SIAS | 2017 Annual Performance Review€¦ · Consumer Discretionary Consumer Staples...
Transcript of SIAS | 2017 Annual Performance Review€¦ · Consumer Discretionary Consumer Staples...
SIAS | 2017 Annual Performance Review February 13, 2018
500 Granville Street | Vancouver | British Columbia | Canada | beedie.sfu.ca/siasStrictly Private & Confidential – Not For Public Distribution
AgendaPresentation
Q&A
Feedback
Reception
I. Compliance & Performance Review Marie Mao | Chief Investment Officer [email protected]
SIAS 10-Year Historical
-19.8%
-4.3%5.2% 6.1%
14.8%
33.0%
47.7%57.1%
73.8%
89.2%
-20.0%-5.4%
4.4% 2.9%11.7%
27.7%
42.4%48.1%
61.4%
75.8%
-40%
-20%
0%
20%
40%
60%
80%
100%
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
SIAS
Benchmark
10-Year Annualized Return
10-Year Cumulative Return
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
SIAS -19.8% 19.32% 9.92% 0.85% 8.16% 15.91% 10.99% 6.38% 10.62% 8.87%
Benchmark -20% 18.2% 10.4% -1.4% 8.5% 14.31% 11.52% 4.03% 8.98% 8.94%
1
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
01-17 02-17 03-17 04-17 05-17 06-17 07-17 08-17 09-17 10-17 11-17 12-17 01-18 02-18
Cumulative Active Return: -0.06% (2017)
2017 Annual Performance
-2%
0%
2%
4%
6%
8%
10%
12%
01-17 02-17 03-17 04-17 05-17 06-17 07-17 08-17 09-17 10-17 11-17 12-17 01-18 02-18
SIAS: 8.87% (2017)
Benchmark: 8.94% (2017)
SIAS Cumulative Return vs. BenchmarkHIGHLIGHTS————————
Beginning ValueCA$ 16.8 mm
Ending ValueCA$ 18.2 mm
—————————
SIAS Return 8.87%
Benchmark Return 8.94%
—————————
Active Return-0.07%
Tracking Error1.47%
Information Ratio-0.04
Cumulative Active Return
17 Annual 18 YTD
17 Annual 18 YTD
2
Cumulative Active Return: -0.07% (2017)
Compliance Check as of Dec.29 2017 Highlights
Canadian Equity • Integrate ESG into investment decision process
Global Equity • Individual stock & ADRs permitted in ROW portfolio
Fixed Income • Purchase of BBB bonds
Compliance ReviewAsset Mix Shifting Towards Equity
IPS 2017 Compliance Check
üüü
CanadianEquity33.5%
GlobalEquity36.4%
FixedIncome24.9%
Cash5.3%
Cash2.7%
CanadianEquity36.0%
GlobalEquity38.0%
FixedIncome23.3%
2016 Q4 2017 Q4
3
Marie Mao | Chief Investment Officer [email protected]
II. Asset Allocation
n Stable economic growth and strong corporate earning supportstrong equity markets, despite of recent correction in fear of the climbing yield and inflation.
§ Overweight Equity§ Underweight Fixed Income & Cash
with regards to IPS.
n Expensive equity valuation and low credit spread in the mature stage reduce reward for risky assets.
