performance review june 24, 2016 · • cfa research challenge: top 2 teams western canada •...
TRANSCRIPT
Performance ReviewJune 24, 2016
AgendaPresentation
ESG Process Discussion and Q&A
Intermission
Feedback Session
Reception
2
SIAS Achievements
Competitions:• CFA Research Challenge: Top 2 teams Western Canada• PRIMIA Risk Challenge: 2nd spot globally• Hult Prize Competition
PRMIA Risk Case Challenge CFA Research ChallengeAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
• ComplianceDaily MonitoringTrade Approval
• RiskRisk Metrics
• PerformancePeriodic ReportingAttribution Analysis
• Number of Holdings: 33 • Portfolio Weight: 33.12%• Benchmark Weight: 35%• Benchmark: S&P TSX
Capped Composite Total Return Index Global
EquityGlobal Equity
Fixed IncomeFixed Income
Performance, Compliance and Risk
Performance, Compliance and Risk
Canadian Equity
Canadian Equity
Total Assets: $15.60MQ1 SIAS Abs. Return: ‐0.21%Q1 SIAS Active Return: 0.19%
SIAS Overview
• Number of Holdings: 32 Portfolio Weight:35.92%
• Benchmark Weight: 35%
• Benchmark: MSCI World
*As of March 31st, 2016
• Approach: Top‐Down• Number of Holdings: 30• Portfolio Weight: 27.90%• Benchmark Weight: 28%• Benchmark: DEX Universe
Other
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Introduction
Compliance
Performance and Risk
CME
Canadian Equity
Global Equity
Fixed Income
Compliance Matrix
Other
Fixed Income
ESG Integration
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Benchmark Proposals
Fixed Income
ESG Integration
Required Weight Solution Correlation Tracking error
Canadian Equity
S&P/TSX Composite
Index 35%
S&P/TSX Composite
Index 100% 0
Global Equity MSCI World Index 35% iShares MSCI
ACWI ETF 99.91% 5.38%
Fixed income DEX Universe Bond Index 28%XBB iSharesCanadian
Universe Bond‐ ‐
Cash DEX 91 Day T‐Bill Index 2% 3 month T‐Bill
rate ‐ ‐
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
‐0.21% ‐0.40%
Portfolio OverviewFund Size: 15.60 Million CAD | Inception Date: Dec 2003 | as of March. 31, 2016
Absolute ReturnTotal Assets (CAD)
CME
AssetAllocation
Q1 Beginning Q1 Ending
$15.63 M $15.60 M
0.19%Active Return
SIAS Q1 Return Benchmark Q1 Return
Fixed Income
ESG Integration
• These number are quarterly calculated.
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Q1 Risk Metrics SummaryCanadian Equity
Global Equity
Fixed Income SIAS Fund
Active Weight ‐3.36% 4.47% ‐2.66% 0%
Active Return Portfolio 0.26% ‐0.15% 0.02% 0.19%
VolatilityPortfolio 9.26% 7.79% 2.00% 4.93%
Benchmark 9.46% 7.95% 2.08% 5.27%
Sharpe Ratio
Portfolio 0.58 ‐0.76 0.62 ‐0.06
Benchmark 0.43 ‐0.77 0.48 ‐0.10
TrackingError Portfolio 2.87% 3.15% 1.12% 1.72%
Information Ratio 0.45 0.08 0.22 0.11
Fixed Income
ESG Integration
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
IPS Return Objectives
Category IPS Objective SIAS Performance Expectation Achieved
Absolute Return(CPI+4.5% per year)
5.8% 10.21% Yes
CE Active Return 1.40% 9.63% Yes
GE Active Return 0.20% 3.95% Yes
FI Active Return 0.10% 2.91% Yes
• Objectives from SIAS IPS (2014 version)• Rolling 4 years absolute annualised return• Rolling 2 years annualized active returns
Introduction
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Appendices
Fixed Income
ESG Integration
‐25.0%
‐20.0%
‐15.0%
‐10.0%
‐5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
2009 2010 2011 2012 2013 2014 2015 YTD
SIAS Benchmark
Historical Performance
2008
2008 2009 2010 2011 2012 2013 2014 2015 YTD*
SIAS Return ‐19.80% 19.30% 9.90% 0.80% 8.20% 15.88% 10.97% 6.35% ‐0.84%
Benchmark Return ‐20.00% 18.20% 10.40% ‐1.40% 8.50% 14.31% 11.52% 4.03% ‐1.59%
* Numbers are annualized
Fixed Income
ESG Integration
Introduction
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Appendices
Fixed Income
ESG Integration
SIAS Q1 Portfolio Attribution
SIAS Asset Class Sector Allocation Stock Selection Value Added
CE ‐16 bps 41 bps 26 bps
GE ‐25 bps 10 bps ‐15 bps
Fixed Income ‐4 bps 6 bps 2 bps
Cash ‐4 bps 11 bps 7 bps
Total ‐49 bps 68 bps 19 bps
*These number are quarterly calculated.
Fixed Income
ESG Integration
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Asset Allocation andCapital Market Expectations
Presented byVishal Bane
Chief Investment [email protected]
Highlights for Q1 2016• Strong quarter for Canadian
equities; expectations continued.
• Fed cautious on rate hikes – 2 hikesin 2016 against the 4 earlierexpected.
• Potential weakness in USD expectedin 2016.
• Oil bottomed and the WTI made itsfirst quarterly increase since 2015.
• Canada budget – large scale publicspending planned to boosteconomy.
