield Curve Sensitivity

1.5%

1.7%

1.9%

2.1%

2.3%

2.5%

2.7%

0 5 10 15 20 25 30 35 40 45

yie

ld

Tenor

Yield Curve Sensitivity*

Underweight KRD

Overweight KRD

SIAS Yield Curve Exposure

Yield Curve 10/31/2018

* Based on excel & MATLAB calculation, SIAS Fixed Income Team

60

Fixed Income — Scenario Analysis

• Decide the most-likely macro scenarios

• Quantify the potential curve and spread change for each scenario

• Quantify the volume of the bonds we intend to buy

• Input the quantified changes into the model for before-trade and after-trade portfolio respectively

• Compare the results to see the trading effect on portfolio

Incorporate scenario analysis into bond selection

61

US Portfolio — Holdings

Name Sector % Weight Mkt Value(USD) Position

CISCO SYSTEMS INC TELECOMMUNICATIONS 4.85% 254925 5500

FINANCIAL SELECT SECTOR SPDR US EQUITY INDEX ETF (US REGULATED) 4.84% 254505 9500

VISA INC DIVERSIFIED FINANCIAL SERVICES 4.80% 252324 1800

3M CO MISC MANUFACTURER 4.37% 229900 1100

HOME DEPOT INC/THE RETAIL 4.21% 221275 1250

AMAZON.COM INC INTERNET 3.94% 207143.3 130

VARIAN MEDICAL SYSTEMS INC HEALTH CARE 3.73% 195954 1650

COCA-COLA CO/THE BEVERAGES 3.43% 180612 3600

ENERGY SELECT SECTOR SPDR US EQUITY INDEX ETF (US REGULATED) 3.13% 164591 2450

MCDONALD'S CORP RETAIL 3.03% 159451.5 850

ALPHABET INC-CL A INTERNET 2.84% 149557.8 140

ALPHABET INC-CL C INTERNET 2.83% 148608.6 140

COSTCO WHOLESALE CORP RETAIL 2.42% 127061 550

LOCKHEED MARTIN CORP AEROSPACE/DEFENSE 2.29% 120496 400

AT&T INC TELECOMMUNICATIONS 2.02% 106015 3500

WALT DISNEY CO/THE MEDIA 1.55% 81333 700

WALMART INC RETAIL 1.49% 78152 800

JPMORGAN CHASE & CO BANKS 1.46% 76993 700

UTILITIES SELECT SECTOR SPDR US EQUITY INDEX ETF (US REGULATED) 1.46% 76832 1400

CBRE GROUP INC REAL ESTATE MANAGEMENT & DEVELOPMENT 1.08% 56836 1300

FACEBOOK INC INTERNET 1.06% 55812 400

EMERSON ELECTRIC CO ELECTRICAL COMPO & EQUIP 0.66% 34810 500

REAL ESTATE SELECT SECT SPDR US EQUITY ETF (US REGULATED) 0.54% 28374.08 848

AMGEN INC BIOTECHNOLOGY 0.37% 19418 100

Holdings (as of Oct 31, 2018)

62

US Portfolio — Return Attribution

% Average Weight Total Return (%)

Contribution to Return

(%) Allocation

Effect (%)

Selection

Effect (%)

Currency

Effect (%) Tot AttrPort Bench +/- Port Bench +/- Port Bench +/-

Portfolio 100.00 100.00 0.00 9.34 9.44 -0.10 9.34 9.44 -0.10 0.56 0.78 0.01 -0.10

Consumer Discretionary 17.76 10.09 7.67 21.09 17.91 3.18 3.34 1.70 1.64 0.51 0.32 0.16 1.20

Communication Services 17.60 10.29 7.31 4.68 8.45 -3.77 0.97 0.92 0.05 -0.10 -0.37 0.14 -0.58

Information Technology 15.24 20.35 -5.11 33.94 18.74 15.19 4.57 3.68 0.88 -0.40 2.62 -0.06 1.40

Health Care 12.35 13.72 -1.36 11.39 13.39 -2.01 1.17 1.76 -0.59 -0.36 -0.03 -0.06 -0.94

Industrials 10.10 9.85 0.25 -17.26 1.03 -18.29 -2.17 0.12 -2.28 0.05 -2.15 -0.11 -2.24

Financials 9.18 13.77 -4.59 3.16 1.86 1.30 0.24 0.34 -0.10 0.20 0.19 -0.02 0.32

Consumer Staples 7.20 7.26 -0.06 12.56 8.92 3.65 0.90 0.63 0.27 0.05 0.26 0.01 0.32

Energy 5.39 6.02 -0.62 3.60 5.37 -1.78 0.19 0.32 -0.13 0.02 -0.11 -0.01 -0.09

Real Estate 2.73 2.80 -0.07 5.16 4.02 1.13 0.12 0.11 0.01 0.05 0.07 0.01 0.04

Utilities 2.26 2.81 -0.55 2.33 2.73 -0.40 0.05 0.06 -0.01 0.07 -0.01 0.00 0.05

Not Classified 0.10 0.31 -0.21 3.49 3.17 0.32 0.00 0.01 -0.01 -0.04 0.00 -0.01 -0.04

Materials 0.08 2.73 -2.66 -11.44 -9.20 -2.24 -0.05 -0.22 0.18 0.51 -0.01 -0.04 0.46

63