Student Investment Advisory Service (SIAS)

Student Investment Advisory Service (SIAS)- One of the largest student-run funds in North America

May 13th, 2020 Presentation (December 31st 2019 – March 31st 2020)

Agenda

1. SIAS Compliance/Risk Update2. Macro & Asset Allocation Update3. Canadian Fixed Income Update4. Canadian Equity Update5. United Sates Equity Update6. ESG Update7. SIAS Operations Update8. Appendix

Compliance and Risk UpdateAdam Saad | CCO & [email protected]

10-Year Historical Performance

10-Year Cumulative Return

Year End Market Value (in millions)

* End of Q1, 2020

$10.5 $10.6 $11.4 $13.2 $14.7 $15.6 $16.7 $18.2 $18.6 $20.7 $18.4

$- $5.0

$10.0 $15.0 $20.0 $25.0

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020*

0.0% 1.0%8.6%

25.7%

40.0%48.6%

59.0%

73.3% 77.1%

97.1%

75.2%

0.0% -1.0%7.3%

24.5%

39.8%45.2%

58.7%

73.1%68.5%

98.9%

74.9%

-10.0%

10.0%

30.0%

50.0%

70.0%

90.0%

110.0%

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020*

SIASBenchmark

Based on Year-end values

4

Trailing 12 Month – SIAS Outperformed by 0.33%

Percentage Difference

SIAS Cumulative Return vs. Benchmark

HIGHLIGHTSMar 2019 -Apr

2020—————Beginning

ValueCA$ 19.4 mmEnding ValueCA$ 18.4 mm

—————SIAS Return

-4.06%Benchmark

Return -4.39%

—————Active Return

0.33%Tracking Error

2.71%Information

Ratio0.05

-20.00%

-15.00%

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

SIAS

Benchmark

-2.00%

-1.50%

-1.00%

-0.50%

0.00%

0.50%

1.00%

1.50%

2.00%

Data: Trailing 12 Months Ending March 31, 2020

5

Benchmark Weight

Portfolio CompositionSIAS Portfolio Weight

*Total AUM: $18.4 Million as of March 31st 2020

Performance, Compliance,

and Risk• Monitoring• Trade Approval• Risk Metrics• Periodic Reporting• Attribution Analysis

Global Equity: 36.3%

(1.3% overweight)

Style: Semi-ActiveApproach: HybridNo. of Holdings: 35Benchmark: MSCI WorldBenchmark Weight: 35%

Canadian Equity:

32.7% (2.3%

underweight)

Style: ActiveApproach: Bottom-UpNo. of Holdings: 41Benchmark: S&P TSX Capped Total Return Composite IndexBenchmark Weight: 35%

Fixed Income: 28.2%

(0.2% overweight)

Style: ActiveApproach: Top-DownNo. of Holdings: 34Benchmark: FTSE TMXCanada Universe Bond IndexBenchmark Weight: 28%

Cash: 2.8%

(0.8% overweight)

Benchmark: FTSE TMXCanada 91 Day T-bill IndexBenchmark Weight: 2%

6

SIAS Fund Overview Q1 2020

SIAS Total PortfolioBegin Value: $20,748,264End Value: $18,404,489

Portfolio*Vol: 33.63%

Return: -11.30%Sharpe: -1.05

Benchmark*Vol: 42.14%


Active Return: 0.11%*Tracking Error: 4.17%

Canadian EquityEnd Value: $6,017,602






Canadian Fixed IncomeEnd Value: $5,189,898

PortfolioDuration: 8.17Return: 2.02% Sharpe: 0.83

BenchmarkDuration: 7.93Return: 1.40%Sharpe: 0.52

Active Return: 0.62%Active Duration: 0.24

Global EquityEnd Value: $6,684,215






U.S. EquityEnd Value: 3,984,396





Active Return: -0.04%*Tracking Error: 6.59%

ROW EquityEnd Value: 2,699,818





Active Return: 0.38%*Tracking Error: 5.52%*Annualized

**ETF NAV tracking error in 3rd week of March – See appendix

7

Data: Q1 2020 utilizing Brinson-Fachler Model

Attribution of Portfolio Returns

Portfolio Weights

Note: all calculations use beginning portfolio weights, chart is included in appendix

-.04%

.08%

-.65%

.45%

.08%

.26%.17%

.02%.01%

-.01% -.03%

.04%.04%

.33%

-.51%

.51%

-1%

-1%

0%

0%

0%

0%

0%

1%

Global Equity Canadian Equity Fixed income Cash

AllocationSelectionInteractionTotal

Contribution to Active Return (0.11%)

38%34%

23%

5%

36%33%

28%

3%

35% 35%

28%

2%

0%

10%

20%

30%

40%

Global Equity Canadian Equity Fixed income Cash

BeginEndBenchmark

8

IPS Breach

9

Q1 2020 Compliance Issues

Other

▪ Canadian Equity fell below 30% min. asset allocation range• Due to high market volatility

▪ Canadian Equity top 15 holdings breached 70% rule• Due to high market volatility

▪ Settlement exceeded T+2• All settlement inputs occurred within adequate

timeframe• New traders were not familiar with specific

details of procedures• Incorrect inputs lead to discrepancy between

Broker and Custodian records

Resolution Resolution

▪ Improvements to handbook with specific instructions

▪ Additional review process during trades to ensure custodian is reporting settled trades

▪ Trader and Compliance meetings after every missed trade to review opportunities for improvement

▪ Continued monitoring of portfolios on a daily basis.

Note: Further Details in appendix

Completed

▪ Updated fund performance calculations• Calculations are now transaction based utilizing Bloomberg for more accurate calculations

▪ Initial meetings with industry mentors

▪ Further improved operating procedures for trading and compliance

10

In Progress

Process Improvements

▪ Continued work on Operations Handbook• Include plan for transition to new cohort

▪ Automatic daily updates to Bloomberg Portfolios• Daily upload of transactions including transactions in cash account• Will lead to improved accuracy of performance presentation and improved decision making• Improved accessibility of information to Portfolio Managers• Improved consistency of reporting for performance reviews

Economic Outlook and Asset Allocation UpdateHerby Desriveaux | Portfolio [email protected]

Macro Economic Outlook

Current stage of the business cycle

Global Market Outlook

12

Negative Exogenous Shocks: COVID-19 and Oil

Originated from China around January 2020 and was declared a global pandemic on March 11th 2020 by the World Health Organization (WHO)

COVID-19 (Demand Shock)

Panic in markets as investors concerned about economic impact

Oil Price War (Supply Shock)

• Fall in demand in an already weak global demand environment led Saudi Arabia to push for large production cuts by OPEC members to support oil prices

• Russia’s refusal to participate in production cuts triggered an oil price war. Saudi Arabia increased production in retaliation

13

S&P 500: January 2020 – March 2020

High: February 19th 2020 – 3386.15Bottom: March 23rd 2020 – 2584.59

S&P 500 P/E Ratio: 20.3x

2000

2200

2400

2600

2800

3000

3200

3400

3600

12-3

1-19

1-2-

201-

4-20

1-6-

201-

8-20

1-10

-20

1-12

-20

1-14

-20

1-16

-20

1-18

-20

1-20

-20

1-22

-20

1-24

-20

1-26

-20

1-28

-20

1-30

-20

2-1-

202-

3-20

2-5-

202-

7-20

2-9-

202-

11-2

02-

13-2

02-

15-2

02-

17-2

02-

19-2

02-

21-2

02-

23-2

02-

25-2

02-

27-2

02-

29-2

03-

2-20

3-4-

203-

6-20

3-8-

203-

10-2

03-

12-2

03-

14-2

03-

16-2

03-

18-2

03-

20-2

03-

22-2

03-

24-2

03-

26-2

03-

28-2

03-

30-2

0

S&P 500

14

WTI: January 2020 – March 2020

High: January 6th 2020 – $63.27Bottom: March 30th 2020 – $20.09

15

18

23

28

33

38

43

48

53

58

63

68

WTI

Economic Conditions in the United Sates and Canada

▪ Jobless claims in the USA: More than 30 Million

▪ Unemployment rate USA: 14.7%

▪ Interest rates in the USA: 0.25%

▪ USA GDP fell 4.8% in the 1st

quarter

▪ Jobless claims in CAN: More than 5 Million

▪ Unemployment rate CAN: 13.0%

▪ Interest rates in CAN: 0.25%

16

Benchmark Weight

Portfolio Composition – March 31st 2020

SIAS Portfolio Weight *Total AUM: $18.4 Million as of Mar. 31st 2020

Asset Allocation

Global Equity:

36.32%

Style: Semi-ActiveApproach: HybridBenchmark: MSCI WorldBenchmark Weight: 35%

Canadian Equity:

32.70%

Style: ActiveApproach: Bottom-UpBenchmark: S&P TSX CappedTotal Return Composite IndexBenchmark Weight: 35%

Fixed Income:

28.20%

Style: ActiveApproach: Top-DownBenchmark: FTSE TMXCanada Universe Bond IndexBenchmark Weight: 28%

Cash:

2.79%


17

Short and Mid Term Market Expectations

▪ Negative economic forecast most likely already priced in equity markets

▪ Lowest market point reached on March 23rd 2020

▪ Controlled inflation, coordinated efforts of central banks around the world coupled with depressed oil prices.