• ECB announced further bondpurchases and lowered rates toextend its QE program
• EMs largely negative due topessimistic outlook on Chinagrowth prospects.
Total Returns in Canadian dollars
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Economic & Investment Outlook
• Global growth to remain sluggish
• Europe: While we are overall positive on Europe due to cheap valuations, the June vote on Brexit will be a notable downside risk
• EMs: We are selectively positive on EM as due to weaker commodity and weakness in USD.
• Canada forecast positive: Deficit spending from the new government and a slightly optimistic outlook for oil.
• US outlook: Neutral on US equities – More positive on Canada ; the rally in CAD/USD further tones down our outlook on US equities.
• Canadian Interest Rate : Fiscal boost should improve economic data; so we expect no further rate cuts until the next 2 quarters. Neutral on Fixed income.
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Relative Yield AnalysisAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
PortfolioReturn‐119 bps
Price Analysis
PE Ratio Comparison
S&P 500 12 month trailing PE Average
S&P 500 historical PE
TSX 12 month trailing PE Expensive
TSX historical PE
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Asset AllocationAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
0%
5%
10%
15%
20%
25%
30%
35%
40%
Sector Allocation (%)
Canadian Portfolio TSX Benchmark
Portfolio Overview (as of March 31, 2016, # of holdings: 33)Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
21
Q1 Transactions
CIBC Q1 Sell‐Decision• Macro perspective ‐ Negative low oil price effect.• Portfolio perspective ‐ Highly correlated with other bank securities we hold.• Valuation – Realized its target price.
‐15.00%
‐10.00%
‐5.00%
0.00%
5.00%
10.00%
Dec‐15 Jan‐16 Feb‐16 Mar‐16
Relativ
e Price
Canadian Imperial Bank vs. S&P TSX vs. S&P Financial Index
CIBC S&P TSX Index S&P Financials Index
Correlation Matrix of Three Bank Holdings
Security RY TD CM
RY 1.000 0.880 0.851
TD 0.880 1.000 0.871
CM 0.851 0.871 1.000
Date Transaction Company Shares Sector Price Position Value Return
24 Mar Sell Canadian Imperial Bank ‐1500 Financials $96.54 ‐144,810 20.41%
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
22
Restaurant Brands Q1 Buy‐Decision• Growing trend in the long‐term• Relative good fundamentals compared to its peers• The price is relatively undervalued compared to CD Index and TSX Benchmark
‐20%
‐15%
‐10%
‐5%
0%
5%
10%
Dec‐15 Jan‐16 Feb‐16 Mar‐16
Relative Price
QSR vs. S&P TSX vs. S&P Consumer Discretionary Index
Restaurant Brands Intl Inc S&P TSX Index S&P Consumer Discretionary Index
Date Transaction Company Shares Sector Price Position Value Return
24 Mar Buy Restaurant Brands Intl Inc 3336 Consumer
Discretionary C$50.25 167,634 6.77%
Q1 Transactions Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Portfolio Performance (December 31th , 2015 to March 31st, 2016)
2
‐0.50%
0.00%
0.50%
1.00%
1.50%
2.00%
Dec‐15 Jan‐16 Feb‐16 Mar‐16
Absolute Return vs Active Return
Absolute Return Active Return
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Sector Asset Allocation Selection Value Added
Financials ‐1 bps ‐19 bps ‐20 bps
Energy ‐5 bps 16 bps 11 bps
Materials 0 bps ‐53 bps ‐53 bps
Diversified* 44 bps 61 bps 105 bps
Total 38 bps 5 bps 43 bps
Q1 Portfolio Attribution
24
* Major sources of value added within Diversified sectors• Health Care 44 bps for Asset Allocation• Information Technology 11 bps for Security Selection• Consumer Discretionary 40 bps for Security Selection
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Q2 Summarized Action PlanRelative to the benchmark S&P TSX (March 31st, 2016)
* No positions in sector as of March 31th, 2016.
Sector Current active position Action Plan
Financials ‐2.29%
Energy ‐4.94%
Materials ‐0.87%
Consumer Discretionary 5.33%
Consumer Staples 1.21%
Information Technology ‐0.09%
Healthcare* ‐0.94%
Telecommunications 1.67%
Utilities 2.79%
Industrials ‐1.87%
25
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Region Active Weight Active Return
Emerging Markets ‐5.56% 0.81%
Asia Pacific 2.26% ‐3.07%
Europe 0.25% ‐2.39%
North America 3.06% 2.24%Fixed Income
ESG Integration
Global Equity Q1 2016 Portfolio PerformanceAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Fixed Income
ESG Integration
Region Asset Allocation Selection Value Added
Emerging Markets ‐3.2 bps 1.0 bps ‐2.2 bps
Asia Pacific ‐1.7 bps ‐17.3 bps ‐19.0 bps
Europe ‐0.2 bps ‐22.4 bps ‐22.6 bps
North America 1.1 bps 52.0 bps 53.1 bps
Total ‐4.0 bps 13.3 bps 9.4 bps
Global Equity Q1 2016 Portfolio AttributionAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Q1 Performance (iShares index)• Best Performer: Singapore (8.06%)• Worst Performer: Japan (‐4.36%)
Country iShares ETF Q1 Performance
Japan MSCI Japan ETF ‐4.36%
Australia MSCI Australia ETF 3.32%
Hong Kong MSCI Hong Kong ETF 1.96%
Singapore MSCI Singapore ETF 8.06%
New Zealand MSCI New Zealand ETF 10.56%
Q2 Outlook and Expectation
• Hong Kong economy faces difficulty because ofsharp drop in visitor arrivals and weaker visitorspending
• New Zealand’s strong performance coupled withrelatively low correlation with other regionalmarkets puts it on our buy radar for Q2.
