Embed Size (px)
Citation preview
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
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
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
-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: $4.81
Sold 7,850 Shares
23
Future Plan
Performance Measurement
Training Sessions
Company research training
ESG analysis training
Training for successive cohort
Canadian Equity Team
Portfolio Manager (1)
Portfolio Performance & Asset Allocation
Sector Managers (21)
Sector Performance &
Company Analysis
What’s New
Sector Managers
Overall Contribution
to Team
Knowledge of Sector
Completion & Quality of Analysis
Portfolio Manager
Knowledge of Asset
Classes
Portfolio Management
Ability
Leadership Ability
Elimination of the voting system for stock
selection
Addition of Slack Channels for report
submission and news sharing
24
David Xu | Fixed Income Analyst
IV. Canadian Fixed Income
Rachel Zhang | Fixed Income Portfolio Manager
SIAS Fixed Income: Outperformed by 35 bps
SIAS Fixed Income Cumulative Return vs. Benchmark (17’Oct-18’Oct)
HIGHLIGHTS
17’Oct-18’Oct
———————
Beginning Value
CA$ 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
Vincent Xie | US Portfolio Manager
-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
