BEAM Q2 & Q3 2019 Performance Review · 2015 - 2016 Cohort 2016 - 2017 Cohort 2017 - 2018 Cohort...

I. Executive Summary Phyllis QuEquity Analyst

II. Fixed Income Update Philip SiejaFixed Income Analyst

III. Equity Update Blake CoombesEquity Portfolio Manager

IV. Improved Process Update Anthony MaljevacEquity Analyst

V. Questions

VI. Appendix

Agenda

1

I. Executive SummaryPhllyis Qu | Equity Analyst

[email protected]

3

AUM has grown ~4.5% annually since Inception

BEAM Has Grown AUM by ~$2mm Since Inception

1st

Cohort

2nd

Cohort1

3rd

Cohort

9th

Cohort2

8th

Cohort

7th

Cohort

6th

Cohort

5th

Cohort

4th

Cohort

Source: Bloomberg, BEAM Performance Reviews.

1. As of September 30, 2012.


$5.00 $5.03

$5.38

$5.91$5.67

$6.37$6.69

$6.21

$7.03

0.7%

3.7%

5.7%

3.2%

5.0% 5.0%

3.1%

4.5%

-

2.5%

5.0%

7.5%

10.0%

-

$2.00

$4.00

$6.00

$8.00

Jan-2012 Sep-2012 Dec-2013 Dec-2014 Dec-2015 Dec-2016 Dec-2017 Dec-2018 Sep-2019

CA

GR

Sin

ce I

ncep

tio

n (

%)

AU

M (

$m

m)

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

Portfolio Return Benchmark Return

2011 - 2012

Cohort

2013 - 2014

Cohort

2014 - 2015

Cohort

2015 - 2016

Cohort

2016 - 2017

Cohort

2017 - 2018

Cohort

2012 - 2013

Cohort2018 - 2019

Cohort

BEAM has Underperformed Since the End of 2015

Underperformance driven by the equity portfolio

4

Source: Bloomberg, BEAM Performance Reviews. As of September 30, 2019.

1. Total portfolio benchmark is composed of S&P/TSX Total Return Index (60%); FTSE TMX Canada Universe Bond Index (38%); 91-day T-Bill Index (2%).

2. Assumes inception date of July 1, 2012, which marks the date at which the portfolio was fully constructed.

3. Based on senior cohort tenures.

53.36%

43.53%

Performance Since Inception1,2,3

2.1%

36.6%

61.2%

2.0%

38.0%

60.0%

Cash Fixed Income Equities

$0.15mm

5

Continued strategic overweight in equities

Portfolio Positioning

$2.57mm $4.30mm


Weights

Asset

ClassBenchmark IPS Range

Policy

Range

Equity 60% 50% - 70% 60.0% - 61.5%

Fixed Income 38% 28% - 48% 36.0% - 38.5%

Cash 2% 0 - 10% 1.5% - 2.5%

Portfolio

Benchmark

1

1

1

No Compliance Violations over the Last Twelve Months

IPS Guidelines and ConstraintsCurrent

Compliance

General • Asset Mix within IPS Range ✓

• Limits on equity security holdings ✓

• Micro Cap, prohibited ✓

Equity • 7 Sectors, with 50% allocation relative to benchmark ✓

• At least 25 stocks ✓

• 15 largest stocks, at most 70% of equity value ✓

Fixed Income

• No more than 5% per issuer, excluding federal and provincials

• Allocation limits based on bond ratings

• Duration within ± 1 year of the DEX

✓

✓

✓

6

Portfolio managers continue to monitor guidelines and constraints

II. Fixed Income UpdatePhilip Sieja | Fixed Income Analyst

[email protected]

Overview of Strategy

1. Use Federal bonds as duration tool

2. Gain long end exposure through Federal and Provincial bonds

3. Maintain positive active yield

4. Generate alpha through positive selection performance

5. Generate alpha through active yield carry

✓

✓

8

Underperformance Attributable to Low Credit Exposure

9

Performance Comparison as of September 30, 2019 (%)

3 Mo 1 Yr 2 Yr 3 Yr 4 Yr

BEAM Fixed Income Fund 1.17 9.48 5.59 2.29 3.29

FTSE Canada Universe Bond Index 1.16 9.74 5.65 2.70 3.57

Relative Performance +0.01 -0.26 -0.06 -0.42 -0.28

Reported in Canadian Dollars. Periods less than one year are not annualized.

Overly conservative view on corporate

duration led to under-performance

Fund Attribution & Maturity

10

Attribution to September 30, 2019 (%) Relative Performance

3 Mo 1 Yr

Interest Rate Anticipation

Duration & Yield Curve +0.06 -0.24

Credit & Liquidity

Provincial & Government Agency Bonds -0.04 -0.12

Investment Grade Corporate Bonds -0.01 +0.11

Total +0.01 -0.25

Values in attribution are subject to rounding error. May be slightly different than reported performance.