Region 5 yr Avg P/E Current P/E
Nikkei 225 20.80 19.98
S&P/TSX Australia 18.53 23.16
STI Index 12.24 11.94
HSI Index 10.36 10.42
Asia Pacific: Q1 Performance of ETFs in SIAS
80
85
90
95
100
105
110
115
Jan‐16 Feb‐16 Mar‐16
Japan Australia Hong Kong Singapore
Fixed Income
ESG Integration
2016 Q2 SIAS Global Equity Sector Expectation: Asia PacificAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Q1 Performance (iShares index)• Best Performer: France (1.51%)• Worst Performer: Switzerland (‐3.13%)
Country iShares ETF Q1 Performance
France MSCI France ETF 1.51%
Switzerland MSCI Switzerland Capped ETF ‐3.13%
United Kingdom MSCI United Kingdom ETF ‐1.26%Germany MSCI Germany ETF 0.67%Netherlands MSCI Netherlands ETF 4.90%Sweden MSCI Sweden ETF 3.04%Spain MSCI Spain Capped ETF ‐2.55% Norway MSCI Norway Capped ETF 4.14%
Q2 Outlook and Expectation
• EU inflation targets expected to remain out of reach warranting further continuation of monetary stimulus from ECB
• Withdrawal of the United Kingdom from the European Union is a potential risk
• Norway included on buy radar for Q2 Europe: Q1 Performance of ETFs in SIAS Portfolio
Region 5 yr Avg P/E Current P/E
EURO SX5E Index 17.94 21.82
CAC 40 18.60 22.31
Swiss Market Index 18.44 26.23
FTSE 100 19.34 46.36
DAX 16.29 22.48
80
85
90
95
100
105
Jan‐16 Feb‐16 Mar‐16
France Switzerland UK Germany
Fixed Income
ESG Integration
2016 Q2 SIAS Global Equity Sector Expectation: EuropeAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Q1 Performance (iShares index)• Best Performer: South Korea (8.88%)• Worst Performer: India (0.74%)
Country iShares ETF Q1 Performance
India MSCI India ETF 0.74%
South Korea MSCI South Korea Capped ETF 8.88%
Russia MSCI Russia Capped ETF 18.03%
China MSCI China ETF ‐1.30%Thailand MSCI Thailand Capped ETF 16.77%Taiwan MSCI Taiwan ETF 11.95% Malaysia MSCI Malaysia ETF 18.96%Indonesia MSCI Indonesia ETF 14.65%
Q2 Outlook and Expectation
• South Korea is expected to cut its interest rate to ensure that the recovery of economic growth continues and inflation approaches the target
• Indian economy exceeded market expectation in Q1
• In Q2, we will be actively monitoring inclusion of new markets into the ‘Emerging category’ by MSCI as these markets are expected to attract investment from targeted emerging market funds
Emerging Market: Q1 Performance of ETFs in SIAS
Region 5 yr Avg P/E Current P/E
SENSEX Index 17.86 19.08
KOSPI Index 16.69 14.13
80
90
100
110
120
Jan‐16 Feb‐16 Mar‐16
India South Korea
Fixed Income
ESG Integration
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
2016 Q2 SIAS Global Equity Sector Expectation: Emerging Mkts.
Top Countries on Buy Radar Top Countries on Sell Radar
Norway
New Zealand
Pakistan
Japan
Hong Kong
Fixed Income
ESG Integration
Rest of the World Portfolio RadarAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Sector Current active position Action Plan
Emerging Markets ‐5.56%
Asia Pacific 2.26%
Europe 0.25%
North America 3.06%
Fixed Income
ESG Integration
Rest of the World: Action Plan for Q2 2016Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
35
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
Sector Allocation (%)
US Equity S&P 500
Portfolio Overview (as of March 31, 2016, # of holdings: 21)Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Q1 Transactions
• Realize gains
• Maintain compliance for GE portfolio
• Strong fundamentals
• Industrials was 7.3% active weight against the S&P 500
• Weaker fundamentals and future prospects compared to other Industrials holdings
Date Transaction Company Sector Shares Price Position Value Return (since bought)
Feb 02 Sell (partial) McDonald’s Corp Consumer Discretionary 750 US$121 (‐90,608) 14% annual
Mar 24 Sell (partial) Emerson Electric Co Industrials 1300 US$54 (‐70,578) 3% annualAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Q1 Performance
‐0.20
0.20.40.60.81
1.21.41.6
Sector Sharpe Ratio
‐12%
‐10%
‐8%
‐6%
‐4%
‐2%
0%
2%
4%
05/01 15/01 25/01 04/02 14/02 24/02 05/03 15/03 25/03
US Portfolio vs MSCI World ‐ % Change in Value
US Portfolio MSCI World Ex‐Canada
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Q1 Performance
‐16.00% ‐11.00% ‐6.00% ‐1.00% 4.00% 9.00% 14.00%
EMERSON
AT&T
3M CO
TARGET
MENT
VISA
GOOGL
XLF
WHOLE FOODS
CBRE
Absolute Return Q1
Sector Asset Allocation Selection Value Added
Financials ‐1 bps ‐8 bps ‐9 bps
Energy 0 bps 4 bps 4 bps
IT 0 bps 4 bps 4 bps
Diversified* ‐2 bps 56 bps 54 bps
Total ‐3 bps 56 bps 53 bps
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
• Market P/E is about its 10‐year average, except Energy sector still being significantly higher than its 10‐year average
• Market still favours defensive sectors (Utilities & Staples still leading), albeit not as strong as Q4 2015
• Gradual balancing between defensive & non‐defensive sectors show market in shifting gears with respect to recovery & future interest rate hikes
S&P 500 Energy Industrials Financials Health Care
Consumer Staples
Consumer Discretionary IT Telecom Materials Utilities
Current 19.1 39.4 17.4 14.6 20.1 22.4 20.2 19.6 15.6 17.6 18.610‐year average 16.7 13.7 16.2 17.2 16.4 17.6 21.0 18.2 16.3 17.1 15.2
051015202530354045
Sector P/E Ratio
Current 10‐year average
Marketing Pricing and AllocationAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Sector Current active position* Action Plan
Energy ‐1.5%
Industrials 4.9%
Consumer Staples 0.8%
Consumer Discretionary ‐0.3%
Financials ‐0.5%
Information Technology 2.4%
Healthcare ‐2.4%
Telecom 2.8%
Utilities* ‐3.0%
Materials* ‐2.8%
* Relative to the S&P 500, as of March 31, 2016
Q2 Summarized Action Plan
* No positions in sector as of March 31th, 2016.