§ Balanced portfolio§ Increase Fixed Income exposure by deploying cash§ Keep Equities at current weight, make better selection
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
0%
2%4%
6%
8%10%
12%
14%
2012-J
un
2013-J
un
2014-J
un
2015-J
un
2016-J
un
2017-J
un
IG C
redi
t Spr
ead
Equi
ty R
isk P
rem
ium
Canadian equity risk premium - Left Canadian IG credit spread - Right
More Balanced Portfolio
5x
10x
15x
20x
25x
30x
2008-J
an
2009-J
an
2010-J
an
2011-J
an
2012-J
an
2013-J
an
2014-J
an
2015-J
an
2016-J
an
2017-J
an
2018-J
an
P/E
ratio
SPTSX Historical P/E ratio
0500100015002000250030003500
$0$20$40$60$80
$100$120$140
2008-J
an
2009-J
an
2010-J
an
2011-J
an
2012-J
an
2013-J
an
2014-J
an
2015-J
an
2016-J
an
2017-J
an
2018-J
an
SPX
Inde
x
SPX
EPS
SPX EPS - Left SPX Index - Right
Expensive Equity Market Into Correction Shrinking Risk Rewards
Strong Earning Growth Supports EquityMarket View & Forward Perspectives
4
Work On Shifting Asset MixActive Weights Changes
1%
-3.7%
3.2%
-0.5%
0.7%
-4.7%
3.0%
1.0%
3.3%
-3.1%
1.4%
-1.5%
-5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0%
2016 Q4 2017 Q4 YTD
Canadian Equity
Global Equity
Fixed Income
Cash
YTD Change Under Market Correction
Canadian Equity
§ Inferior security selection led to loss§ Portfolio shrank due to correction§ Search for undervalued stock for
substitution at lower price
Global Equity
§ Capital appreciation in year beginning§ Sold an overvalued US stock to limit
loss and rebalance weight
FixedIncome
§ Increase Fixed Income exposure for rebalance & diversification purpose
§ Limit duration bet on interest rate
Cash§ Maintained cash weight against
volatility and equity market sell-off§ Seek good investment to deploy cash
5
Bottom Up & Value OrientedAsset Allocation
Benchmark End of Q4 17 Target Active Weight
Canadian Equity 35% 36.0% 36% OverweightGlobal Equity 35% 38.0% 38% OverweightFixed Income 28% 23.3% 25% Underweight
Cash 2% 2.7% 1% Underweight
Canadian Equity Fixed Income Global Equity
n Bottom-up approachn Shift towards Sector-neutraln Focus on security selection using
fundamental valuation methods.n Long-term value orientationn Limit risk exposure to certain factors
(Cyclical)
n Bottom-up approach n Adjust towards Duration-neutral n Focus on security selection on
company with better credit spread and average risk to achieve overall attractive yield
n Limit bet on interest rate & macro
n Bottom-up approachn Sector neutral n Long-term value orientationn Adjust risk exposure to certain
factors (Size, Cyclical)
U.S
.R
OW
n Bottom-up & Top-down n ETF research focus on
macroeconomics analysisn Individual stock pitch based
on fundamental valuation
Top-down Bottom-upSIAS FTSE TMX
ESG Integration
n Focus on portfolio holdings & potential investment in the universe
n ESG Specialistn Sector-wise comparison criterian Portfolio ESG Review n Long term goals:
§ Overall score for SIAS portfolio§ Analyze the investment universe
6
Hendrik Liu | Canadian Equity Analyst [email protected]
III. Canadian Equity
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
01-17 02-17 03-17 04-17 05-17 06-17 07-17 08-17 09-17 10-17 11-17 12-17 01-18 02-18
Cumulative Active Return: 0.21% (2017) / 0.01% (YTD)
2017 Annual Performance
-2%
0%
2%
4%
6%
8%
10%
12%
01-17 02-17 03-17 04-17 05-17 06-17 07-17 08-17 09-17 10-17 11-17 12-17 01-18 02-18
SIAS: 8.65% (2017) / 4.68% (YTD)
Benchmark: 8.44% (2017) / 4.67% (YTD)
SIAS Canadian Equity Cumulative Return vs. Benchmark
17 Annual 18 YTD
Cumulative Active Return: -0.46% (2017)
2.11
0.641.12
1.65
Total Active Risk Industry Style Non-Factor-0.46
1.50
-1.03 -0.89
Canadian Equity: 7.90% (2017)
Benchmark*: 8.36% (2017)
Total Active Return Selection Effect
17 Annual 18 YTD
Active Return Breakdown 2017 Active Risk Breakdown 2017* True benchmark is S&P TSX, while we use iShare XIC ETF for approximation.