BEAM Fixed Income Portfolio as of September 30, 2019

Modified Duration (Yrs) Effective Maturity (Yrs) Yield to Maturity (%)

BEAM Fixed Income Portfolio 7.98 10.60 2.11

FTSE Canada Universe Bond Index 8.10 10.86 2.14

Low credit exposure puts pressure on duration decisions; short duration and negative active yield

11

Fund Dollar Weighted Characteristics

23.4

1.8

36.5 37.9

0.4

22.7

11.7

37.8

27.3

0.4 0.00.0

10.0

20.0

30.0

40.0

Gov't of Canada Federal Agencies Provincial Corporate Supranational Cash

18.4

34.1 34.6

12.9

35.7

29.626.0

8.7

0.0

10.0

20.0

30.0

40.0

AAA AA A BBB

BEAM Fixed Income Portfolio FTSE Canada Universe Bond Index

High portfolio dollar value in corporates and lower ratings

0.0

Source: Bloomberg, BlackRock.

Contribution to Duration

In duration, corporate bonds under-weighted relative to index

2.74

3.93

0.24

1.07

7.98

2.77 2.86

0.16

2.31

8.10

Federal Provincial Municipal Corporate Total

Total CTD by Asset Class

BEAM Fixed Income Portfolio FTSE Canada Universe Bond Index

Source: Bloomberg, BlackRock. As of September 30, 2019

1. Federal Agency bonds were included within the Federal asset class


Sector Benchmark Portfolio

Short

Term

Medium

Term

Long

Term

Short

Term

Medium

Term

Long

Term

(1-5

Years)

(6-10

Years)

(10+

Years)Total

(1-5

Years)

(6-10

Years)

(10+

Years)Total

Federal 1.56 0.62 0.59 2.77 0.12 0.76 1.87 2.74

Provincial 0.70 0.64 1.51 2.86 0.12 0.24 3.57 3.93

Municipal 0.03 0.05 0.09 0.16 0.00 0.24 0.00 0.24

Corporate 1.12 0.58 0.61 2.31 0.82 0.25 0.01 1.07

Total 3.41 1.89 2.79 8.10 1.06 1.48 5.44 7.98


13

Large portfolio CTD exposure in 10+ years and provincial assets; underweight in corporate exposure



Active Contribution to Duration

Sector Short TermMedium

TermLong Term

(1-5 Years) (6-10 Years) (10+ Years) Total

Federal (1.45) 0.14 1.28 (0.03)

Provincial (0.58) (0.41) 2.05 1.07

Municipal (0.03) 0.20 (0.09) 0.08

Corporate (0.30) (0.33) (0.60) (1.23)

Total (2.35) (0.41) 2.64 (0.12)

Active Contribution to Duration

14

-0.12

-1.23

0.08

1.07

-0.03

Total Active Contribution to Duration

Greater corporate dollar value does not equate to greater corporate risk exposure



Strategy

▪ Minimally extend out corporate duration to

increase active yield

▪ Prepare to increase credit exposure if/when

spreads start to widen out

▪ Increase intensity on credit research to

prepare for if/when spreads widen

▪ Look to add slightly to corporate duration

through longer dated and safe bonds

▪ Continue holding longer duration provincial

bonds as they offer higher roll and carry

compared to federals

Portfolio Initiatives

Moving Forward

15

Strategy to remain with underweight credit exposure going into economic slowdown

III. Equity UpdateBlake Coombes | Equity Portfolio Manager

[email protected]

17

Underperformance in August Driven by Specific Holdings

Q2&3-2019

Portfolio vs. Benchmark Total Return1

(1.05%) 2.55%

5.15%

4.10%

Source: Bloomberg. As of September 30, 2019.

1. Equity benchmark is the S&P/TSX Total Return Index.

(3.0%)

(2.5%)

(2.0%)

(1.5%)

(1.0%)

(0.5%)

-

0.5%

1.0%

Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19

(4.0%)

(2.0%)

-

2.0%

4.0%

6.0%

8.0%

Portfolio Benchmark

Total Relative Return Tracking Error

36.5

16.7

11.0 10.912.1

8.3

4.6

35.8

16.2

10.7 10.711.9

9.8

4.7

Financials Energy Materials Industrials TMT Consumers Utilities

34.4

16.7

11.0 10.9

7.0

4.74.6

3.6 3.52.0

1.6

32.3

16.2

10.7 10.7

5.05.5

4.75.5

4.3 3.6

1.4

18

Organize Research Differently from GICS Classifications

Portfolio Weights (GICS)

Portfolio

Benchmark

Portfolio Weights (BEAM)


1. 0.5% active weight in Energy is from Cameco Corp. which is expected to be sold.