Possible

Unlikely

Probable

18

Benchmark Weight

Recommended Portfolio Composition for 2020 (COVID-19)

SIAS Portfolio Weight *Total AUM: $18.4 Million as of Mar. 31st 2020

Recommended Asset Allocation

Global Equity:

36.32%

Style: Semi-ActiveApproach: HybridBenchmark: MSCI WorldBenchmark Weight: 35%

Canadian Equity:

36.0%

Style: ActiveApproach: Bottom-UpBenchmark: S&P TSX CappedTotal Return Composite IndexBenchmark Weight: 35%

Fixed Income:

26.0%

Style: ActiveApproach: Top-DownBenchmark: FTSE TMXCanada Universe Bond IndexBenchmark Weight: 28%

Cash:

2.0%


19

Canadian Fixed Income UpdatePaapa Kwabena Essel | Portfolio [email protected]

SIAS Fixed Income – Positive Active Return

• Relative outperformance due to underweight on credit risk and overweight duration in Q1

Portfolio vs. Benchmark Total Return(2)

0.62%

Ending Value(1)

$5,189,898

Relative Return

(1) Canadian Fixed Income Benchmark(2) Ending value as of March 31,2020

21

0

1

2

3

4

5

6

7

8

Jan-20 Jan-20 Jan-20 Jan-20 Jan-20 Feb-20 Feb-20 Feb-20 Feb-20 Mar-20 Mar-20 Mar-20 Mar-20

Total Return (P) Total Return (B)

-0.2

-0.1

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

Lower Dollar Weights in Corporate

4.75 mm 4.76 mm

March 30, 2019 December 31, 2019 March 31, 2020

Raise Dollar weights in the fixed income

portfolio

-----------------

Raise weights in L-T Government

bonds

---------------

Lower dollar weights in

corporate bond exposure

------------------

Government

Corporate

59.25 60.95

40.75 39.05

P O R T F O L I O B E N C H MA R K

22

61.89 60.68

38.11 39.32


62.2 61.8

37.8 38.2


5.21mm

Lower Duration Weights in Corporate

-0.74 -0.48

March 31, 2019 December 31, 2019 March 31, 2020

Raise Government

Duration weights in the fixed

income portfolio

-----------------Lower duration

weights in corporate bond

exposure

------------------Individual Corporate

duration weights underweighted (exception of

communications and consumer)

Government

Corporate

23

0.24

73.8 70.7

26.2 29.3

P O R T F O L I O B E N C H M A R K

79.670.6

20.329.4


79.972.03

20.127.9


Duration Analysis - Higher Portfolio Duration

Duration Analysis (Dec 1, 2019)

Contribution to Active Duration

Duration Analysis (Mar 31, 2020)

Dec 1, 2019

Corporate -0.7

Federal 1.66

Provincial -1.5

Mar 31, 2020

Corporate -0.58

Federal 1.82

Provincial -1.00

24

8.17

0.24

7.93

PORTFOLIO BENCHMARK

7.58

-0.54

8.12

PORTFOLIO BENCHMARK

Performance Breakdown

Positive activereturn was

largely due to positive

selection effects

---------------Widening

spreads during the month of

March was one of the biggest

contributions to the unusually high returns---------------

Underweight on corporates and Overweight on Government

contributed to positive active

returns

Return of the portfolio Duration of the portfolio

Active Return Breakdown

25

8.17

0.24

7.93

PORTFOLIO BENCHMARK

-0.8

-0.4

0

0.4

0.8

1.2

1.6

CurveChange(shift)

Curve Change(twist)

Curve Change(Convexity)

Allocation Selection Curve Carry Active Return

2.010.62 1.39

PORTFOLIO BENCHMARK

Segment Attribution Breakdown

Positive active return mostly

came from the L-T bucket

-----------------

Poor selection effects led to

negative active returns within the M-T class---------------

This was due to our overweight in government

and underweight corporates inL-T bucket.---------------

Overweighting corporates inM-T bucket

impacted returns negatively

Active Return


26

-8 -6 -4 -2 0 2 4 6

0-1 yrs

1-3 yrs

3-5 yrs

5-7 yrs

7-10yrs

10+ yrs

Portfolio

10+ yrs

3 - 5 yrs

1 - 3 yrs

0 - 1 yrs

5 - 7 yrs

Active Return Curve Carry Curve Change Allocation Selection

Corp AA Bond G-Spread

Spread Change

Provincial AA Bond G-Spread

Corp KRD (Portfolio – Benchmark) Provincial KRD (Portfolio – Benchmark)

Corp. Spread went up ,

underweight improved the

return

-------------Relative

underweight in provincial L-T

had contributed some positive

return

----------------Overall less

sensitivity L-T corporates

compared to benchmark

raised return

27

-4

-3

-2

-1

0

1

2

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

-4

-3

-2

-1

0

1

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

0

50

100

150

200

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

01/01/2020 03/31/20

0

50

100

150

200

250

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

01/01/2020 03/31/20

Future Outlook - More Focus on L-T & M-T Provincials

Main Factors to Investigate

• Possibility of a provincial bond purchase program.

• 10bps rate cut in July

• downside virus impacts affecting supply chains, slowing growth as a result of lockdown

Possible Future Strategy

• Maintain positive active duration

• Purchasing L-T provincials given the likelihood of a provincial bond purchase.

• Underweighting L-T corporates due to lasting effects from global economic lockdowns. Maintaining defensive positioning in corporates.

Key Rate Duration

28

-1

-0.5

0

0.5

1

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

Canadian EquityOliver Zhao | Portfolio [email protected]

Outperformance at the end of Q1 2020

Canadian Equity Performance

-19.97%

-20.72%

0.75%

5.13%0.75%Ending Value(1)

$6,017,602Relative Return Tracking Error

(1) Ending Value as of March 31st 2020(2) Performance Benchmark: S&P/TSX Composite Index(3) Performance Period: Dec. 31st 2019 – Mar. 31st 2020

-35.0%-30.0%-25.0%-20.0%-15.0%-10.0%

-5.0%0.0%5.0%

Portfolio Benchmark

-1.0%

-0.5%

0.0%

0.5%

1.0%

Portfolio vs. Benchmark Total Return(2)(3)

30

Active Return ContributionReturn Summary (%)Portfolio Return -19.97

Benchmark Return -20.72

Active Return 0.75

Active Return Attribution Summary (%)Active Return 0.75

Allocation 0.41 Currency -0.07

Selection 0.41

Ending Value as of March 31st 2020Proxy Benchmark : iShares Core S&P/TSX Capped Composite Index ETF

Financials

Utilities

Consumer Staples

Industrials

Information Technology

Energy

Health Care

Real Estate

Materials

Consumer Discretionary

Communication Services

Active Weight

Financials

Utilities

Consumer Staples

Industrials


Energy

Health Care

Real Estate

Materials



Active Return

31

Portfolio Characteristics & Sector WeightsAs of Mar. 31st 2020

Portfolio Characteristics Portfolio Benchmark

Dividend Yield 3.65% 3.87%

Price/Book 1.5x 1.44x

Price/Earnings(trailing) 12.57 13.26

Debt/Equity 141.28% 160.11%

Return on Equity 14.66 13.48

# of Holdings 41 234

32

0%

5%

10%

15%

20%

25%

30%

35%

Sector Weight

Portfolio Benchmark

33

In the period between Dec. 31st to Mar. 31st 2020

Transactions

Date Company Name Buy/Sell # of Shares

Fill Price

Total Amount

2020/03/12 ISHARE S&P/TSX CAPPED UTILITIES INDEX ETF BUY 5,000 $26.41 $132,040.00

Increase the exposure to Utilities Sector; increase dividend yield of the portfolio

2020/03/12 ISHARE S&P/TSX GLOBAL GOLD INDEX ETF BUY 3,000 $16.11 $48,330.00

Increase the exposure to gold price; diversify in Materials Sector

2020/03/20 EMPIRE COMPANY LTD BUY 4,000 $27.27 $109,080.00

Overweight Consumer Staples Sector; Lower the portfolio beta

2020/03/30 ISHARE S&P/TSX COMPLETION INDEX ETF BUY 5,000 $18.92 $94,581

Reduce the concentration risk; increase exposure to mid-cap and small cap companies

Updates on previous plan and steps forward

Feedback and Forward Plan

▪ Reduce No. of holdings

• As IPS suggested

▪ Apply Better ESG Incorporation

• MSCI ESG Manager

• Stranded Asset Report

Forward Plan

▪ Connection to Professionals

• Meeting with mentors

▪ Analysts’ Research

• Updated sector reports

Feedback

34

Reflection on a regular basis

Industry MentorsTeam

Professional insights and tutoring

35

Global Equity (US + ROW) Rishi Mehta| Portfolio [email protected]

36

US/Global Portfolio for Q1 2020Ending Value(1) Relative Return Tracking Error

5.60%0.22%$6,684,215Portfolio vs. Benchmark Total Return(2)

(1) Ending value as of March 31st 2020– Port Beta – 0.96 (Ex-Ante)(2) US Equity Benchmark (iShares MSCI WORLD ETF

-12.89

-13.12

-25

-20

-15

-10

-5

0

5

10

Dec-19 Jan-20 Jan-20 Jan-20 Jan-20 Feb-20 Feb-20 Feb-20 Feb-20 Mar-20 Mar-20 Mar-20 Mar-20 Mar-20


Total Return (D)

37

Performance Attribution – Global EquityReturn Summary (%)

Portfolio Return -12.89

Benchmark Return -13.12

Active Return 0.22

Active Return Attribution Summary

Active Return 0.22

Allocation 0.28 Currency -0.52

Selection 0.53 Interaction -0.08

Source: Bloomberg Ending value as of March 31st,2020.

4.83%

0.74%

0.30%

0.29%

0.13%

0.01%

-0.52%

-5.70%

Eastern Europe

Asia Pacific

South and Central America

Africa/Middle East

Central Asia

Not Classified

Western Europe

North America

Relative Allocation

-0.32%

0.14%

-…

-0.08%

-0.03%

0.04%

0.76%

-0.23%

Eastern Europe

Asia Pacific

South and Central America

Africa/Middle East

Central Asia

Not Classified

Western Europe

North America

Performance Attribution

38

US Portfolio – Characteristics and Weight AllocationsCharacteristics Portfolio Benchmark

Dividend Yield 3.36 2.90

P/E Ratio 15.07 17.40

P/CF Ratio 10.47 10.97

P/B Ratio 2.13 2.19

Total D/E Ratio 129.82 142.95

Current Ratio 1.23 1.20

-0.23%-2.08%

-0.24%

0.48%

-0.26%

2.44%-6.13%

-2.69%

5.84%

-9.09%

3.64%8.32%

Not Classified - ETFs

Materials

Energy

Real Estate

Utilities

Industrials

Health Care

Financials

Consumer Staples




Sector Allocation till 31/12/2019

0.00%

-2.01%

-0.03%

-0.31%

-0.61%

1.51%

-4.72%-0.10%

5.16%

-11.94%

3.99%

9.01%

Not Classified - ETFs

Materials

Energy

Real Estate

Utilities

Industrials

Health Care

Financials

Consumer Staples




Sector Allocation till 31/03/2020

Strategy Update – Reduce Growth and Increase Value

• Effect of COVID-19 sent ripples across every industry.

• To reduce to effect of this impact, our strategy was to first reduce our exposures to growth and cyclical stocks.

• Within consumption exposure, consumer staples companies have historically been relatively immune to big shocks, although they will still feel an impact.

• Any unexpected event like this viral outbreak is a test to a business’s resiliency.

Reducing Exposures Increasing Exposures

39

Trades Executed

Effects of COVID-19 appear in market. Defensive Strategy in playSell –HOME DEPOTAMGNAMZN

Buy-ABBV

Buy ABBV on dips.

Dow Jones sheds 1300 points.Effects of COVID-19 fully reflected in asset prices.

Sell-AMZNDISNEYCOCA COLA3M

Buy-ABBVFBJPMWMT

Sell VISARebalance.

21st January 2020

12th February 2020

2nd March 2020

18th March 2020Forward – 27th

April 2020Match strategy with Macro for Q2 –Aggressive with more exposure to US-Growth

Sell-AMZNCISCOEMERSONMSFTXLE

Buy-ANETBOEINGSPYXLU

40

Research Methodology Checklist to Navigate Uncertainty

QUANTITATIVE INVESTINGModified inputs and stress testing scenarios

OPTIMIZATIONSSmart beta investing

MENTORSHIPLeverage Mentor –

Mentee relationships

STRICT IPS ADHERENCE

Total focus on IPS constraints.