HIGHLIGHTS———————
Beginning ValueCA$ 5.66 mm
Ending ValueCA$ 6.54 mm
—————————Active Return
-0.46%—————————
Tracking Error2.45%
Information Ratio-0.19
7
Sector Allocation
§ Take a bet on allocation: Sector weights are largely deviated from benchmark.
§ Active weight increase of financials mainly came from buying Bank of Nova Scotia.
3.13%
2.48%
1.98%
1.37%
-0.21%
-0.34%
-0.62%
-1%
-1.5%
-2.63%
-2.65%
-3% -2% -1% 0% 1% 2% 3% 4%
Financials
Consumer Discretionary
Telecommunication
Utilities
Consumer Staples
Information Technology
Health Care
Real Estate
Industrials
Energy
Materials
8
Selection Effect
-0.6%
-0.51%
-0.5%
-0.33%
-0.2%
-0.05%
0.03%
0.07%
0.17%
0.27%
-0.64%
-0.42%
-0.27%
0.04%
-0.45%
-0.09%
0.01%
-0.08%
0.21%
0.44%
-0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6
Financials
Consumer Discretionary
Industrials
Information Technology
Consumer Staples
Real Estate
Utilities
Telecommunication Services
Energy
Materials
Selection Effect Q4 2017 Selection Effect 2017
9
(0.25%)(0.26%)(0.29%)(0.31%)(0.39%)
0.23%0.18%0.17%0.16%0.14%
2017 Annual CTRUnderperformed
Overweight
Underweight
Outperform Underperform
(0.65%)(0.47%)
(0.15%) (0.21%)
0.32%0.45%0.48%
0.61%
1.10%
(0.14%)
10
Transaction
Corus Entertainment Ltd.Date: Nov 6 2017Base Price: $11.88Buy 7,850 shares
iShare XIC ETFDate: Dec 14 2017Base Price: $25.51Buy 11,000 shares
11
Holding Update – Corus EntertainmentPast Performance
Reassessment
11.88
8.17
$0
$2
$4
$6
$8
$10
$12
$14
11-6-2017 12-6-2017 1-6-2018 2-6-2018
§ Adjusted basic EPS $0.38, below expected range of $0.42 to $0.47
§ Television revenues were down 2.37% due to 4% decrease of advertising revenues.
§ Television profit decreased 9% because of contents’ copy rights buying.
CJR/B Stock Price as of February 9, 2018
§ Announced $0.095 per share dividend in Feb., Mar. and Apr.
§ Stable dividend payment record for years§ Improving financial flexibility § A big ESG concern of non-voting shares
§ Conduct valuation analysis to determine target price range § Monitor its subsequent financial performance and see if its
current strategies work or revenue recovers§ Search for other good substitutes in the consumer
discretionary sector
* Q1 refers to September, October and November, 2017
Business Outlook
§ Flat subscriber revenue growth § Uncertain outcome of advertising innovation investment § Inferior competitive positioning in streaming service industry
Jan.10, 2018 Q1 report was released Revenue missed the lowest estimates
Past Performance
Business Outlook
Stock Performance Since Holding
Reassessment
12
Future Plan
§ Assign 3-4 analysts as a group to manage similar sectors § To gather a more comprehensive and less biased
perspective§ To make better stock selection with joint efforts
Watch List
§ Adjust current holdings§ Sectors Overview in Feb 2018§ Buy/Sell Report in Mar 2018
Consumer DiscretionaryConsumer Staples
Telecommunication
FinancialsReal estate
EnergyUtilities
ITIndustrialsMaterial
Canadian Equity
Selection Process Improvement
Team Structure
Action Plan