2. Average Consumers weight YTD was neutral.

1 2

BEAM Sector Classifications

Portfolio

Benchmark

Lenders E&P Base

PreciousMidstreamDiv Fin’ls

Comm.

Services

I.T

Health CareReal

Estate

Integrated

Consumer Disc.

Consumer Staples

(74)

(57)

(50)

(37)

(20)

(19)

(12)

(6)

8

79

87

(100) (80) (60) (40) (20) - 20 40 60 80 100

Materials

Industrials

Real Estate

Consumer Discretionary

Communication Services

Consumer Staples

Information Technology

Utilities

Energy

Financials

Health Care

Allocation between sectors is not a material driver of equity performance

Equity Contribution to Return Driven by Selection

19

Q2&3 Active Contribution to Return by Sector (bps)


0.47% 0.45% 0.43% 0.42%0.34%

(0.17%) (0.23%) (0.25%)(0.38%)

(0.60%)

(1.00%)

(0.50%)

0.00%

0.50%

1.00%

(0.61%)

(0.42%)(0.34%) (0.30%) (0.24%)

0.14% 0.20% 0.24% 0.27% 0.28%

(1.00%)

(0.50%)

0.00%

0.50%

1.00%

Un

de

rpe

rfo

rme

dO

utp

erf

orm

ed

Overweight Underweight

Q2&3 Underperformance Driven by Select Holdings

Not holding strong stocks also contributed to underperformance

20


21

Equity portfolio turnover higher in 2018 with re-alignment project

Portfolio Characteristics Align with Philosophy

Portfolio Benchmark

Weighted Avg.

Market Cap ($mm)$51.3bn $51.2bn

Dividend Yield 3.1% 3.1%

P/E (Trailing) 15.3x 17.0x

Earnings Yield 6.5% 5.9%

Return on Equity

(Trailing)12.5% 11.0%

Debt/EBITDA1 3.3x 4.0x

Debt / Equity1 83.5% 104.4%


1. Excludes the Financials sector.

2. Calculated as minimum of buy or sell transaction value divided by the average equity value over the period.

3. Estimate for full 2017 period. Data only available from June 23, 2017 to December 31, 2017.

Portfolio Characteristics Portfolio Turnover2

3

IV. Improved Process UpdateAnthony Maljevac | Equity Analyst

[email protected]

Improving BEAM’s Process

Equity Strategy Update

4. Changing the Investment Recommendation Process

Ordinal ranking models completed for each sector

3. Tangible Reports on Holdings

Reports for 50% of holdings

2. Tangible Reports on Sectors

1. Investment Decisions Aligned with Philosophy

Value ESG

23

Quality

Developing sector and sub-sector research reports

Targeting 80% of holdings by December

Portfolio significantly below benchmark in P/E and EV/EBITDA

Portfolio Holdings Focused on Value

24

10.00x

10.50x

11.00x

11.50x

12.00x

12.50x

13.00x

13.00x 13.50x 14.00x 14.50x 15.00x 15.50x 16.00x 16.50x 17.00x 17.50x 18.00x

EV

/ E

BIT

DA

(E

xc

l. F

ina

nc

ials

)

P/E

Cheapest Stocks

Expensive Stocks

Most Expensive

Mo

st

Ex

pe

ns

ive

Benchmark

20191

Benchmark

2018

Portfolio

2018

Portfolio

20191


Fund selections aligned with value-creation metrics, including ROIC / WACC and ROE / Ke

Benchmark and Portfolio Quality Metrics Improved

25

8.50%

9.00%

9.50%

10.00%

10.50%

11.00%

11.50%

12.00%

12.50%

13.00%

13.50%

8.40% 8.50% 8.60% 8.70% 8.80% 8.90% 9.00% 9.10%

Retu

rn o

n E

qu

ity

Cost of Equity

Benchmark

2018

Portfolio 2019*

Portfolio

2018

Portfolio

2018

Higher Risk

Hig

he

r Q

uali

ty

Benchmark

20191

Portfolio

20191


26

Holdings contribute 110 tonnes less carbon emissions relative to our benchmark

Carbon Emissions Relative to Our Benchmark

28.60

11.50

2.69

1.97

1.12

0.39

0.03

(0.59)

(1.86)

(60.11)

(93.62)

(110.00) (90.00) (70.00) (50.00) (30.00) (10.00) 10.00 30.00 50.00

Energy

Industrials


Consumer Staples


Financials


Real Estate

Health Care

Utilities

Materials

Carbon Emissions (Tonnes) / Sales (C$MM)


1. Carbon Intensity with portfolio weight less carbon Intensity with benchmark weight.

1

6.4%

12.7%

Portfolio Benchmark

▪ As part of BEAM’s ESG strategy, the equality of voting rights is weighed during investment decisions

▪ CGI and Canadian Utilities (CU) strongly align with the Value and Quality philosophies and have other

strong ESG characteristics:

• CU has recently sold its coal and natural gas generation portfolio, lessening its environmental impact

• CGI’s tech investments support their local communities:

➢ Launch of Handitech

➢ Police National Database (United-Kingdom)

27

Dual Class Weighting is Lower Relative to Benchmark

Company % Weighting1

CGI 3.6%

Canadian Utilities 2.3%

Cameco 0.5%2

Source: Bloomberg.