41

42

The Way Ahead

Avoiding Value Trap

Stocks

Continued Coverage

Strong Balance Sheets

Analysts Accountability

and Mentorships

Heavy Bottom-

Top Analysis

ESG UpdateGosheealee Sewruttun| ESG [email protected]

ESG Overview

Highlights

• Onboarded MSCI ESG Manager to help overcome data gap• Prepared a report on the impact of stranding and carbon risk for the Canadian

Energy Sector • Ongoing Proxy Voting & Shareholder Engagement

ESG Integration

• ESG Model: SASB, Sustainability reports & MSCI ESG Manager• Combine qualitative & quantitative factors to screen major risk exposure of securities

Going Forward

• Continue our work on the risk of stranded asset on other sectors• Testing the impact of adding securities on our portfolio rating• Monitor the portfolio’s carbon footprint to help the university’s objective of 45 by 25

44

Lack of standardised data across companies

& industriesNon/poor disclosure on

traditional platforms

Increasing need to quantify ESG process for more objectiveness

& transparency

45

MSCI ESG Manager

ESG Overview

Onboard MSCI ESG Manager

46

MSCI ESG Pillars MSCI ESG Key Issue Hierarchy

Pillars 10 Themes 37 ESG Key Issues

Environmental

Climate Change Carbon Emissions Financing EnvironmentalImpact

Natural Resources Product Carbon Footprint Climate Change VulnerabilityWater Stress Raw Material Sourcing

Pollution & WasteBiodiversity & Land Use

Toxic Emissions & Waste Electronic WastePackaging Material & Waste

EnvironmentalOpportunities

Opportunities in Clean Tech Opp’s in Renewable EnergyOpportunities in Green

Building

Social

Human Capital Labor Management Human Capital DevelopmentHealth & Safety Supply Chain Labor Standards

Product LiabilityProduct Safety & Quality Privacy & Data Security

Chemical Safety Responsible InvestmentFinancial Product Safety Health & Demographic Risk

Stakeholder Opposition Controversial Sourcing

Social Opportunities Access to Communications Access to Health CareAccess to Finance Opp’s in Nutrition & Health

Governance

Corporate Governance Board OwnershipPay Accounting

Corporate Behavior Business Ethics Corruption & Instability

Anti-Competitive Practices Financial System InstabilityTax Transparency

47

Quantifying ESG Performance – Canadian Equity

ESG Ratings Momentum

Upward momentum 4.4% under benchmarkDownward momentum 4.0% over benchmark

PORFOLIO ESG RATING SUMMARY

ESG Quality Average2.5% below benchmark

ESG Ratings Distribution

Leaders 6.6% under benchmarkLaggards 2.7% under benchmark

LAGGARD AVERAGE LEADER

-0.46 -0.11

ESG Quality Score 5.64 5.78

ESG Rating BBB A

Benchmark - ESG Laggards 3.18% 5.84%Benchmark Adjustment Total -7.58% -1.83%

A

Score Adjustment

- ESG Trend Negative 12.01% 8.03%

6.10 5.89

Adjustment

+ ESG Trend Positive 7.61% 12.04%

MSCI ESG RATINGSHow the MSCI ESG Rating is calculated Distribution of MSCI ESG Fund Ratings Universe

Portfolio Colored bars correspond to portfolio and benchmark ESG Quality Scores

CE Portfolio

BBB

Portfolio Benchmark

Weighted Avg ESG Score

15.8%

22.4%

69.3%

69.8%

3.2%

5.8%

Portfolio

Benchmark

ESG RATINGS DISTRIBUTION

Leader Average Laggard Not Covered

7.6%

12.0%

67.6%

77.4%

12.0%

8.0%

ESG RATINGS MOMENTUM

Upward Stable Downward Not Rated

0.00520.0608

0.1818 0.33140.3236

0.0926

0.0046

CCC B BB ABBB AA AAA

SIAS CE Portfolio

SIAS CE Benchmark

48

ESG Risk Exposure

Quantifying ESG Performance – Canadian Equity

Portfolio Benchmark

ESG RATING DISTRIBUTION

16%

49%

9%11%

3%5%

AAA AA A BBB BB B CCC NotRated

LEADER AVERAGE LAGGARD

1%

22%

37%

20%

13%

5%

1%2%



SIAS Canadian Equity vs Benchmark

49

Quantitative Lens: Canadian Equity vs Benchmark

ESG Performance by sector

0.00 2.00 4.00 6.00 8.00

Overall

Environmental

Social

Governance

SIAS CE Portfolio Benchmark

0.00 0.50 1.00 1.50 2.00



Consumer Staples

Energy

Financials

Health Care

Industrials


Materials

Real Estate

Utilities

SIAS CE Portfolio Benchmark

50

Quantifying ESG Performance – US Equity

ESG Ratings Momentum

Upward momentum 5.0% over benchmarkDownward momentum 1.5% under benchmark

PORFOLIO ESG RATING SUMMARY

ESG Quality Leader16.9% above benchmark

ESG Ratings Distribution

Leaders 6.8% over benchmarkLaggards 6.8% under benchmark

LAGGARD AVERAGE LEADER

1.32 0.49


ESG Rating AA A

Benchmark - ESG Laggards 0.54% 7.32%SIAS US Benchmark Adjustment Total 21.57% 8.37%

A

Score Adjustment


6.13 5.89

Adjustment


MSCI ESG RATINGSHow the MSCI ESG Rating is calculated Distribution of MSCI ESG Fund Ratings Universe

Portfolio Colored bars correspond to portfolio and benchmark ESG Quality ScoresSIAS US Portfolio

AA

Portfolio Benchmark


32.1%

25.3%

67.3%

67.0%

0.5%

7.3%

Portfolio

Benchmark

ESG RATINGS DISTRIBUTION

Leader Average Laggard Not Covered

22.5%

17.5%

77.0%

79.7%

0.4%

1.8%

ESG RATINGS MOMENTUM

Upward Stable Downward Not Rated

0.00520.0608

0.1818 0.33140.3236

0.0926

0.0046

CCC B BB ABBB AA AAA

51

ESG Risk Exposure

Quantifying ESG Performance – US Equity

Portfolio Benchmark

ESG RATING DISTRIBUTION

10%

22%

18%

28%

21%

0% 0% 0%



8%

17%

25%

26%

16%

6%

1%0%



SIAS US Equity vs Benchmark

52

Quantitative Lens: US Equity vs Benchmark

ESG Performance by sector

0.00 2.00 4.00 6.00 8.00

Overall

Environmental

Social

Governance

SIAS US Portfolio Benchmark

0.000 0.500 1.000 1.500 2.000



Consumer Staples

Energy

Financials

Health Care

Industrials


Materials

Real Estate

Utilities

SIAS US Portfolio Benchmark

▪ Stranded assets are investments that may lose economic value ahead of their expected life because of changes in regulation, market forces, environmental concerns, societal norms and innovation associated with the transition to a low carbon economy.

▪ Analysis by Carbon tracker in a 2017 paper indicates that US$2.3trn – around one third – of potential capex to 2025 should not be deployed in a 2-degree Celsius (2D) carbon budget scenario compared to business as usual expectations.

▪ For the period 2017-2035, the International Energy Agency (IEA) estimates a total carbon budget for oil and gas of 320Gt of CO2, split 59% for oil and 41% for gas, leaving approximately 80% in unburnt reserves.

53

Report: Impact of Stranding & Carbon Risk on CE Energy

Regulations put a price on carbon emissions

Revenue generation from cleaner & cheaper sources of energy

54

Carbon Budget vs CO2 Emissions Potential

Source: www.carbontracker.org

Revenue without stranding

55

Scenario - 80% decrease in EBIT fading in from 2020 and peaking in 2035: Prompt Decarbonization

Scenario Analysis – Upstream, Midstream & Integrated

Revenue with stranding

Free Cash Flows with stranding Share Price

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000 Canadian NaturalResources

Parex Resources

Enbridge

TC Energy

Cenovus

Husky

Suncor

-8,000

-6,000

-4,000

-2,000

0

2,000

4,000

6,000Canadian NaturalResources

Parex Resources

Enbridge

TC Energy

Cenovus

Husky

Suncor

05,000

10,00015,00020,00025,00030,00035,00040,00045,00050,000

Canadian NaturalResourcesParex Resources

Enbridge

TC Energy

Cenovus

Husky

Suncor

- 10.00 20.00 30.00 40.00 50.00 60.00 70.00

Current With Stranding

56

Summary of Proxy Voting & Shareholder ProposalsRecord date Company Name Status*

13-Jan-2020 THE WALT DISNEY COMPANY Voted

07-Feb-2020 THE TORONTO-DOMINION BANK Voted

11-Feb-2020 ROYAL BANK OF CANADA Voted

12-Feb-2020 CANADIAN IMPERIAL BANK OF COMMERCE Voted

27-Feb-2020 SANDSTORM GOLD LTD. Voted

24-Feb-2020 NEWMONT CORPORATION Voted

28-Feb-2020 TECK RESOURCES LIMITED Voted

24-Feb-2020 THE COCA-COLA COMPANY Voted

24-Feb-2020 LOCKHEED MARTIN CORPORATION Voted

26-Feb-2020 AT&T INC. Voted

09-Mar-2020 CHOICE PROPERTIES REAL ESTATE INV. TRUST Voted

27-Feb-2020 THE BOEING COMPANY Voted

06-Mar-2020 CANADIAN NATIONAL RAILWAY COMPANY Voted

02-Mar-2020 CENOVUS ENERGY INC. Voted

10-Mar-2020 HUSKY ENERGY INC. Voted

09-Mar-2020 CAMECO CORPORATION Voted

16-Mar-2020 TC ENERGY CORPORATION Voted

09-Mar-2020 ENBRIDGE INC. Voted

13-Mar-2020 SUN LIFE FINANCIAL INC. Voted

09-Mar-2020 SUNCOR ENERGY INC. Voted

20-Mar-2020 NUTRIEN LTD. (THE "CORPORATION") Voted

11-Mar-2020 MANULIFE FINANCIAL CORPORATION Voted

16-Mar-2020 BCE INC. Voted

18-Mar-2020 CANADIAN NATURAL RESOURCES LIMITED Voted

* Voted as at 3rd May 2020

57

Shareholder Proposals & Proxy Voting Guidelines

Director Nomination

Ratification of appointment of

independent auditors

Advisory approval of executive compensation

Improve diversity on board

Disclosure of director skills, ideological

perspectives, experience & minimum director

qualifications

Stockholder Proposal to adopt stockholder action

by written consent

Mandatory Retention of Significant Stock by

Executives

Discourage CEO duality to avoid competing interests & conflicts of interestVote against a director nominee who is not considered independent.