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
*All data points are as of 31st March 2016.
42
Return Current Quarter YTD 2015 2014 2013
Portfolio 1.35 1.35 5.62 6.2 ‐0.80Benchmark 1.10 1.10 6.21 6.34 ‐1.31
Active 0.25 0.25 ‐0.59 ‐0.14 0.51
‐21%
19%
‐1%
2%
‐30%
‐20%
‐10%
0%
10%
20%
30%
40%
50%
60%
Federal Provincial Municipal Corporate
Portfolio Benchmark Active
1.07%
1.64%
1.31%
1.51%
0.00%
0.40%
0.80%
1.20%
1.60%
2.00%
Federal Provincial Municipal Corporate
SIAS Portfolio Weights Sector Performance
Fixed Income Performance HistoryAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Introduction
Compliance
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
CME
Asset Allocation ‐20
‐15
‐10
‐5
0
5
10
0
0.5
1
1.5
2
2.5
3M 6M 1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 20Y 30Y
Change(bps)Yield(%)
Change(BPS) 03/31/16 Yield 12/31/15 Yield
‐2.50
‐2.00
‐1.50
‐1.00
‐0.50
0.00
0.50
1.00
1.50
6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y
Key Duration
Canadian Government Yield Curve
Difference in Key Rate Duration
Positive Active Return – from Curve ChangeAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
44
Transaction
Close to Maturity
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
45
Yield Curve
Overweight at the long‐end of
the curve
Matching the key duration at each point
Credit Spread(Prov)
Prefer BC
1. Diversified resource base
2. Housing is on fire in this low interest rate environment
Credit Spread(Corp)
Short the duration
Long Infrastructure
2016 Q2 StrategyAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
46
Data • Automatically portfolio holding raw data download from the custodian
Calculation• Calculate weight and return at security level and industry sector level
Reporting• Automatically generate daily performance report
Usage
• Fixed income team – daily monitoring• Risk& performance and Compliance team
To do List
• Risk• Benchmark
Automatic Performance DatabaseAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
CUSIP013051DG9
013051CZ8
013051DL8
110709FJ6
110709EK4
563469UE3
56344ZCG2
642869AF8
669827FL6
683234UV8
12741RAC3
683234SL3
987049AC7
803854JW9
CUSIP541908BZ1
CUSIPYTD QTD MTD DTD
0.62% 14,824 0.41% 17,723 0.30% 13,155 0.00% 112Total
YTD QTD MTD DTD
0.01% 316 0.00% 186 0.00% 67 0.00% ‐3Total
YTD QTD MTD DTD
1.60% 68,626 0.83% 36,066 0.39% 16,958 ‐0.05% ‐2,230Total
Government ‐ ProvincialSecurityName Coupon Rate Maturity Date
CUMULATIVE RETURN
Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) Return ValueAdded($)PROV OF ALBERTA 2.55 2022‐12‐15
PROV OF ALBERTA 4 2019‐12‐01
PROV OF ALBERTA 3.4 2023‐12‐01
PROV OF BRITISH COLUMBIA 5.4 2035‐06‐18
PROV OF BRITISH COLUMBIA 5.7 2029‐06‐18
PROV OFMANITOBA 2.45 2025‐06‐02
PROV OFMANITOBA 6.3 2031‐03‐05
PROV OF NEW BRUNSWICK 2.85 2023‐06‐02
PROV OF NOVA SCOTIA 5.8 2033‐06‐01
PROV OF ONTARIO 5.35 2019‐06‐02
CADILLAC FAIRVIEW FIN TR 3.64 2018‐05‐09
PROV OF ONTARIO 5.85 2033‐03‐08
YORK REGION DIST SCH BRD 5.3 2025‐06‐03
PROV OF SASKATCHEWAN 3.2 2024‐06‐03
2.55% 2,659 1.28% 1,346 0.82% 870 ‐0.08% ‐80
0.95% 1,052 0.56% 625 0.38% 428 ‐0.05% ‐59
2.76% 6,423 1.49% 3,499 0.92% 2,178 ‐0.12% ‐292
5.58% 7,537 3.11% 4,300 1.76% 2,471 ‐0.04% ‐55
4.15% 10,019 1.99% 4,903 1.32% 3,272 ‐0.15% ‐373
3.79% 5,699 2.07% 3,163 1.13% 1,747 ‐0.10% ‐151
4.49% 9,490 2.53% 5,331 1.38% 2,948 ‐0.12% ‐269
2.84% 2,978 1.70% 1,803 0.85% 912 ‐0.05% ‐55
4.51% 2,374 3.01% 1,606 1.57% 853 ‐0.16% ‐84
0.93% 1,807 0.51% 1,005 0.31% 606 ‐0.04% ‐77
0.66% 704 0.45% 482 0.24% 251 ‐0.02% ‐22
5.14% 14,312 2.83% 7,899 1.50% 4,230 ‐0.16% ‐458
‐1.78% ‐3,202 ‐2.34% ‐4,244 ‐3.40% ‐6,219 ‐0.06% ‐110
3.14% 6,774 1.99% 4,349 1.09% 2,412 ‐0.07% ‐145
Government ‐MunicipalSecurityName Coupon Rate Maturity Date
CUMULATIVE RETURN
Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) Return ValueAdded($)LONDON ONTARIO 5.875 2017‐08‐06 0.58% 316 0.35% 186 0.12% 67 0.00% ‐3
Fixed Income Daily Performance – Detail - Ending 2016‐06‐14