1. Portfolio weightings as of October 11th, 2019.

2. Cameco Corporation is currently being assessed and is expected to be sold.



1. Cannabis compositive is defined as the cannabis companies listed on the TSX Composite.

Prior Strategy

28

Underweight in cannabis contributed positively to recent returns… opportunity?

BEAM’s Stance on Cannabis Companies

Strategy Going Forward

▪ Misalignment with portfolio philosophy:

• Negative cash flow

• Multiples indicate overvaluation

• Business and regulatory uncertainty

• Shareholders continually diluted through issuances

• Relatively small Canadian Market

▪ Continue to monitor cannabis companies as potential

holdings should valuations normalize and quality metrics

improve:

• Cannabis companies are beginning to post positive

cash flow (Aphria)

• There has been significant valuation correction

• Regulatory conditions stabilizing

• Less shareholder dilution through equity raising

• International markets continue to open

0.28% 0.27%

0.09%0.05% 0.04% 0.04%

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

Contribution to ReturnCannabis Performance (Factor 100)1

60

70

80

90

100

110

Oct-2018 Dec-2018 Apr-2019 Jul-2019 Sep-2019

Cannabis Composite TSX Composite

103.44

66.34

29

Portfolio philosophy alignment

Wheaton Precious Metals Case Study

• No direct exposure to typical

mining ESG risks

• Direct carbon impact is net

neutral through carbon

recapture program

• Robust ESG investment

principles when acquiring new

streams

• Collaborate with streaming

companies on social endeavors

in mining communities

• Room for multiple expansion

when compared with other large

royalty and streaming

businesses

• 1.64x NAV (FNV 2.64x, RGLD

2.40x)

• Paying a slight premium over

producers for better quality

• Exposure to precious metals;

exploration upside; limited,

predictable cost exposure

• Avg. gold equivalent cash cost of

$409 in 2018 (producer avg:

$659)

• 30% of the average of the

previous four quarters’ CFO

distributed to shareholders,

providing exposure to rising

commodity prices

• Diversified portfolio of low-cost,

long-life assets in favourable

jurisdictions

Value Alignment ESG AlignmentQuality Alignment

-60

-40

-20

0

20

40

2011 2012 2013 2014 2015 2016 2017 2018 2019

Tota

l Ret

urn

(%

)

WPM Gold Silver GICS S&P/TSX Materials Index

Source: S&P Capital IQ, Company Filings. As of September 30, 2019.