Auditors should be free from conflicts of interest of the company.Vote against the appointment of the outside auditor where the non-audit

fees are majority and larger than audit fee.

Management compensation should have performance-based pay.Vote for resolutions that have at least 50% of management’s compensation based on companies’ and their performance.

Important that directors are diversified by skills, experience, gender, ethnicity and age to build a well-functioning board.

Vote for resolutions that support or increase the board diversity

To perform their functions, the board of directors must be composed of members who are competent, skilled, accountable and independent.

Vote for full disclosure of the board members’ qualifications and expertise.

Taking action by written consent in place of a meeting is a means shareholders can use to raise important matters outside the normal

annual meeting cycle like the election of a new director. Vote for proposals increasing shareholders’ rights

Equity based compensation plans can benefit shareholders by encouraging executives to own stock in the company, thereby aligning

executives’ interests with shareholders’ interests.

Way Forward

Quantitative Analysis

• Continue monitoring our ESG Performance across Canadian Equity Portfolio & US Equity Portfolio

• Test the ESG performance/rating of the portfolio before adding new securities• Highlight major controversies & their impact on the financials of the company

when screening a security and building buy/sell report

Carbon Footprint and Proxy Voting

• Monitor carbon footprint of the portfolio• Assess the potential impact of stranded asset on the material sector• Ongoing Proxy voting season – April – June• Active shareholder engagement

Maintain record for upcoming cohorts

• Proxy Voting is backed by a report for each company that details proposals voted for and is available on SharePoint

• Continue to maintain SharePoint as a central point of information for ESG reports for transparency behind decision-making for future reference

58

Operations UpdateHoa Nguyen | Operations [email protected]

Operations Update

Work to do from last presentation

• General email will be able to receive reports from the custodian banks –Provide PMs and other teams with intra-day holding balance of securities and cash, facilitating checking securities and cash process of PMs

• Operation team build steps to perform reconciliation tasks – ensure proper holding of securities and cash

• Document management: Vault or SharePoint

Implemented

• General email has been received reports from custodian banks, then forward reports to PMs at the end of the day

• Perform daily securities and cash reconciliations

• Chose SharePoint to manage documents

60

Operations Update

61

Mentors

• The operation process is pretty similar to funds without subscription/redemption

• Currently implemented large parts of the process

Differences

• No system to maintain dependent records of portfolio, NAV to reconcile

Record by excel

• Maintain portfolio record independently to the custodian bank

• Reconcile securities, cash, NAV on daily basis• Inform PMs any discrepancy

BAU - Reconciliations

62

The process of reconciliations

Maintain independent securities, cash, and NAV records

Reconcile with data from custodian bank

Inform PMs and custodian bank if any discrepancy

Documents saved on SharePoint

BAU - Reconciliations

63

Purpose

Provide PMs with intra-day holding balance of securities and cash, facilitating transaction process of PMs.

Ensure proper holding of securities, cash and NAV reports

Overview for incoming members of SIAS Fund about fund administration and operations tasks - career orientation

64

Thank You!

Appendix

Compliance and Risk AppendixAdam Saad | CCO & [email protected]

66

URTH – Global Equity Benchmark

67

NAV Discrepancy

XIC – Canadian Equity Benchmark

0

20

40

60

80

100

120

NAV Last Price

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

1.2

Period: Dec 31, 2019 – March 31, 2020

0

5

10

15

20

25

30

35

NAV Last Price

-0.1

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

XBB – Fixed Income Benchmark

68

Period: Dec 31, 2019 – March 31, 2020

NAV Discrepancy

XSB – Cash Benchmark

27

28

29

30

31

32

33

34

35

NAV Last Price

-2.5

-2

-1.5

-1

-0.5

0

0.5

24

24.5

25

25.5

26

26.5

27

27.5

28

28.5

NAV Last Price

-2.5

-2

-1.5

-1

-0.5

0

0.5

Calculation Breakdown using Brinson-Fachler Model

69

Attribution to Active Return

Portfolio Value Weights Returns Attribution

Portfolio Name

StartMarketValue

End Market Value

Start % Wgt

(P)

End % Wgt

(P)BmarkWeight Tot Rtn (P) Tot Rtn (B) Tot Rtn (D) Allocation Selection Interaction Total

CONSOLIDATED PORTFOLIO 21,074,844 18,404,489 100% 100% 100% -11.3% -11.4% 0.11% -0.16% 0.54% 0.00% 0.37%

Global Equity:OVERWEIGHT 7,800,997 6,684,215 37% 36% 35% -12.9% -13.1% 0.23% -0.03% 0.08% 0.00% 0.05%

Canadian Equity: UNDERWEIGHT 7,089,861 6,017,602 34% 33% 35% -20.0% -20.7% 0.75% 0.13% 0.26% -0.01% 0.38%Fixed Income: UNDERWEIGHT -> NEUTRAL 4,756,392 5,189,898 23% 28% 28% 2.0% 1.4% 0.62% -0.70% 0.17% -0.03% -0.56%

Cash: OVERWEIGHT 1,101,013 512,774 5% 3% 2% 3.4% 2.2% 1.18% 0.44% 0.02% 0.04% 0.50%

Risk Attribution

Risk OverviewData: 12 Month Horizon Starting March 31, 2020

37.20%

7.60%

6.50%

24.20%

9.90%

5.60%

4.70%

2.50%

1.00%

1.00%

Consumer Stap

Consumer Disc

Utilities

Energy

Financials

Healthcare

Industrials

Technology

Communication

Materials

Underweight

14.50%

2.20%

0.70%

0.40%

0.04%

54.80%

12.90%

2.20%

0.20%

Profit

Value

Div Yield

Leverage

Size

Volatility

Growth

Momentum

Earn. Varib

StyleIndustry

Overweight

Underweight

Overweight

70

IPS Breach

▪ February 3, 2020 – Global Equity portfolio exceeded 35 holding maximum• Discussed during previous performance review• Caused by a delay in reporting by custodian data

▪ March 9, 2020 – Canadian Equity portfolio top 15 holdings exceeded 70% maximum• Resolution: March 11, 2020 - Buy XGD and XUT ETFs to increase weight and rebalance portfolio• Reported to client: March 26, 2020

▪ March 16, 2020 – Canadian Equity portfolio top 15 holdings exceeded 70% maximum• Resolution: March 18, 2020 – BUY EMP.A to increase weight and rebalance portfolio• Reported to client: March 26, 2020

▪ March 23, 2020 – Canadian Equity portfolio allocation fell below 30% minimum• Market volatility brought portfolio back in to compliance the following day – no urgent action taken• March 26, 2020 – BUY XMD to increase weight and rebalance portfolio• Converted $75,000 USD to CAD to give future flexibility for Canadian portfolios.• Reported to Client: March 26th

71

Details of Compliance Breach

Trade Settlement

▪ March 4, 2020 – 1 Global Equity trade• Cause: difficulties accessing new accounts on NEXEN platform• Settlement due: March 4, 2020• Resolution: attempted to manually settle by fax on March 4th, missed cut-off• Fax received and trades settled on March 5th • Reported to Client: March 5th

▪ March 11, 2020 - 3 fixed income trades• Cause: settlement dates input incorrectly, settlement due March 11, 2020• Resolved: March 11, 2020 – no compliance breach

▪ March 20, 2020 – 8 US Equity trades• Cause: Incorrect inputs in settlement instructions• Alerted by custodian on March 23rd after cut-off• Resolved March 25th

• Reported to Client: March 26th

72

Details of Compliance Breach

Appendix: Canadian Fixed IncomePaapa Essel | Portfolio [email protected]

SIAS Fixed Income – Positive Active Return (1-year period)• Relative outperformance due to underweight on credit risk and overweight duration in Q1

Portfolio vs. Benchmark Total Return(2)

0.59 0.610.21

Ending Value(1)

$5,208,644

Relative Return Tracking Error Information Ratio

(1) Canadian Fixed Income Benchmark(2) Ending value as of March 31,2020

74

0

2

4

6

8

10

12

14

Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20

Return (Portfolio) Return (Benchmark)

-0.6

-0.4

-0.2

0

0.2

0.4

Performance Breakdown (1-year period)

Positive activereturn was largely

due to positive selection effects

---------------Yield Curve

Volatility in the curve reduced relative return

---------------

Underweighting duration for a

large part of the year contributed to negative curve change effects

Return of the portfolio Duration of the portfolio

Active Return Breakdown

75

7.07

0.21

6.86

PORTFOLIO BENCHMARK

8.17

0.24

7.93

PORTFOLIO BENCHMARK

-1

-0.5

0

0.5

1

1.5

CurveChange(shift)

Curve Change(twist)

Curve Change(Convexity)

Allocation Selection Curve Carry Active Return

Chart Title

Segment Attribution Breakdown (1-year period)

Positive active return largely

due to positive returns in L-T

securities -----------------

Poor selection effects led to

negative active returns within the M-T class---------------

Underweighting M-T combined

with higher downward shift in yield curve contributed to negative curve

effects

Active Return


76

Portfolio

10+ yrs

7 - 10 yrs

3 - 5 yrs

1 - 3 yrs

0 - 1 yrs

5 - 7 yrs

Total Return Curve Carry Contribution Curve Change Contribution Allocation Effect Selection Effect

Portfolio

10+ yrs

7 - 10 yrs

3 - 5 yrs

1 - 3 yrs

0 - 1 yrs

5 - 7 yrs

Portfolio dollar-based active weights vs. DEX Universe

22%

36%

28%

9%2% 4%

34%29%

24%

7%1%

6%

AAA AA A BBB NR NOT CLASSIFIED

Sector Allocation(1)

Maturity Allocation (1)

Rating Allocation (1)

BenchmarkSIAS FI

(1) Dollar weights as of March 31th 2020

0% 2.1

3%

0% 7

.11

%

2.2

2% 1

6.0

4%

61

.89

%

2.1

7%

8.4

4%

0.0

7%

2.3

3%

1.5

2%

1.6

4%

3.7

1% 13

.54

%

68

.91

%

1.8

4%

6.3

9%

B A S I C M A T E R I A L S C O M M . C O N S ( C Y C L I C A L ) C O N S . ( N O N - C Y C L I C A L ) E N E R G Y F I N G O V T . I N D . U T I L I T I E S

10

.07

14

.75

15

.98

9.6

4 16

.31

33

.25

0.0

9

24

.37

20

.47

11

.53

12

.71

30

.82

0 - 1 Y R 1 - 3 Y R S 3 - 5 Y R S 5 - 7 Y R S 7 - 1 0 Y R S 1 0 + Y R S

77

Transactions

Settlement Description Sell/Buy Amount Price

04/08/2019 FTSCN 2.85 12/12/23 Buy 90,000 100.40

04/08/2019 FTSCN 2.85 12/12/23 Sell 90,000 100.75

5/31/2019 SOUCOA 4.65 06/20/41 Buy 100,000 125.70

9/03/2019 ONT 5.85 03/08/33 Buy 100,000 139.37

10/21/2019Q 4.5 12/01/20 Buy 60,000 103.64

12/12/2019CAN 3.5 12/01/45 Sell 100,000 137.12

12/11/2019SOUCOA 4.65 06/20/41 Buy 150,000 131.25

12/12/2019BRCOL 6.35 06/18/31 Buy 100,000 141.38

78

Transactions

Settlement Description Sell/Buy Amount Price

05/03/2020 CAN3.5 12/01/45 CORP BUY 60,000 149.2

05/03/2020 GE 4.6 26/01/22 BUY 60,000 105.26

05/03/2020 Q 4.5 12/01/20 SELL 60,000 102.35

05/03/2020 TCN 5.15 11/26/43 BUY 100,000 124.55

11/03/2020RY 2.74 07/25/29 BUY 100,000 101.65

11/03/2020HYDONE 4.4 06/01/20 SELL 90,000 100.64

11/03/2020CAN 3.5 12/01/45 BUY 100,000 167.20

79

Target Q2 –Term Structure Modeling/Forecasts

80

Fixed Income Tools - 2020Fixed Income Portfolio Analytics Streamlined Corporate Credit Model

• A new analytics tools has been introduced for sensitivity analysis in the portfolio

• Scenarios can be constructed using yield curve Bloomberg-enabled and can provide useful insights for future strategy

• Expanding model by incorporating flattening scenarios.