Government ‐ FederalSecurityName Coupon Rate Maturity Date
CUMULATIVE RETURN
Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) Return ValueAdded($)FARM CREDIT CORP 4.6 2021‐06‐01
GOVERNMENT OF CANADA 5.75 2033‐06‐01
1.90% 2,199 0.72% 845 0.75% 877 ‐0.01% ‐9
4.51% 12,625 3.04% 16,878 2.19% 12,278 0.02% 122
30766ZXM0
135087XG4
3.21% 124,256 1.72% 74,689 0.93% 40,626 0.00% 116Total Portfolio
YTD QTD MTD DTD
0.01% 562 0.01% 340 0.00% 107 0.00% ‐10Total
YTD QTD MTD DTD
0.51% 20,800 0.26% 11,143 0.12% 5,317 0.05% 2,378Total
YTD QTD MTD DTD
0.02% 757 0.01% 457 0.00% 61 0.00% 4Total
YTD QTD MTD DTD
0.44% 17,707 0.20% 8,773 0.11% 4,960 0.00% ‐137Total
YTD QTD MTD DTD
0.00% 665 0.00% 0 0.00% 0 0.00% 0Total
Corporate ‐ Real EstateSecurityName Coupon Rate Maturity Date
CUMULATIVE RETURN
Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) CUSIPOMERS REALTY CTT HLDGS INC 4.75 2016‐05‐05 0.41% 665 0.00% 0 0.00% 0 0.00% 0 68216KAA0
Corporate ‐ InfrastructureSecurityName Coupon Rate Maturity Date
CUMULATIVE RETURN
Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) CUSIPGREATER TORONTO AIRPORTS AU5T.2H6 2018‐04‐17
407 INTERNATIONAL INC 5.96 2035‐12‐03
HYDRO ONE 4.4 2020‐06‐01
TORONTO HYDRO CORP 3.54 2021‐11‐18
HYDRO ONE INC 3.2 2022‐01‐13
0.79% 867 0.49% 540 0.23% 246 ‐0.01% ‐14
7.65% 10,051 3.12% 4,282 1.67% 2,328 ‐0.01% ‐9
2.23% 1,128 0.78% 788 0.50% 508 ‐0.04% ‐40
2.49% 2,726 1.48% 1,635 0.89% 975 ‐0.01% ‐15
2.71% 2,935 1.41% 1,527 0.83% 904 ‐0.05% ‐60
39191ZAT6
35085ZAD8
44810ZBA7
89119ZAD5
44810ZBF6
Corporate ‐ IndustrialSecurityName Coupon Rate Maturity Date
CUMULATIVE RETURN
Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) CUSIPBROOKFIELD ASSET MGMT INC 5.2 2016‐09‐08 0.81% 757 0.50% 457 0.07% 61 0.00% 4 11257ZAA7
Corporate ‐ FinancialSecurityName Coupon Rate Maturity Date
CUMULATIVE RETURN
Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) CUSIPBANK OF MONTREAL 6.17 2023‐03‐28
BANK OF NOVA SCOTIA 3.27 2021‐01‐11
ROYAL BANK OF CANADA 4.93 2025‐07‐16
GREATWEST LIFECO INC 4.65 2020‐08‐13
GE CAPITAL CANADA FUNDING CO5.53 2017‐08‐17
INVESTORS GROUP INC 6.65 2027‐12‐13
0.89% 984 0.60% 649 0.28% 299 ‐0.05% ‐53
3.02% 3,230 1.53% 1,639 0.68% 738 ‐0.05% ‐53
5.93% 8,585 2.87% 4,198 1.40% 2,078 ‐0.06% ‐86
3.59% 1,402 1.15% 899 0.61% 480 0.03% 23
0.87% 945 0.56% 598 0.18% 188 0.00% ‐5
5.52% 5,655 3.01% 3,160 1.44% 1,535 2.42% 2,553
06369ZAY0
0641492L0
780085N93
39138CAG1
36158ZBH8
46152HAB7
Corporate ‐ CommunicationSecurityName Coupon Rate Maturity Date
CUMULATIVE RETURN
Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) CUSIPSHAW COMMUNICATIONS INC 5.5 2020‐12‐07 3.12% 562 1.87% 340 0.58% 107 ‐0.05% ‐10 82028KAR2
ESG Importance to SIAS
1. SFU’s signed commitment to UNPRI
2. Unseen Risks
3. Robust Analysis
Increased ESG Usage from Bloomberg
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
ESG Strategy
Two‐Step Approach
Sustainalytics Ranking
Analyst Research
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
ESG Overview: SIAS Ranking System
• water intensity• environment fines & penalties• carbon intensity• carbon intensity trend• renewable energy use
Measurements on Controversy and Events
Governance25%
Social40%
Environment35%
ESG Weights Example
Raw ScoreCategories
0 20 50 80 99
822
out of228
82 86 79
1PercentileOverall ESG Score Relative
Position
Environment Social Government
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
ESG Overview: SIAS Research Process
PollutionWaste DisposalRenewable Energy
DiscriminationFood SafetyCommunity Relations
Executive CompensationShareholders’ RightsBoard Diversity
Environment
Social
Governance
Proxy Voting
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
0%20%40%60%80%100%
SIAS ESG Ranking: US & CAD Portfolios
CAD US
Percen
tile
ESG Performance
Current Threshold
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
‐
10
20
30
40
50
60
70
Environmental Social Governance
ESG Performance: Consumer Staples
Canadian Food Retail Industry Metro Inc.