1. Identify industry metrics

across value, quality, and

ESG and pull data from

Bloomberg and CapIQ

into model

2. Weighted factor-based z-

score determines

quantitative ranking of

stocks within sector

3. Monitor changes in the

model

4. Qualitative research is

combined with the

quantitative model to

arrive at blended ranking

5. Results of qualitative

analysis and quantitative

model used to complete

research reports on

prospective holdings

30

Quantitative ranking is combined with qualitative research

Wheaton Precious Metals Analysis Process

Quality Scores 25% 25% 25% 25%

Royalty & Streaming

Dividend

Yield

ROIC WACC

Spread

T12M

EBITDA

Margin BPMPI

Dividend

Score

ROIC WACC

Score

Op Margin

Score

BPMPI

Score

Quality

Score Rank

Franco-Nevada 0.81% -2.67% 79.32% 79.74 0.20 0.62 1.02 0.66 0.63 1

Maverix Metals 0.00% -2.33% 69.38% 79.01 -1.12 0.74 0.53 0.56 0.18 2

Osisko Gold Royalties 1.59% -9.70% 20.88% 83.75 1.47 -1.86 -1.90 1.17 -0.28 4

Sandstorm Gold Royalties 0.00% -2.27% 63.73% 64.78 -1.12 0.76 0.25 -1.27 -0.34 5

Wheaton Precious Metals 1.03% -5.14% 60.82% 65.84 0.56 -0.25 0.10 -1.13 -0.18 3

Value Scores 30% 30% 15% 25%

Royalty & Streaming P/NAV

P/E

2019E

P/CF

T12M

P/CF

2019E

P/NAV

Score

P/E

2019E

Score

P/CF

T12M

Score

P/CF

2019E

Score

Value

Score Rank

Franco-Nevada 2.20x 58.27x 35.83x 29.64x -1.69 0.39 -1.86 -1.88 -1.14 5

Maverix Metals 1.44x 65.63x 20.64x 21.00x 0.12 -0.09 0.97 0.40 0.26 2

Osisko Gold Royalties 0.96x 57.26x 22.88x 19.66x 1.29 0.46 0.55 0.76 0.80 1

Sandstorm Gold Royalties 1.25x 92.76x 23.16x 19.35x 0.59 -1.85 0.50 0.84 -0.09 4

Wheaton Precious Metals 1.62x 47.42x 26.75x 22.96x -0.31 1.10 -0.17 -0.12 0.18 3

ESG Scores 20% 20% 20% 40%

Royalty & Streaming

Exec Comp/

Market Cap

Women on

Board

Carbon

Intensity PPI

Exec Comp

Score

Women on

Board

Score

Carbon

Intensity

Score

Policy

Perception

Score

ESG

Score Rank

Franco-Nevada 0.05% 12.50% 2.63 78.84 1.19 -0.36 -1.70 0.00 -0.18 3

Maverix Metals 0.31% 0.00% 83.81 -0.30 -1.66 0.51 -0.19 4

Osisko Gold Royalties 0.39% 16.67% 0.02 94.43 -0.76 0.07 0.71 1.59 0.64 1

Sandstorm Gold Royalties 0.48% 28.57% 0.01 67.83 -1.27 1.30 0.72 -1.13 -0.30 5

Wheaton Precious Metals 0.06% 22.22% 0.49 69.40 1.14 0.65 0.27 -0.97 0.02 2

Process

V. Questions

VI. Appendix

I. Executive Summary

(2.0%)

(1.5%)

(1.0%)

(0.5%)

-

0.5%


34

Balanced Portfolio Performance

Q2&3-19


(0.85%) 2.02%

4.29%

3.44%

Second and third quarter performance


1. Balanced benchmark is 60% S&P/TSX Total Return Index, 38% FTSE TMX Canada Universe Bond Index, and the 2% 91-day T-Bill Index.

-

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

Portfolio Benchmark


Exclusionary screening

Summary of UN Principles

Principle 2: no human rights abusesPrinciple 4: elimination of forced and compulsory laborPrinciple 5: abolition of child laborPrinciple 10: no corruption or bribery

• Companies producing cluster munitions or nuclear weapons areexcluded.

• Companies earning greater than 5% of revenues from the manufacture, distribution, or sale of tobacco are excluded.

Serious violations of widely accepted international norms of responsible corporate behavior

35

Source: United Nations.

II. Fixed Income

Underperformed by 122bps over last 4 years

Four Year Performance

Since Q4

2015


(1.22%) 2.26% (0.54)

15.26%

14.04%

37

-7.5%

0.0%

7.5%

15.0%

22.5%

Portfolio Benchmark

-1.6%

-1.2%

-0.8%

-0.4%

0.0%

0.4%

Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19

Total Relative Return Tracking Error Information Ratio


1. Fixed income benchmark is the FTSE TMX Canada Universe Bond Index.

Underperformed by 5bps YTD

YTD Performance

Year to Date



(0.05%) 0.19%

38

7.89%

7.84%

-1.0%

1.0%

3.0%

5.0%

7.0%

9.0%

Portfolio Benchmark

-0.2%

-0.1%

0.0%

0.1%

Dec-18 Feb-19 Apr-19 Jun-19 Aug-19



Underperformed by 2 bps through Q2 and Q3

Q2 & Q3 Performance

Q2&3-2019


(0.02%) 0.08%

4.24%

4.22%

39

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

Portfolio Benchmark

-0.2%

-0.1%

0.0%

0.1%

0.2%





-0.96%

0.13%

-1.09%

(1.50%) (1.00%) (0.50%) 0.00% 0.50% 1.00%

0.03%

0.38%

-0.35%

Total Excess

Allocation

Selection

(0.08%)

(0.08%)

(0.30%) (0.20%) (0.10%) 0.00% 0.10% 0.20% 0.30%

Total Curve Return

Curve Carry

Curve Change

(0.28%)

0.70%

-0.98%

Performance Attribution

Source: Bloomberg. As of September 30, 2019

YTD Return Statistics 4Y Return Statistics

Selection has been

contributor to

underperformance

Strong

outperformance

however incongruent

with strategy

Excess performance

relies on selection

outperformance

Poor duration

management results

in negative curve

change performance

Negligible curve

carry attributable to

initiatives to raise

active yield over last

year

Negative curve

return attributable to

curve change

40

Underperformance attributable to poor selection and duration management

Larger lower rated and short end exposure caused by high short end Corporate exposure

Credit Ratings and Maturities

41

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

AAA AA A BBB AAA AA A BBB AAA AA A BBB

<10 Years 10-20 Years >30 Years

Credit Ratings by Maturity

Portfolio Benchmark

III. Equity Update

43

Since Dec. 31, 2015

Equity Portfolio

Since EOP

2015


Total Relative Return Tracking Error Information Ratio

(10.51%) 2.50% (1.17)