• Yield curve forecasting model

• Current Portfolio Analytics

• Bloomberg-macro enabled credit analysis

• Both issuer and issue analysis has been streamlined

• Can provide credit-scores based on fundamental analysis on TSX constituents

• For different issues, can generate spread analysis

• Incorporating into role of analysts next quarter to enable efficient report generation and faster decision making

81

Fixed Income: Market Risk

-7.12%

-3.68%-2.85%

3.05%3.95%

8.21%

-8.00%

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

Up 100 bps Up 50 bps Up 25 bps Down 25 bps Down 50 bps Down 100 bps

P/L (%) of Fixed Income Portfolio As on 31st March,2020

Scenarios Duration

Stressed MV (in Million CAD)

IPS Weight

Violation (Y/N)

Up 50bps 7.12 4.708 No

Up 25 bps 7.2 4.748 No

Down 25 bps 8.1 5.037 No

Down 50 bps 8.2 5.081 No

Bond Sectors

Contribution to Total Risk

of Bond Portfolio (%)

1 Day 95%

VaR (%)

% Change

in Weight (Up 50 bps)

% Change

in Weight (Down 50 bps)

Agency 0.19 0.01 3.03 -3.31

Financial Institutions 4.84 0.022 2.4 -2.39

Industrial 12.17 0.056 0.34 -0.45

Local Authority 43.54 0.198 -0.08 0.07

Treasury 38.19 0.171 -3.34 3.47

Utility 0.66 0.005 2.97 -2.99

82

Fixed Income: Credit Risk

83

Appendix: Canadian EquityOliver Zhao | Portfolio [email protected]

Supply▪ Saudi-Russia Price War

In April, Saudi Arabic announced its production to 12.3 million barrel/day.

Russia has announce its production to 11.8 million barrel/day.

▪ Ceasefire Agreement

On April 12, OPEC+ and Russia struck a historic deal to slash production by 10 million barrels per day –about 23% of their production level - in May and June, in an attempt to rescue oil prices from the depths of the current oil price crash.

DemandHuge shrinkage due to global pandemic

▪ Airlines

▪ Automobiles

▪ Industrials

85

The decrease in demand outweigh that of in supply.

Expectation on Energy Sector

86

Oil price is slowly recovering from the crush, but remains highly volatile.


0

10

20

30

40

50

60

70

Western Canada Select WTI Crude Future Jun20

$24.59

$19.79

87

Upstream and Integrated companies are more sensitive to oil price change


Subsector Company 2 Yr Beta against WTI

Upstream

Canadian Natural Resources 0.827

Parex Resources 0.574

Cameco Corp 0.267

Integrated

Cenovus Energy 0.959

Husky Energy 0.721

Suncor Energy 0.698

MidstreamEnbridge 0.221

TC Energy 0.210

88

Recognizing ESG leaders are crucial.


Subsector Company ESG Ratings Governance Risk

Upstream

Canadian Natural Resources B Average

Parex Resources BBB Leader

Cameco Corp A Average

Integrated

Cenovus Energy A Leader

Husky Energy BBB Laggard

Suncor Energy A Leader

MidstreamEnbridge A Average

TC Energy BBB Average

Source: MSCI ESG Manager

Underweight the sector▪ Revenue decline in the Q1 & Q2 may not be compensated by the potential recovery in Q3

▪ Concern on fixed costs and stranded assets may drag the earning performance

Adjust the holdings▪ Reduce exposure to oil price changes

• Shift more weights to Midstream

▪ Concentrate weights on holdings with• Better ESG performance • Solid Fundamentals

89


Fundamentals

Risk

ESG

As of Mar. 31st 2020

Portfolio Holdings

Company/Sector Name # of Shares Price Market Value % of Total

Financials $1,836,448 30.52%

BROOKFIELD ASSET MANAGEMENT - CLASS A 4,000 $62.38 $249,520 4.15%

CANADIAN IMPERIAL BANK OF COMMERCE 2,000 $82 $164,000 2.73%

GOEASY LTD 1,500 $36.39 $54,585 0.91%

IGM FINANCIAL INC 1,200 $23.35 $28,020 0.47%

MANULIFE FINANCIAL CORP 11,750 $17.67 $207,623 3.45%

ONEX CORPORATION 1,900 $51.51 $97,869 1.63%

ROYAL BANK OF CANADA 4,500 $87.17 $392,265 6.52%

SUN LIFE FINANCIAL INC 6,000 $45.27 $271,620 4.51%

TORONTO-DOMINION BANK 6,200 $59.83 $370,946 6.16%

Energy $701,415 11.66%

CAMECO CORP 5,300 $10.73 $56,869 0.95%

CANADIAN NATURAL RESOURCES 4,300 $19.25 $82,775 1.38%

90

Portfolio Holdings


CENOVUS ENERGY INC 6,600 $2.84 $18,744 0.31%

ENBRIDGE INC 3,000 $40.98 $122,940 2.04%

HUSKY ENERGY INC 5,924 $3.54 $20,971 0.35%

PAREX RESOURCES INC 7,500 $11.90 $89,250 1.48%

SUNCOR ENERGY INC 5,720 $22.46 $128,471 2.13%

TC ENERGY CORP 2,900 $62.55 $181,395 3.01%

Industrials $765,525 12.72%

CANADIAN NATL RAILWAY CO 3,500 $110.03 $385,105 6.40%

EXCO TECHNOLOGIES LTD 6,000 $5.38 $32,280 0.54%

THOMSON REUTERS CORP 3,631 $95.88 $348,140 5.79%

Materials $569,727 9.47%

CCL INDUSTRIES INC - CLASS B 2,300 $42.79 $98,417 1.64%

NUTRIEN LTD 960 $48.11 $46,186 0.77%


91


Portfolio Holdings


SANDSTORM GOLD LTD 13,500 $7.05 $95,175 1.58%

TECK RESOURCES LTD - CLASS B 2,000 $10.67 $21,340 0.35%

WHEATON PRECIOUS METALS CORP 6,050 $38.73 $234,317 3.89%

NEWMOUNT CORP 1180 $62.96 $74,293 1.23%

Information Technology $358,093 5.95%

CGI INC 4,700 $76.19 $358,093 5.95%

Utilities $436,188 7.25%

BROOKFIELD RENEWABLE PARTNER 2,570 $59.19 $152,118 2.53%

EMERA INC 3,600 $55.50 $199,800 3.32%

NORTHLAND POWER INC 3,000 $28.09 $84,270 1.4%

Consumer Staples $451,580 7.50%

METRO INC 6,000 $56.91 $341,460 5.67%

EMPIRE COMPANY LTD 4,000 $27.53 $110,120 1.83%

92


Portfolio Holdings


Communication Services $243,790 4.05%

BCE INC 4,000 $57.73 $230,920 3.84%

CINEPLEX INC 1,100 $11.70 $12,870 0.21%

Consumer Discretionary $113,420 1.88%

RESTAURANT BRANDS INTERNATIONAL 2,000 $56.71 $113,420 1.88%

Real Estate $135,252 2.25%

CHOICE PROPERTIES REIT 8,000 $12.92 $103,360 1.72%

SLATE OFFICE REIT 8,690 $3.67 $31,892 0.53%

ETFs $406,164 6.75%

ISHARES CORE S&P/TSX CAPPED COMPOSITE INDEX 6,800 $21.18 $144,024 2.39%

ISHARE S&P/TSX CAPPED UTILITIES INDEX 5,000 $24.94 $124,700 2.07%

ISHARE S&P/TSX GLOBAL GOLD INDEX 3,000 $14.63 $43,890 0.73%

ISHARE S&P/TSX COMPLETION INDEX 5,000 $18.71 $93.550 1.55%

93

Appendix: Global Equity (US + ROW) Rishi Mehta| Portfolio [email protected]

95

US/Global Portfolio – 31/03/2019 to 31/03/2020Ending Value(1) Relative Return Tracking Error Information Ratio

2.74% -0.67-1.84%$6,689,380Portfolio vs. Benchmark Total Return(2)

(1) Ending value as of March 31st 2020– Port Beta – 0.96 (Ex-Ante)(2) US Equity Benchmark (iShares MSCI WORLD ETF (EX rest of the world)

-20

-15

-10

-5

0

5

10

15

20

Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20


Strategies Under Various Market Patterns

Staying focused on investment goals and maintaining disciplines. Move allocations to Information Technology and High P/E stocks.

Consumer behaviors under lockdown turn into new normal. Turn to defensive strategies and reduce exposures to cyclicality and growth. Look for companies with less leverage.

Buy and Hold strategy. Continue with current allocations and selections. Market in between reversals. Take a bigger picture strategy.