Update EquipmentCompost wastes
Food Industry StandardSafe Working Practice
Identified RisksCorporate Responsibility
Environment
Social
GovernanceAir EmissionsFood Waste
Food SafetyLabeling Labor
Conflicts Management of Stakeholder
Interests
Raw sc
ore
37th Percentile
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
ESG Performance: Energy
Canadian Energy Industry Suncor Energy Inc.
‐
10
20
30
40
50
60
70
Environmental Social Governance
Human CapitalBusiness Models & Innovation
Health, Safety, Emergency
Raw sc
ore National Standard Air
Pollution
Shelter for Victims
Air Emission StandardBusiness Innovation
Environment
Social
Governance
Air EmissionsWater
79th Percentile
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
SIAS & ESG: Next StepsAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
17% COMPENSATION
12% SHAREHOLDER PROPOSAlS
46% BOARD OF DIRECTORS/DIRECTOR RELATED
5% CAPITALIZATION
5% SHAREHOLDER RIGHTS
15% AUDITOR
Proposals Categories in SIAS
Proxy VotingAchievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Against Supported
22%
20%
67%
59
Proxy VotingTotal Voted Proposals based on
Voting Guideline in 2016
41
Management Proposals
Director Nominee Proposals
Remuneration Report Proposals
Shareholder Proposals
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
Introduction
Compliance
CME
Asset Allocation
Canadian Equity
Global Equity
Fixed Income
Performance and Risk
60
Appendix
Fixed Income
Achievements
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Fixed Income
ESG Integration
Appendices
Introduction
AppendixCanadian Equity (CE)
Equity (March 31, 2015) Sector Shares Price (CAD) Market Value (CAD) Weight in CE
THOMSON REUTERS CORP Consumer Discretionary 4000 52.62 210480 4.07%
RESTAURANT BRANDS INTL INC Consumer Discretionary 4900 50.44 247156 4.78%CINEPLEX INC Consumer Discretionary 3300 50.57 166881 3.23%METRO INC Consumer Staples 6750 45.06 304155 5.89%
TRANSCANADA CORP Energy 2900 51.06 148074 2.87%SUNCOR ENERGY INC Energy 5720 36.17 206892.4 4.00%HUSKY ENERGY INC Energy 5924 16.17 95791.08 1.85%
CENOVUS ENERGY INC Energy 3300 16.9 55770 1.08%CANADIAN NATURAL RESOURCES LTD Energy 4300 35.13 151059 2.92%
ARC RESOURCES LTD Energy 4400 18.89 83116 1.61%TORONTO‐DOMINION BANK Financials 5160 56.06 289269.6 5.60%SUN LIFE FINANCIAL INC Financials 6000 41.9 251400 4.87%
SLATE OFFICE REIT Financials 8690 7.89 68564.1 1.33%ROYAL BANK OF CANADA Financials 3800 74.83 284354 5.50%
ONEX CORP Financials 1900 79.16 150404 2.91%MANULIFE FINANCIAL CORP Financials 11750 18.38 215965 4.18%
IGM FINANCIAL INC Financials 1200 39.12 46944 0.91%GREAT WEST LIFECO INC Financials 6600 35.74 235884 4.56%
CANADIAN REIT Financials 1000 45.07 45070 0.87%BROOKFIELD ASSET MGMT INC Financials 5550 45.17 250693.5 4.85%
CANADIAN NATIONAL RAILWAY CO Industrials 4020 81.16 326263.2 6.31%TECK RESOURCES LTD Materials 2000 9.85 19700 0.38%
SILVER WHEATON CORP Materials 2500 21.55 53875 1.04%POTASH CORP OF SASKATCHEWAN Materials 2400 22.11 53064 1.03%
GOLDCORP INC Materials 3600 21.07 75852 1.47%EXCO TECHNOLOGIES LTD Materials 6000 15 90000 1.74%
CANFOR CORPORATION NEW Materials 8000 17.85 142800 2.76%CAMECO CORP Materials 5300 16.67 88351 1.71%
ROGERS COMMUNICATIONS INC Telecom 4,000 $59.19 236760 2.82%BCE INC Telecom 2,800 $52.00 145600 4.58%
EMERA INC Utility 3600 47.54 171144 3.31%BROOKFIELD RENEWABLE ENERGY Utility 2570 39.26 100898.2 1.95%
CGI GROUP INC IT 2500 62.07 155175 3.00%
1. Energy & Industrials
Underweight Energy due to expectation of continued low oil prices
Maintain overweight in Industrials due to strong historical performance, and a more positive outlook for the economy
2. Consumer Staples & Discretionary
Maintain neutral weight in Staples & Discretionary to focus efforts on following sectors:
3. Financials & IT
Stronger possibility of interest rate hike in Q2 or Q3 is a good opportunity to explore options in Financials. We can reduce our holding in XLF and explore a buy opportunity.