(10.0%)

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

Portfolio Benchmark

(14.0%)

(12.0%)

(10.0%)

(8.0%)

(6.0%)

(4.0%)

(2.0%)

0.0%

2.0%

Dec-15 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19

43.30%

32.79%



44

Year to Date 2019

Equity Portfolio

YTD 2019


(1.17%) 2.58%

19.11%

17.94%

(3.0%)

2.0%

7.0%

12.0%

17.0%

22.0%

Portfolio Benchmark

(3.5%)

(3.0%)

(2.5%)

(2.0%)

(1.5%)

(1.0%)

(0.5%)

-

0.5%

1.0%

Jan-19 Mar-19 May-19 Jul-19 Sep-19




(84)

(68)

(46)

(41)

(30)

(29)

(5)

3

5

54

131

(100) (50) - 50 100 150

Industrials

Real Estate



Utilities


Consumer Staples

Materials

Energy

Health Care

Financials

Allocation between sectors is not a large component of the equity strategy

Equity Contribution to Return Driven by Selection

45

YTD Active Contribution to Return by Sector (bps)


46

Equity Portfolio YTD Summary


Sector Port Bench Relative Port Bench RelativeStock

Selection

Sector

Allocation

Total

Relative

Contribution

Communication Services 3.7 5.7 (2.0) 10.1 12.1 (2.0) (9) 8 (1)

Consumer Discretionary 2.9 4.2 (1.3) 15.5 18.8 (3.4) (16) 2 (14)

Consumer Staples 5.3 4.0 1.3 13.7 19.9 (6.2) (39) 6 (34)

Energy 17.8 17.5 0.4 11.6 11.9 (0.3) 1 (4) (3)

Financials 33.8 32.1 1.7 23.2 20.0 3.2 106 4 110

Health Care 1.6 1.9 (0.4) 23.9 (10.6) 34.5 58 7 65

Industrials 11.1 11.1 0.0 10.7 19.5 (8.8) (100) - (101)

Information Technology 6.9 4.8 2.2 24.1 50.6 (26.4) (154) 69 (84)

Materials 11.0 11.0 0.0 16.4 16.1 0.3 5 (3) 3

Real Estate 2.1 3.4 (1.3) 6.7 26.3 (19.5) (42) (10) (52)

Utilities 3.7 4.3 (0.6) 34.3 35.1 (0.8) (6) (3) (6)

Equity Portfolio 100.0 100.0 - 17.7 18.8 (1.1) (196) 82 (111)

Average Weight

(%)

Total Return

(%)

Contribution to

Relative Returns (bps)

47

Our selection has contributed to 22 tonnes of CO2e less than our benchmark

Carbon Emissions Due to Our Selection

30.09

8.15

2.79

2.09

0.79

0.16

0.01

(0.14)

(0.40)

(0.86)

(64.55)

(75.00) (55.00) (35.00) (15.00) 5.00 25.00

Energy

Materials

Industrials


Consumer Staples


Real Estate


Financials

Health Care

Utilities



1. Carbon intensity with portfolio weight less carbon intensity with benchmark weight.

1

48

Our allocation has contributed to 88 tonnes of CO2e less than our benchmark

Carbon Emissions Due to Our Allocation

8.81

6.88

4.38

3.70

(0.67)

(1.78)

(1.93)

(5.54)

(9.28)

(21.06)

(71.54)

(85.00) (65.00) (45.00) (25.00) (5.00) 15.00 35.00

Materials

Real Estate

Health Care

Utilities

Energy



Industrials

Consumer Staples


Financials



1. Carbon intensity with portfolio weight less carbon Intensity with benchmark weight.

1

19.5

11.611.0

9.4 9.18.1

7.16.3

5.7

2.8

0.0

5.0

10.0

15.0

20.0

25.0

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49

We hold the top 3 emitters from the most carbon intensive sector

Top 10 Carbon Contributors in the Energy Sector


1. Carbon intensity with portfolio weight less carbon Intensity with benchmark weight.

1

50

Energy, Industrials, Materials and Utilities holdings

Highest Carbon Contributors to Our Fund

54.7

50.0

31.4

26.2

18.1 17.316.1

9.3 8.9

5.2

0.0

10.0

20.0

30.0

40.0

50.0

60.0

TRP CNQ SU CNR CU NTR AQN WPM FNV ITP



1. Using portfolio weights.

1

IV. Holdings and Transactions

Equity Holdings

V. Appendix

52

Source: CIBC Mellon. As of September 30, 2019.