Horizontal Trend

V Shaped Recovery

W-Shaped Pattern

96

97

As of March 31st, 2020(CAD)

Portfolio Holdings


Communication Services $562,650 8.61%

ALPHABET INC - CLASS A 140 $1,110.26 $218,730 3.35%

AT&T 3,500 $29.84 $146,968 2.25

FACEBOOK INC – CLASS A 600 $156.79 132,381 2.02%

WALT DISNEY CO 476 $96.40 $64,571 0.99%

Consumer Discretionary $735,186 11.24%

AMAZON.COM INC 100 $1900,10 $267,382 4.09%

HOME DEPOT 1,013 $190.55 $271,628 4.15%

MCDONALD’S CORP 850 $164.01 $196,176 3.00%

Consumer Staples $494,554 7.56%

COCA COLA CO 2,112 $42.81 $127,232 1.95%%

COSTCO WHOLESALE CORP 550 $284.33 $220,060 3.37%

WALMART INC 955 $109.58 $147,262 2.25%

98


Portfolio Holdings


Financials $180,559 2.76%

JP MORGAN CHASE &CO 1408 $91.13 $180,559 2.76%

Health Care $380,572 5.82%

ABBVIE CORP 1429 $72.67 $146,131 2.23%

VARIAN MEDICAL SYSTEMS INC 1,650 $100.97 $234,440 3.59%

Industrials $360,705 5.52%

3M CO 516 $133.42 $96,748 1.48%

BOEING 157 $162.00 $35,791 0.55%

EMERSON ELECTRIC 500 $45.58 $32,070 0.49%

LOCKHEED MARTIN CORP 400 $348.34 $196,096 3.00%

Information Technology $501,589 7.67%

CISCO SYSTEMS INC 4,500 $38.82 $245,824 3.76%

VISA INC – CLASS A 1125 $161.56 $255,766 3.91%

99


Portfolio Holdings


Real Estate $71,711 1.10%

CBRE GROUP INC – CLASS A 1,300 $39.20 $71,711 1.10%

ETFS $3,250,995 49.72%

ENERGY SELECT SECTOR SPDR 2,450 $59.20 $192,011 2.65%

FINANCIAL SELECT SECTOR SPDR 9,200 $28.00 $341,024 4.71%

ISHARES ASIA/PACIFIC DIVIDEND 1,000 $42.93 $56,830 0.78%

ISHARES EDGE MSCI MIN VOL EU 15,135 $25.43 $509,527 7.04%

ISHARES EMERGING MARKETS DIV 6,103 $37.42 $302,333 4.18%

ISHARES EUROPE ETF 9,190 $43.27 $526,431 7.27%

ISHARES MSCI AUSTRALIA ETF 5,420 $22.25 $159,650 2.21%

ISHARES MSCI FRANCE ETF 4,300 $30.14 $171,574 2.37%

ISHARES MSCI GERMANY ETF 5,200 $26.91 $185,249 2.56%

ISHARES MSCI JAPAN ETF 8,271 $56.74 $621,278 8.58%

100


Portfolio Holdings


ISHARES MSCI SINGAPORE ETF 1,000 $23.20 $30,713 0.42%

ISHARES MSCI SWITZERLAND ETF 3,115 $37.70 $155,467 2.15%

REAL ESTATE SELECT SECTOR SPDR 848 $39.34 $44,164 0.31%

SPDR S&P 500 ETF TRUST 348 $296.77 $136,722 1.89%

UTILITIES SELECT SECTOR SDPR 1,400 $64.74 $119,988 1.66%

101

From the period between Oct. 1st 2019 to March 31st,2020

Portfolio Transactions

Date Company Name Buy/Sell # of Shares Fill Price Total Amount

2019/11/26 BOEING BUY 91 $372.57 -$33,902.70

2019/11/26 3M SELL 200 $169.49 $33,898.00

2019/12/05 BOEING BUY 66 348.81 -$23,021.50

2020/01/21 VISA SELL 275 $204.13 $56,135.75

2020/02/12 ABBVIE CORP BUY 232 $97.58 -$22,638.30

2020/02/12 AMAZON SELL 16 $2,162.67 $34,602.72

2020/02/12 AMGEN SELL 100 $227.52 $22,520.00

2020/02/12 HOME DEPOT SELL 112 $241.72 $27,072.64

2020/03/02 ABBVIE CORP BUY 780 $87.81 -68,491.80

102

From the period between Oct. 1st 2019 to March 31st,2020

Portfolio Transactions

Date Company Name Buy/Sell # of Shares Fill Price Total Amount

2020/03/18 AMAZON SELL 14 $1828.35 $25,596.90

2020/03/18 DISNEY SELL 224 $88.122 $19,739.20

2020/03/18 COCA COLA SELL 1488 $43.100 $64,132.80

2020/03/18 MMM SELL 384 $136.80 $52,531.20

2020/03/18 ABBVIE CORP BUY 417 70.554 -$29,421.02

2020/03/18 FACEBOOK BUY 200 $145.479 -$29,095.80

2020/03/18 JP MORGAN BUY 708 $87.58 -$62,006.64

2020/03/18 WALMART BUY 155 $126.430 -$19,596.65

Appendix: ESG

Student Investment Advisory Service (SIAS)- One of the largest student-run funds in North America

Impact of Stranding & Carbon Risk on SIAS’ Canadian Energy Holdings

ESG Manager – Gosheealee SewruttunEnergy Analysts - Sizhe Zhang & Xiaoya Zhou

• Overview of the Crude Oil Industry in Canada

• Government Regulation

• Dimensions to stranded assets

• Potential Capex Pathway

• Capital Investment & Drilling in Canada

• Recognising ESG Leaders is Crucial

• Drill-Down on current holdings❑ ESG Rating❑ ESG Highlights❑ Carbon Risk

• Carbon Footprint of Current Holdings

• Carbon/GHG Reduction Target & Current Objective Achieved

• Share of Capital Expenditure

• Scenario Analysis

• Implications of Stranded Assets on Companies’ Financials

• Conclusion on security selection

Content

▪ Canada is a major supplier of secure, reliablecrude oil to international markets, producing 4.6million barrels per day (mb/d) of crude oil in 2018.

▪ It is the world’s fifth-largest oil producer, with 96%of its proven reserves in oil sands.

▪ Canada has 168 billion barrels of proven oilreserves, of which 164 billion barrels are in theform of oil sands.

▪ Also the world’s 10th largest emitter of greenhousegases due to transportation and productionemissions.

▪ Canada has pledged a 30% reduction on 2005greenhouse gas emissions by 2030 (ParisAgreement on Climate Change).

▪ To fulfil its pledge, Canada has imposed severalregulations very likely to hit the production of oil,wipe out market values of companies in the Oil &Gas Sector and render unburnt reserveseconomically worthless, resulting in billions ofdollars of stranded assets.

106

Overview of the Crude Oil Industry in Canada

Canada’s climate plan

107

Government Regulation

Actions to reduce emissions▪ Pan-Canadian Framework is helping reduce

emissions, grow the economy and build resilience to a changing climate.

▪ Greenhouse Gas Pollution Pricing Act

▪ Output-based pricing system is designed to put a price on carbon pollution for industrial facilities that emit 50,000 tonnes or more per year

▪ Pay a charge at the carbon price ($20 per tonneexceeding the limit in 2019, rising by $10 each year to $50 per tonne in 2022)

▪ Coal – phase out plan (16 MT by 2030)

▪ Methane regulations (21 MT by 2025)A price on carbon lowers the carbon budget

▪ A price on carbon could cut carbon pollution across Canada by 80 to 90 million tonnes in 2022.

Clean Technology

▪ Canada’s clean energy sector has 20 times as much wind energy capacity and 125 times as much solar electricity capacity as it did a decade ago.

▪ The Canadian clean technology market generated about $11.6 billion in revenue in 2014, and exports accounted for half of these revenues.

▪ Clean Fuel Standard is set to reduce emission by 30 MT by 2030.

▪ Stranded assets are investments that may lose economic value ahead of their expected life because of changes in regulation, market forces, environmental concerns, societal norms and innovation associated with the transition to a low carbon economy.

▪ Analysis by Carbon tracker in a 2017 paper indicates that US$2.3trn – around one third – of potential capex to 2025 should not be deployed in a 2-degree Celsius (2D) carbon budget scenario compared to business as usual expectations.

▪ For the period 2017-2035, the International Energy Agency (IEA) estimates a total carbon budget for oil and gas of 320Gt of CO2, leaving over 80% of reserves stranded.

108

Dimensions to stranded investments

Regulations put a price on carbon emissions

Revenue generation from cleaner & cheaper sources of energy

109

Comparison of the global 2°C carbon budget with fossil fuel reserves CO2 emissions potential

Source: www.carbontracker.org

110

Potential Capex Pathway

▪ Sharp decline in capital investment in oil sands and petroleum industry

▪ Oil wells drilled faced a similar fate

▪ This points towards a reduction in demand for fossil fuel energy due to cleaner and cheaper renewable sources of energy

▪ Government regulations on carbon emissions are limiting the carbon budget, leaving many reserves unexploited and stranded

111

Capital Investment & Drilling in Canada

0

1000

2000

3000

4000

5000

6000

7000

8000

9000

0

10000

20000

30000

40000

50000

60000

70000

80000

90000

2013 2014 2015 2016 2017 2018

Upstream Capital Investment in Canada

Oil Sands Expenditures Petroleum Industry Expenditures Oil wells Drilled

▪ Current headwinds such as local and international regulations on carbon emissions and the unprecedented global transition to renewable sources of energy highlight the importance of recognising companies that are:• curbing their carbon emissions by using carbon capture technologies (to avoid regulatory fines)• reducing investments in potential stranded assets (to avoid negative NPV exploration projects)• making the shift to develop infrastructure to tap into renewable sources of energy

112

Recognising ESG Leaders is Crucial

-0.63 -0.44


ESG Rating BBB BBB

- ESG Laggards 11.30% 9.06%

Adjustment Total -11.30% -7.96%

Score Adjustment


5.62 5.56

Adjustment


Oil & Gas

Portfolio

Oil & Gas

Benchmark


14.9% greater than benchmark

(T CO2E/$M SALES)

Very High Carbon Risk

Carbon Risk

976.2

849.9

Portfolio Benchmark

Very High

High

Moderate

Low

Very Low

113

Drill-Down on current holdings

Stable Very High N/A Laggard

Stable Very High N/A Leader

HUSKY ENERGY INC. 0.33% 0.28% 5.5 BBB

Oil sands and refinery operations continue to increase environmental risk profile

Stable High N/A Average

CENOVUS ENERGY INC. 0.44% 0.23% 6.9 A Oil sand operations elevates carbon-related risks

Stable Very High N/A Average

CORPORATION CAMECO 1.16% 0.89% 7.0 AStrong safety culture reflected in declining LTR and zero fatalities


CANADIAN NATURAL RESOURCES LIMITED 1.32% 0.19% 2.8 B

Oil sands operations remain a key concern, but strong safety management continues

Stable High N/A Average

PAREX RESOURCES INC. 1.59% 1.50% 5.4 BBB N/A


ENBRIDGE INC. 1.95% -2.13% 5.8 A Ongoing controversies weigh on overall ESG rating


SUNCOR ENERGY INC. 1.98% 0.32% 6.9 A Improvements in climate change strategy

CARBON RISKREPUTATIONAL

RISKGOVERNANCE

RISK (T CO2E/$M SALES)

TC ENERGY CORPORATION 2.92% 0.00% 5.3 BBB

Carbon mitigation capacity remains strong, but environmental protests continue

PORTFOLIO WEIGHT

ACTIVE WEIGHT

ESG QUALITY SCORE

ESG RATING ESG HIGHLIGHTS ESG RATING

MOMENTUM

114

Carbon Footprint of Current Holdings

1

10

100

1000

10000

100000

1000000

10000000

100000000

Carbon Emissions (Scope 1&2) Carbon Emissions Intensity Carbon Emission PerformanceRelative to Peers

Carbon Footprint

Canadian Natural Resources Limited

Parex Resources Inc.