Maintain overweight in IT, but will shift some weights to Healthcare (healthcare is currently ‐%). Will do this by selling the lowest‐performing IT stock (MENT), which also does not have an ESG rating (score) and allocate the funds to buying a Healthcare and an Utilities company (to be explained). Doing this will also increase the average ESG score for IT & the portfolio
4. Healthcare & Telecom
Maintain holdings in healthcare and vote on decision to buy AmerisourceBergen to bring Healthcare to neutral weight from underweight.
Maintain overweight in Telecom
5. Materials & Utilities
Explore a buy opportunity in Utilities to pick up some attribution points in sectors which the portfolio currently have zero weights in. As the economy recovers towards an interest rate hike with stronger economic indicators (job reports, jobless claims, consumer comfort levels, PMI, some recovery in 10‐year breakeven inflation rate…) defensive sectors will become cheaper. We also have an analyst who is available to cover a Utilities company.
Opportunities in Materials will be explored in subsequent quarter.
Appendix: Q2 Summarized Action Plan
Fixed Income
ESG Integration
Introduction
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Appendices
Fixed Income
ESG Integration
Sector Company Shares Base MV Local MV Weight in US
Industrials 3M CO 1225 266719.66 206192 8.2%
Information Technology ALPHABET INC 100 93760.38 72483 2.9%
Information Technology ALPHABET INC 100 91949.41 71083 2.8%
Telecom AT&T INC 3500 177248.69 137025 5.5%
Financials CBRE GROUP INC 1300 48228.72 37284 1.5%
Information Technology CISCO SYSTEMS INC 5800 199043.71 153874 6.1%
Consumper Staples COCA‐COLA CO/THE 3600 211184.97 163260 6.5%
Industrials EMERSON ELECTRIC CO 500 33509.41 25905 1.0%
Financials FINANCIAL SELECT SECTOR SPDR 6100 180538.19 139568 5.6%
Industrials GENERAL ELECTRIC CO 5000 191704.11 148200 5.9%
Consumer Discretionary HOME DEPOT INC/THE 1250 215262.89 166412.5 6.6%
Healthcare JOHNSON & JOHNSON 1500 220343.31 170340 6.8%
Consumer Discretionary MCDONALD'S CORP 850 141650.84 109505.5 4.4%
Information Technology MENTOR GRAPHICS CORP 6500 165470.92 127920 5.1%
Information Technology QUALCOMM INC 2550 169281.71 130866 5.2%
Energy SCHLUMBERGER LTD 2000 187383.65 144860 5.8%
Consumer Discretionary TARGET CORP 600 57340.48 44328 1.8%
Healthcare VARIAN MEDICAL SYSTEMS INC 1650 175252.09 135481.5 5.4%
Financials VISA INC 2800 278273.65 215124 8.6%
Consumper Staples WAL‐MART STORES INC 800 67202.51 51952 2.1%
Consumper Staples WHOLE FOODS MARKET INC 2000 78389.13 60600 2.4%
Appendix: Current Holdings
Fixed Income
ESG Integration
Introduction
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Appendices
Fixed Income
ESG Integration
Example of Measurements on Controversy and Events:
Introduction
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Appendices
Fixed Income
ESG Integration
beedie.sfu.ca/sias
65
Fixed Income: Current Holdings as at 3/31/2016
21
Issuer Coupon RateMaturityDate
IndustrySubgroup Weight Market Value
407 INTERNATIONAL INC 5.96 03‐Dec‐35 Transportation 3.1% 137,166 BANK OF MONTREAL 6.17 28‐Mar‐23 Bank 2.5% 108,394 BANK OF NOVA SCOTIA 3.27 11‐Jan‐21 Bank 2.4% 107,053 BROOKFIELD ASSET MGMT INC 5.2 08‐Sep‐16 Diversified 2.1% 91,523 CADILLAC FAIRVIEW FIN TR 3.64 09‐May‐18 Ontario 2.4% 106,325 FARM CREDIT CORP 4.6 01‐Jun‐21 Agency 2.7% 117,059
GE CAPITAL CANADA FUNDING CO 5.53 17‐Aug‐17 Services 2.4% 106,472 GOVERNMENT OF CANADA 5.75 01‐Jun‐33 Non‐Agency 12.6% 556,069 GREAT WEST LIFECO INC 4.65 13‐Aug‐20 Insurance 1.8% 78,484 GREATER TORONTO AIRPORTS AUTH 5.26 17‐Apr‐18 Transportation 2.5% 110,322 HYDRO ONE 4.4 01‐Jun‐20 Utility 2.3% 101,473 HYDRO ONE INC 3.2 13‐Jan‐22 Utility 2.5% 108,092