Company Name # of Shares Price Market Value % of Total

ALGONQUIN POWER & UTIL CORP 5,577 $17.63 $98,322.51 1.4%

BANK OF NOVA SCOTIA 3,118 $75.55 $235,564.90 3.4%

BROOKFIELD ASSET MGMT INC 3,000 $71.92 $215,760.00 3.1%

CAMECO CORP 1,850 $11.92 $22,052.00 0.3%

CANADIAN NATIONAL RAILWAY CO 2,206 $117.45 $259,094.70 3.8%

CANADIAN NATURAL RESOURCES LTD 4,406 $34.17 $150,553.02 2.2%

CANADIAN UTILITIES LTD 2,450 $37.94 $92,953.00 1.4%

CGI INC 1,450 $101.32 $146,914.00 2.1%

ENERFLEX LTD 4,200 $10.67 $44,814.00 0.7%

FINNING INTERNATIONAL INC 4,212 $22.32 $94,011.84 1.4%

FIRST QUANTUM MINERALS LTD 5,539 $11.64 $64,473.96 0.9%

FRANCO-NEVADA CORP 822 $124.18 $102,075.96 1.5%

GILDAN ACTIVEWEAR INC 3,235 $33.90 $109,666.50 1.6%

INTACT FINANCIAL CORP 972 $133.06 $129,334.32 1.9%

INTERTAPE POLYMER GROUP INC 3,600 $16.95 $61,020.00 0.9%

MANULIFE FINANCIAL CORP 8,633 $24.70 $213,235.10 3.1%

Equity Holdings (Cont’d)

V. Appendix

53

Company Name # of Shares Price Market Value % of Total

NATIONAL BANK OF CANADA 1,900 $67.81 $128,839.00 1.9%

NUTRIEN LTD 1,947 $64.93 $126,418.71 1.8%

OPEN TEXT CORPORATION 2,750 $52.64 $144,760.00 2.1%

PREMIUM BRANDS HOLDINGS CORP 826 $87.98 $72,671.48 1.1%

ROYAL BANK OF CANADA 2,184 $106.04 $231,591.36 3.4%

SAPUTO INC 3,083 $37.83 $116,629.89 1.7%

SIENNA SENIOR LIVING INC 3,552 $18.99 $67,452.48 1.0%

STANTEC INC 3,700 $28.02 $103,674.00 1.5%

SUNCOR ENERGY INC 5,137 $39.63 $203,579.31 3.0%

TC ENERGY CORP 3,456 $66.11 $228,476.16 3.3%

TELUS CORP 3,274 $46.27 $151,487.98 2.2%

TORONTO DOMINION BANK 4,362 $75.22 $328,109.64 4.8%

TRICON CAPITAL GROUP INC 8,493 $10.48 $89,006.64 1.3%

VERMILION ENERGY INC 1,729 $20.09 $34,735.61 0.5%

WHEATON PRECIOUS METALS CORP 3,550 $35.42 $125,741.00 1.8%


Equity Transactions

V. Appendix

54

Date Name Buy/Sell # of Shares Fill Price Amount

09/12/2019 ALGONQUIN POWER & UTIL CORP BUY 800 $18.00 -$14,398.00

09/12/2019 BANK OF NOVA SCOTIA BUY 827 $74.60 -$61,691.34

05/01/2019 CANADIAN UTILITIES LTD BUY 250 $37.33 -$9,331.50

05/01/2019 ENERFLEX LTD BUY 4,200 $18.13 -$76,129.00

06/13/2019 GILDAN ACTIVEWEAR INC BUY 350 $50.70 -$17,744.00

09/25/2019 GILDAN ACTIVEWEAR INC BUY 500 $46.31 -$23,152.50

09/12/2019 MANULIFE FINANCIAL CORP BUY 500 $24.32 -$12,160.00

06/13/2019 NUTRIEN LTD BUY 250 $71.25 -$17,812.50

05/23/2019 OPEN TEXT CORPORATION BUY 700 $54.30 -$38,011.50

06/13/2019 OPEN TEXT CORPORATION BUY 150 $56.25 -$8,437.50

06/13/2019 STANTEC INC BUY 1,000 $31.98 -$31,982.00

05/23/2019 TELUS CORP BUY 350 $51.00 -$17,849.50

06/13/2019 TORONTO DOMINION BANK BUY 140 $76.31 -$10,683.60


Equity Transactions (Cont’d)