Enbridge Inc.

TC Energy Corporation

Cenovus Energy Inc.

Husky Energy Inc.

Suncor Energy Inc.

Carbon Emission What is my portfolio total carbon footprint?

Scope 1 – Direct emissionsScope 2 – Indirect emissions (eg

electricity)

Carbon Emissions Intensitytons CO2e/$M Sales

How efficient is my portfolio interms of carbon emissions per

unit of output?

Carbon emissions performance compared to competitors

115

Carbon/GHG Reduction Target & Current Objective Achieved

Company Specific Target Target Reduction Target YearCurrent Reduction Status(Compared

to 2017)

Canadian Natural Resources Limited No target - - 2.18%

Parex Resources Inc No target - - 55.18%

Enbridge Inc (Still under development) - - 3.57%

TC Energy Corporation Absolute: Scope 1 Target (pipeline and power plant under Quebec Cap and Trade System) 20% 2020 7.56%

Cenovus Energy Inc Reducing Scope 1: Metric tons CO2e per barrel of oil equivalent (BOE) 33% 2026 10.6%

Husky Energy Inc

Methane reduction target - Husky is aligning with national and provincial plans to reduce

methane emissions by 40-45% of 2012 levels by 2025 as part of its general compliance

strategy..

40-45% of 2012 methane emissions expressed in tonnes

CO2e

2025 8.18%

Suncor Energy Inc Reducing the total emission intensity of the production of our oil and petroleum products 30% 2030 6.53%

Canadian Natural Resources Limited

116

Share of Capital Expenditure – Upstream & Midstream

Enbridge Inc.-20%

0%

20%

40%

60%

80%

100%

2014 2015 2016 2017 2018 2019

Midstream

Horizon Project

Crude Oil and NaturalGas

0%

20%

40%

60%

80%

100%

2014 2015 2016 2017 2018 2019

SponsoredInvestments

Corporate

Liquids Pipelines

Gas Distribution

Green Power andTransmission

Gas Pipelines,Processing andEnergy Services

Parex Resources Inc.

0%

20%

40%

60%

80%

100%

2014 2015 2016 2017 2018 2019

Other

Llanos Basin additionalworking interestacquisitionWell equipment andfacilities

Drilling and completion

Geological andgeophysical

Acquisition of unprovedproperties

TC Energy Corporation

0%

20%

40%

60%

80%

100%

2014 2015 2016 2017 2018 2019

Natural GasPipelines

Energy

Liquid Pipelines

117

Share of Capital Expenditure - IntegratedCenovus Energy Inc.

0%

20%

40%

60%

80%

100%

2014 2015 2016 2017 2018 2019

ConventionalEnergy

Oil Sands

Deep Basin

DownstreamRefining

Corporate andEliminations

Husky Energy Inc.

0%

20%

40%

60%

80%

100%

2014 2015 2016 2017 2018 2019

Upgrading

Canadian RefinedProducts

U.S. Refining &Marketing

Infrastructure &Marketing

Exploration andProduction

Suncor Energy Inc

0%

20%

40%

60%

80%

100%

2014 2015 2016 2017 2018 2019

Corporate andEliminations

Refining andMarketing

Oil Sands

Exploration andProduction


118

Scenario 1 - Oil & Gas Price Shock: 5% annual decline from 2020




0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000 Canadian NaturalResourcesParex Resources

Enbridge

TC Energy

Cenovus

Husky

Suncor0

10,000

20,000

30,000

40,000

50,000


Parex Resources

Enbridge

TC Energy

Cenovus

Husky

Suncor

-40000-35000-30000-25000-20000-15000-10000-5000

05000

1000015000

Canadian NaturalResources

Parex Resources

Enbridge

TC Energy

Cenovus

Husky

Suncor

0102030405060708090

100

CanadianNatural

Resources

ParexResources

Enbridge TC Energy Cenovus Husky Suncor

Current Price Price With Stranding


119

Scenario 2 - 80% decrease in EBIT fading in from 2020 and peaking in 2035: Prompt Decarbonization




0

10,000

20,000

30,000

40,000

50,000

60,000

70,000


Parex Resources

Enbridge

TC Energy

Cenovus

Husky

Suncor

-8,000

-6,000

-4,000

-2,000

0

2,000

4,000

6,000Canadian NaturalResources

Parex Resources

Enbridge

TC Energy

Cenovus

Husky

Suncor

05,000

10,00015,00020,00025,00030,00035,00040,00045,00050,000

Canadian NaturalResourcesParex Resources

Enbridge

TC Energy

Cenovus

Husky

Suncor

- 10.00 20.00 30.00 40.00 50.00 60.00 70.00

Current With Stranding

▪ A price decline of oil coupled with stranding reserves are likely to hit upstream companies (CanadianNatural Resources & Parex Resources) and integrated companies (Cenouvus, Husky & Suncor) harderthan midstream companies (Enbridge & TC Energy)

▪ Upstream companies in our portfolio are highly resource-intensive and exposed to increased operatingcosts and costs linked to carbon regulatory caps.

▪ Apart from Enbridge that has some investments in green power transmission and TC Energy thatgenerates 7% and 8% of the company’s revenue from natural gas and nuclear (considered to be lesscarbon emitting), our analysis shows almost no capital investment and revenue generation fromrenewable sources of energy for other companies, which exacerbates transition risk.

▪ As such, the two current midstream holdings are somewhat better-positioned for the energy transitioncompared to its peers.

▪ This is supported by our scenario analysis as well – assuming price decline of oil, stranding of assetsand a prompt decarbonization resulting in 80% of fossil reserves staying in the ground, Enbridge andTC Energy seem to be able to withstand and survive the tough market conditions.

▪ Suncor has progressively reduced its investment in exploration & production and oil sands and hasmoved to refining & marketing which might explain its higher revenue in a stranding scenarios when oilprice is declining and 80% decarbonization.

▪ On the other hand, Husky is knee-deep in exploration & production exposing itself to two potential risks:• Elevated risks of additional costs from stringent carbon regulations due to increasing GHG emissions

arising from the company's focus on oil sands extraction• Highly negative NPV projects as depicted by scenario 1 – free cash flows under the stranding

scenario falls the most for Husky

120

Implications of Stranded Assets on Companies’ Financials

121

Conclusion on Security Selection

Overweigh

• Enbridge Inc - Strong management practices to address carbon emissions relative topeers, including evidence of investments in carbon capture and storage projects, however,keep an eye for ongoing severe controversies

• Suncor Energy Inc – Strong climate change strategy, some evidence of investments inwind energy and biofuels, however, keep an eye on its heavy carbon footprint.

• Cenovus Energy Inc – Bold emission targets, uses cleaner energy sources such asnatural gas to power operations but it’s in a weaker position to adapt to carbon-constrained economy relative to peers

Underweight /Divest

• Husky Energy Inc – Elevated risks of costs due to extensive oil sands, heavy oil leases,and refining operations; carbon intensity at 1169 t CO2e/USD million sales over 2015-2017 vs peers' average of 700; concerns that director elections are not well-aligned withshareholder interests

• Canadian Natural Resources Limited – Higher risks - 75% of its operations are in oilsands extraction(more carbon-intensive vs conventional crude); carbon intensity of 1977.6t CO2e/M USD over 2016-2018 vs 910 for peers

• Parex Resources Inc – No disclosure of quantitative targets to reduce GHG emissions,carbon intensity of 1275 t CO2e/M USD vs 910 for peers; no evidence of investments inrenewable energy

Retain but follow closely

due to ongoing environmental

protests

• TC Energy Corporation – Demonstrates strong GHG emissions management, howeverthere is strong opposition from environmental groups over the planned construction of itsKeystone XL Pipeline. Landowners and conservation groups filed their federal lawsuit inNovember 2019.

Banktrack.org. 2020. [online] Available at: <https://www.banktrack.org/download/unburnable_carbon/unburnablecarbonfullrev2.pdf> [Accessed 5 May 2020].

CAPP. 2020. Petroleum Industry Statistics | The Statistical Handbook | CAPP. [online] Available at: <https://www.capp.ca/resources/statistics/> [Accessed 5 May 2020].

Carbon Tracker Initiative. 2020. Powering Down Coal: Navigating The Economic And Financial Risks In The Last Years Of Coal Power - Carbon Tracker Initiative. [online] Available at: <https://carbontracker.org/reports/coal-portal/> [Accessed 5 May 2020].

Carbon Tracker Initiative. 2020. 2 Degrees Of Separation – Transition Risk For Oil And Gas In A Low Carbon World -Carbon Tracker Initiative. [online] Available at: <https://carbontracker.org/reports/2-degrees-of-separation-transition-risk-for-oil-and-gas-in-a-low-carbon-world-2/> [Accessed 5 May 2020].

Carbontransfer.wpengine.com. 2020. [online] Available at: <https://carbontransfer.wpengine.com/wp-content/uploads/2018/12/CTI_Powering_Down_Coal_Report_Nov_2018_4-4.pdf> [Accessed 5 May 2020].

Data.bloomberglp.com. 2020. [online] Available at: <https://data.bloomberglp.com/bnef/sites/4/2013/12/BNEF_WP_2013-11-25_Carbon-Risk-Valuation-Tool.pdf> [Accessed 5 May 2020].

Esgmanager.msci.com. 2020. MSCI Inc. Login. [online] Available at: <https://esgmanager.msci.com/esgManager/> [Accessed 5 May 2020].

Nrcan.gc.ca. 2020. Crude Oil Industry Overview | Natural Resources Canada. [online] Available at: <https://www.nrcan.gc.ca/our-natural-resources/energy-sources-distribution/clean-fossil-fuels/crude-oil/crude-oil-industry-overview/18078> [Accessed 5 May 2020].

Support.msci.com. 2020. [online] Available at: <https://support.msci.com/support/webcast/the-financial-implications-of/0160873087> [Accessed 5 May 2020].