INVESTORS GROUP INC 6.65 13‐Dec‐27 Services 2.4% 104,886 LONDON ONTARIO 5.875 06‐Aug‐17 Ontario 1.2% 53,596 OMERS REALTY CTT HLDGS INC 4.75 05‐May‐16 Non‐RELT 0.0% ‐PROV OF ALBERTA 4 01‐Dec‐19 Alberta 2.5% 111,322 PROV OF ALBERTA 2.55 15‐Dec‐22 Alberta 2.4% 105,479
PROV OF ALBERTA 3.4 01‐Dec‐23 Alberta 5.4% 235,306 PROV OF BRITISH COLUMBIA 5.7 18‐Jun‐29 British Columbia 5.6% 246,659 PROV OF BRITISH COLUMBIA 5.4 18‐Jun‐35 British Columbia 3.1% 138,384 PROV OF MANITOBA 6.3 05‐Mar‐31 Manitoba 4.8% 210,745
PROV OF MANITOBA 2.45 02‐Jun‐25 Manitoba 3.5% 152,989 PROV OF NEW BRUNSWICK 2.85 02‐Jun‐23 New Brunswick 2.4% 106,194 PROV OF NOVA SCOTIA 5.8 01‐Jun‐33 Nova Scotia 1.2% 53,422 PROV OF ONTARIO 5.85 08‐Mar‐33 Ontario 6.3% 279,144 PROV OF ONTARIO 5.35 02‐Jun‐19 Ontario 4.4% 195,420
PROV OF SASKATCHEWAN 3.2 03‐Jun‐24 Saskatchewan 5.0% 218,355 ROYAL BANK OF CANADA 4.93 16‐Jul‐25 Bank 3.3% 146,086 SHAW COMMUNICATIONS INC 5.5 07‐Dec‐20 Media 0.4% 18,239 TORONTO HYDRO CORP 3.54 18‐Nov‐21 Utility 2.5% 110,485 Total Amount 4,215,143
Introduction
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Appendices
Fixed Income
ESG Integration
beedie.sfu.ca/sias
66
Portfolio Composition as at Mar 31,2016
21
‐30%
‐20%
‐10%
0%
10%
20%
30%
40%
50%
60%
Federal Provincial Municipal Corporate
Weight (By Sector)
(0.30)
(0.20)
(0.10)
‐
0.10
0.20
0.30
0.40
0.50
short term mid term long term
Weight (By Term)
Introduction
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Appendices
Fixed Income
ESG Integration
beedie.sfu.ca/sias
67
Portfolio Compositionas at Mar 31,2016
21
(1.00)
‐
1.00
2.00
3.00
4.00
5.00
Federal Provincial Municipal Corporate
Contribution to Duration (By Sector)
(1.00)
‐
1.00
2.00
3.00
4.00
5.00
short term mid term long term
Contribution to Duration (By Sector)
Introduction
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Appendices
Fixed Income
ESG Integration
beedie.sfu.ca/sias
68
21
0
0.5
1
1.5
2
2.5
3
3.5
Spread(%
)A10 AA10 BBB10
Canadian Corporate Spread - 10 year
Corporate Spread to Widen
• ECB QE
• International fund flow
• Material uptick in issuance
Introduction
Compliance
Performance & Risk
CME
Canadian Equity
Global Equity
Appendices
Fixed Income
ESG Integration
Government Federal AgencyNon‐Agency
Ontario
AlbertaBritish ColumbiaManitoba
New Brunswick
Nova Scotia
Ontario
Saskatchewan
Media
Bank Insurance
Services
Diversified
Transportation
Utility
Non‐RELT
2.61%
12.73%
1.22%
10.22%
8.91%
8.38%
2.41%
1.22%
17.11%
4.96%
0.41%
8.32%
1.80%
4.80%
2.08%
5.58%
7.24%
0.00%
0.05%
0.57%
0.01%
0.23%
0.42%
0.35%
0.07%
0.05%
0.32%
0.16%
0.01%
0.30%
0.06%
0.15%
0.02%
0.26%
0.18%
0.00%
2,199
12,625
316
10,134
17,556
15,189
2,978
2,374
13,621
6,774
562
12,799
1,402
6,599
757
10,918
6,789
665
0.02%
0.39%
0.00%
0.12%
0.21%
0.20%
0.04%
0.04%
0.13%
0.10%
0.01%
0.15%
0.02%
0.09%
0.01%
0.11%
0.09%
0.00%
845
16,878
186
5,469
9,203
8,494
1,803
1,606
5,142
4,349
340
6,486
899
3,757
457
4,822
3,951
0
0.02%
0.28%
0.00%
0.08%
0.13%
0.11%
0.02%
0.02%
‐0.02%
0.05%
0.00%
0.07%
0.01%
0.04%
0.00%
0.06%
0.05%
0.00%
877
12,278
67
3,476
5,742
4,695
912
853
‐1,132
2,412
107
3,115
480
1,723
61
2,573
2,387
0
0.00%
0.00%
0.00%
‐0.01%
‐0.01%
‐0.01%
0.00%
0.00%
‐0.02%
0.00%
0.00%
0.00%
0.00%
0.06%
0.00%
0.00%
0.00%
0.00%
‐9
122
‐3
‐431
‐428
‐420
‐55
‐84
‐667
‐145
‐10
‐192
23
2,548
4
‐23
‐115
0
MunicipalProvincial
Corporate CommunicationFinancial
IndustrialInfrastructure
Real Estate
Total Portfolio 100.00% 3.21% 124,256 1.72% 74,689 0.93% 40,626 0.00% 116
Fixed Income Daily Performance – Summary Ending 2016‐06‐14
CUMULATIVE RETURNYTD QTD MTD DTD
Sector Group Subgroup Weight Return ValueAdded($) Return ValueAdded($) Return ValueAdded($) Return ValueAdded($)