V. Appendix

55

Date Name Buy/Sell Shares/Par Fill Price Amount

09/25/2019 WHEATON PRECIOUS METALS CORP BUY 550 $36.65 -$20,159.00

05-01-2019 CANADIAN NATURAL RESOURCES LTD SELL -350 $38.85 $13,598.00

05-23-2019 CGI INC SELL -350 $97.97 $34,290.00

09-12-2019 CGI INC SELL -200 $102.94 $20,588.00

04-12-2019 FRANCO-NEVADA CORP SELL -100 $97.87 $9,787.00

05-23-2019 FRANCO-NEVADA CORP SELL -200 $99.57 $19,914.00

09-12-2019 INTACT FINANCIAL CORP SELL -180 $129.34 $23,280.60

05-01-2019 ISHARES S&P/TSX CAPPED SELL -250 $38.28 $9,571.00

09-12-2019 ISHARES S&P/TSX CAPPED SELL -1,608 $38.71 $62,240.40

09-25-2019 PREMIUM BRANDS HOLDINGS CORP SELL -250 $93.00 $23,250.00

05-01-2019 TRANSCANADA CORP SELL -150 $62.70 $9,405.00

05-01-2019 WHITECAP RESOURCES INC SELL -13,950 $5.26 $73,431.00


Fixed Income Holdings

V. Appendix

56

Issuer Maturity # of SharesCoupon

Rate

Market

Value% of Total

407 INTERNATIONAL INC 5/26/2021 100,000 4.3% $102,808.02 1.5%

ALIMENTATION COUCHE-TARD INC 8/21/2020 54,000 4.2% $54,812.48 0.8%

BMO MID CORPORATE BD INDEX ETF 1,618 $26,583.74 0.4%

CONSUMERS GAS CO LTD 7/5/2023 46,000 6.1% $51,755.45 0.8%

ENBRIDGE PIPELINES INC 4/6/2020 67,000 4.5% $67,645.62 1.0%

FARM CREDIT CORPORATION 10/5/2020 45,000 4.3% $46,016.20 0.7%

GOVERNMENT OF CANADA 6/1/2024 56,000 2.5% $58,164.44 0.8%

HYDRO ONE INC 1/13/2022 72,000 3.2% $73,494.17 1.1%

IGM FINANCIAL INC 1/26/2027 76,000 3.4% $78,152.58 1.1%

LAURENTIAN BANK OF CANADA 9/12/2022 50,000 3.0% $50,354.91 0.7%

MUNICIPAL FINANCE AUTH OF BC 12/1/2027 74,000 5.0% $88,375.30 1.3%

NATIONAL BANK OF CANADA 6/30/2022 80,000 2.0% $79,350.64 1.2%

PEMBINA PIPELINE CORP 6/1/2023 75,000 2.6% $74,714.43 1.1%


Fixed Income Holdings (Cont’d)

V. Appendix

57

Issuer Maturity # of SharesCoupon

Rate

Market

Value% of Total

PROV OF ALBERTA 12/1/2040 42,000 4.5% $54,085.72 0.8%

PROV OF BRITISH COLUMBIA 12/18/2020 44,000 3.7% $44,941.36 0.7%

PROV OF MANITOBA 3/5/2038 81,000 4.6% $103,388.87 1.5%

PROV OF ONTARIO 6/2/2041 20,000 4.7% $26,845.36 0.4%

PROV OF SASKATCHEWAN 9/5/2033 58,000 5.8% $80,122.00 1.2%

ROYAL BANK OF CANADA 12/5/2023 110,000 2.3% $110,038.18 1.6%

SNC LAVALIN GROUP INC 11/24/2020 60,000 2.7% $59,737.18 0.9%

TERANET HOLDINGS LP 12/16/2020 50,000 4.8% $51,193.69 0.7%

TORONTO DOMINION BANK 7/24/2024 91,000 3.2% $94,646.46 1.4%

YORK ONTARIO REGL MUNICIPALITY 12/15/2025 107,000 2.6% $109,118.93 1.6%


Fixed Income Transactions

V. Appendix

58

Date Name Buy/Sell Shares/Par Fill Price Amount

04/12/2019 GOVERNMENT OF CANADA BUY 70,000 $105.12 -$73,582.81



09/09/2019 PEMBINA PIPELINE CORP BUY 75,000 $99.99 -$74,993.25

06/05/2019 PROV OF ALBERTA BUY 42,000 $131.31 -$55,148.98

06/05/2019 PROV OF ONTARIO BUY 20,000 $135.48 -$27,096.42

07/25/2019 SNC LAVALIN GROUP INC BUY 60,000 $99.98 -$59,988.00

04/12/2019 BMO MID CORPORATE BD INDEX ETF SELL -2,482 $16.17 $40,144.86

05/17/2019 BMO MID CORPORATE BD INDEX ETF SELL -5,000 $16.38 $81,900.00

06/05/2019 GOVERNMENT OF CANADA SELL -24,000 $98.09 $23,542.58

09/12/2019 GOVERNMENT OF CANADA SELL -25,000 $104.62 $26,155.00

05/17/2019 PEMBINA PIPELINE CORP SELL -53,000 $100.61 $53,323.09

06/05/2019 PROV OF ALBERTA SELL -50,000 $105.66 $52,829.15

07/25/2019 PROV OF BRITISH COLUMBIA SELL -30,000 $102.75 $30,824.10

09/12/2019 PROV OF PRINCE EDWARD ISLAND SELL -89,000 $101.75 $90,557.50


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