122

References

Scores are collected

123

Quantitative lens: Canadian Equity vs Benchmark

Industry SIAS BenchmarkCommunication Services 3.7368% 5.7602%

Consumer Discretionary 2.1066% 3.7312%

Consumer Staples 7.2206% 4.3321%

Energy 12.4068% 13.5168%

Financials 28.0946% 29.2562%

Healthcare 0.0000% 1.0128%

Industrials 12.3301% 11.7113%

Information Technology 6.4520% 8.0945%

Materials 11.4757% 14.1101%

Real Estate 2.0849% 3.0893%

Utilities 6.9541% 5.2388%

Portfolio vs Benchmark weights

Process

▪ Scores are collected from MSCI ESG Manager

▪ Portfolio weights and benchmark weights are retrieved from Bloomberg

▪ Score matrix is created –weighted scores are calculated by multiplying the scores by the respective weights

Communication Services Overall Environmental Social GovernancePortfolio 4.4 9.8 4.2 5.5Benchmark 5.9 9.6 5 5.6

Consumer Discretionary Overall Environmental Social GovernancePortfolio 3 6 4 5Benchmark 4.6 5 4 5.7

Consumer Staples Overall Environmental Social GovernancePortfolio 7 5 5.1 5.3Benchmark 4.1 4 4.4 5.6

Energy Overall Environmental Social GovernancePortfolio 4.9 3.5 6.3 6.2Benchmark 5.1 3.8 6.7 6.2

Financials Overall Environmental Social GovernancePortfolio 6.1 6.7 4.9 5.9Benchmark 6 6.3 4.9 5.9

Healthcare Overall Environmental Social GovernancePortfolio 0 0 0 0Benchmark 1.8 3.8 3.9 4.3

Industrials Overall Environmental Social GovernancePortfolio 4.6 5.9 4.1 6.2Benchmark 5.7 4.7 4 6.5

Information Technology Overall Environmental Social GovernancePortfolio 0 4.2 5.1 5.4Benchmark 3.9 4.7 3.1 7.1

Materials Overall Environmental Social GovernancePortfolio 6.6 4.1 5.3 5.3Benchmark 7.1 3 5.8 5.4

Real Estate Overall Environmental Social GovernancePortfolio 0 0 0 0Benchmark 2.5 4.8 2.8 6.6

Utilities Overall Environmental Social GovernancePortfolio 10 6.1 4.2 6.7Benchmark 10 6.3 4.7 6.6

124

Score Matrix: Canadian Equity vs BenchmarkWeighted Score

SIAS CE Portfolio Overall Environmental Social GovernanceCommunication Services 0.16 0.37 0.16 0.21

Consumer Discretionary 0.06 0.13 0.08 0.11

Consumer Staples 0.51 0.36 0.37 0.38

Energy 0.61 0.43 0.78 0.77

Financials 1.71 1.88 1.38 1.66

Health Care 0.00 0.00 0.00 0.00

Industrials 0.57 0.73 0.51 0.76

Information Technology 0.00 0.27 0.33 0.35

Materials 0.76 0.47 0.61 0.61

Real Estate 0.00 0.00 0.00 0.00

Utilities 0.70 0.42 0.29 0.47

Weighted ScoreBenchmark Overall Environmental Social Governance

Communication Services 0.34 0.55 0.29 0.32

Consumer Discretionary 0.17 0.19 0.15 0.21

Consumer Staples 0.18 0.17 0.19 0.24

Energy 0.69 0.51 0.91 0.84

Financials 1.76 1.84 1.43 1.73

Health Care 0.02 0.04 0.04 0.04

Industrials 0.67 0.55 0.47 0.76

Information Technology 0.32 0.38 0.25 0.57

Materials 1.00 0.42 0.82 0.76

Real Estate 0.08 0.15 0.09 0.20

Utilities 0.52 0.33 0.25 0.35

Communication Services 0.34 0.55 0.29 0.32

Scores are collected

125

Quantitative lens: US Equity vs BenchmarkPortfolio vs Benchmark weights

Process

▪ Scores are collected from MSCI ESG Manager

▪ Portfolio weights and benchmark weights are retrieved from Bloomberg

▪ Score matrix is created –weighted scores are calculated by multiplying the scores by the respective weights

Communication Services Overall Environmental Social GovernancePortfolio 5.4 8.4 4.3 4.5Benchmark 4.8 8.4 4.3 4.5

Consumer Discretionary Overall Environmental Social GovernancePortfolio 8.5 6.3 4.1 7.1Benchmark 7.5 5.5 3.8 6.7

Consumer Staples Overall Environmental Social GovernancePortfolio 7.9 5.6 3.6 6Benchmark 7 5.6 4.4 5.8

Energy Overall Environmental Social GovernancePortfolio 6.1 4.2 5.9 5Benchmark 6 4.1 6 5

Financials Overall Environmental Social GovernancePortfolio 3.4 6.4 5 2.8Benchmark 4.8 6 4.4 4.9

HealthcarePortfolio 8.3 7.1 5 5.4Benchmark 5.5 7 4.4 4.8

Industrials Overall Environmental Social GovernancePortfolio 7 5.5 4.5 5.8Benchmark 6.7 5.3 4.4 5.9

Information Technology Overall Environmental Social GovernancePortfolio 8.8 6.2 5.8 5.9Benchmark 7.4 5.5 5.6 5.8

Materials Overall Environmental Social GovernancePortfolio 5.9 5 4 5.7Benchmark 5.8 5.1 3.9 5.7

Real Estate Overall Environmental Social GovernancePortfolio 6.9 6.4 5.4 5Benchmark 6.8 6.4 5.3 5

Utilities Overall Environmental Social GovernancePortfolio 7.4 6.4 5 5.9Benchmark 7.3 6.4 4.9 5.9

Industry SIAS BenchmarkCommunication Services 15.586% 11.076%Consumer Discretionary 19.251% 10.582%

Consumer Staples 12.750% 7.439%Energy 0.186% 2.944%

Financials 5.890% 10.366%Healthcare 10.704% 15.255%Industrials 9.475% 7.959%

Information Technology 20.834% 25.718%Materials 0.129% 2.203%

Real Estate 1.084% 3.016%Utilities 4.067% 3.148%

126

Score Matrix: US Equity vs Benchmark1

SIAS US Portfolio Overall Environmental Social GovernanceCommunication Services 0.84163840 1.30921528 0.67019354 0.70136533Consumer Discretionary 1.63630188 1.21278845 0.78927502 1.36679333Consumer Staples 1.00724265 0.71399479 0.45899665 0.76499441Energy 0.01132454 0.00779722 0.01095324 0.00928241Financials 0.20025129 0.37694360 0.29448719 0.16491282Health Care 0.88846452 0.76001182 0.53521959 0.57803716Industrials 0.66322370 0.52110434 0.42635809 0.54952821Information Technology 1.83341628 1.29172510 1.20838800 1.22922228Materials 0.00759719 0.00643830 0.00515064 0.00733966Real Estate 0.07476958 0.06935150 0.05851533 0.05418086Utilities 0.30094712 0.26027859 0.20334265 0.23994433

Weighted ScoreBenchmark Overall Environmental Social Governance

Communication Services 0.53163470 0.93036072 0.47625608 0.49840753Consumer Discretionary 0.79364049 0.58200303 0.40211118 0.70898551Consumer Staples 0.52069890 0.41655912 0.32729645 0.43143623Energy 0.17666518 0.12072121 0.17666518 0.14722098Financials 0.49758294 0.62197867 0.45611769 0.50794925Health Care 0.83903586 1.06786382 0.67122869 0.73224948Industrials 0.53323734 0.42181461 0.35018571 0.46956721Information Technology 1.90309566 1.41446299 1.44018050 1.49161552Materials 0.12778526 0.11236290 0.08592457 0.12558207Real Estate 0.20508052 0.19301696 0.15984217 0.15079450Utilities 0.22982646 0.20149169 0.15426707 0.18575015

127

Drill-Down into ESG Performance – Largest Positions in CELARGEST POSITIONS

Upward Low N/A Leader

Stable Low N/A Leader

MANULIFE FINANCIAL CORP 3.19% 1.54% 7.5 AA Strong ESG integration in asset management drives upgrade

Stable Very Low N/A Leader

BCE INC. 3.47% 1.03% 4.1 BB Labor management and data security risks persist


SUN LIFE FINANCIAL INC. 4.44% 3.08% 8.1 AAStrong ESG integration in investment management and robust governance practices

Stable Low N/A Leader

WHEATON PRECIOUS METALS CORP. 5.05% 3.89% 6.9 AImproved ethics practices but continues to invest with ESG laggards

Stable Low N/A Average

METRO INC. 5.32% 4.62% 7.7 AA Strong product quality and safety measures

Downward Very Low N/A Leader

THOMSON REUTERS CORPORATION 5.49% 4.69% 3.9 BBImproved data security yet employee morale may decline amid layoffs and business restructuring


TORONTO-DOMINION 5.56% 0.48% 7.1 AIncrease in human capital management challenges drive downgrade


ROYAL BANK OF CANADA 5.96% 0.06% 6.7 AChallenges in human capital management, focuses on green financing opportunities

Downward Very Low N/A Average

CANADIAN NATIONAL RAILWAY COMPANY 6.23% 2.25% 5.8 A

Despite negotiating union agreements, continued layoffs may exacerbate labor risks

CARBON RISK REPUTATIONAL RISK

GOVERNANCE RISK (T CO2E/$M

SALES)

CGI INC. 6.45% 5.43% 5.9 A Weakening Corporate Governance practices drive the downgrade

PORTFOLIO WEIGHT

ACTIVE WEIGHT

ESG QUALITY SCORE


MOMENTUM

128

Drill-Down into ESG Performance – Largest Positions in US

LARGEST POSITIONS

Stable N/A N/A Laggard

Stable N/A N/A Average

JPMORGAN CHASE & CO. 4.45% 3.24% 2.9 BB

Corporate governance weakens

while controversies remain a sore

point


LOCKHEED MARTIN CORPORATION 4.98% 4.59% 5.9 A

Monetizing clean tech

opportunities; concerns over

alleged corruption


MCDONALD'S CORPORATION 5.06% 4.49% 3.9 BB

Increasing focus on franchise

operation does not reduce labor

and food safety risks


COSTCO WHOLESALE CORPORATION 5.40% 4.85% 3.5 BBRisks related to supply chain labor

remain

Stable N/A N/A Laggard

VARIAN MEDICAL SYSTEMS, INC. 5.94% 5.89% 5.7 BBB

Employee programs fall short to

tackle heightened workforce

challenges due to recent

acquisitions


ALPHABET INC. 6.17% 2.84% 7.8 AA

Retains Interactive Media &

Services ESG industry leader,

despite scrutiny

Upward N/A N/A Leader

VISA INC. 6.47% 5.24% 6.2 AContinued focus on fintech

involvement

Stable N/A N/A Leader

AMAZON.COM, INC. 6.69% 2.70% 5.5 BBB

Environmental measures improve;

spike in demand amid COVID-19

tests data protection, labor

practices

Stable N/A N/A Leader

THE HOME DEPOT, INC. 7.22% 6.24% 8.4 AA

Robust programs across

environmental and governance

pillars

CARBON RISK REPUTATIONAL RISK

GOVERNANCE RISK (T CO2E/$M

SALES)

MICROSOFT CORPORATION 7.24% 2.03% 10.0 AAATakes lead in data protection

practices

PORTFOLIO WEIGHT

ACTIVE WEIGHT

ESG QUALITY SCORE


MOMENTUM

Appendix: Operations

Reconciliation detail

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