§ Set up a standard stock-rating system by sector§ To make stock selection more measurable§ Rate key indicators for each stock (i.e. Valuation
score, ESG score) § Generate an overall score for each stock using
weighted score of each key indicators and rank stocks within each sector
Training Sessions
§ Valuation training § ESG scoring model training
13
ESG Integration
§ 50% Sustainalytics Score (Bloomberg) + 50% Analyst Score (SASB Materiality Map)
Utilize Existing ESG Scoring Model
Individual Stock Rating
§ Use ESG score as one factor in the peer-comparison for stock selection
§ Rate current holding’s ESG score
§ Position adjustment for individual stocks with severe ESG issues(i.e. low score)
§ Establish sector-average score in portfolio for individual comparison
§ Compute overall portfolio ESG score
§ Key ESG factors to consider:E: GHG Emission (Carbon Footprint)S: Women in Management RatioG: Management Compensation
Stock Selection Portfolio ESG Review Standard Criteria
14
Vincent Xie | Portfolio [email protected]
IV. U.S. Equity
-10%
-5%
%
5%
10%
15%
20%
25% U.S Equity
MSCI World (URTUH)
01-17 02-17 03-17 04-17 05-17 06-17 07-17 08-17 09-17 10-17 11-17 12-17 01-18 02-18
-4%-3%-2%-1%
0%1%2% Series1
2017 Annual Performance
(0.56%)
2.46%1.30%
(0.55%)
Industry Style
Selection Effect
0.16%
2017Q4 2017
1.99%
1.17%1.38%
Active Risk Industry Style Non-Factor
3.05%
* Measure in CAD* Measure in Factor Base
SIAS U.S. Equity: 12.99% (2017)
SIAS U.S. Equity Cumulative Return vs. Benchmark
12.83% (2017)
Active Return Breakdown 2017*
Benchmark:
HIGHLIGHTS———————
Beginning ValueCA$ 3.66 mm
Ending ValueCA$ 4.26 mm
—————————Active Return
0.16%—————————
Tracking Error3.29%
Information Ratio0.048
0
18 YTD17 Annual
01-17 02-17 03-17 04-17 05-17 06-17 07-17 08-17 09-17 10-17 11-17 12-17 01-18 02-18
Cumulative Active Return: 0.16% (2017)18 YTD17 Annual
* Benchmark: MSCI World (URTH)
Active Risk Breakdown 2017
15
Size Effect Contributes to Active Return sm
all
Med
ium
Lar
ge
Value Blend Growth
0.05%0.09%
MomentumValue Growth
0.68%
SizeStyle Risk
0.74%
1.46%
(0.56%)
(0.03%)
(0.61%)
Momentum
Value
Growth
0.20%
Size
Style Return
0.49%
(0.25%)
Activity
Style Active Risk Breakdown 2017
US Style Box Market Style in 2017
Style Active Return Breakdown 2017
iShares Core S&P US Value ETFiShares Core S&P US Growth ETFiShares Morningstar Large-Cap ETFiShares Morningstar Small-Cap ETF
16
0.75
0.8
0.85
0.9
0.95
1
0.9
0.95
1
1.05
1.1
1.15
1.2
09/0
9/20
1629
/09/
2016
19/1
0/20
1608
/11/
2016
29/1
1/20
1619
/12/
2016
10/0
1/20
1731
/01/
2017
21/0
2/20
1713
/03/
2017
31/0
3/20
1721
/04/
2017
11/0
5/20
1701
/06/
2017
21/0
6/20
1712
/07/
2017
01/0
8/20
1721
/08/
2017
11/0
9/20
1729
/09/
2017
19/1
0/20
1708
/11/
2017
29/1
1/20
1719
/12/
2017
Value VS Growth Large vs Small Cap
9-09-16 1-09-17 5-09-17 9-09-17
5.33%
1.44%
0.93%
3.6%
0.25%
-0.54%
-8.98%
2.36%
-0.58%
-0.66%
-3.05%
-10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0%
IT
Health Care
Consumer Discretionary
Industrials
Consumer Staples
Energy
Financials
Teleco
Real Estate
Utilities
Materials
Sector Allocation To Be Neutralized
-0.8%-0.6%-0.4%-0.2%0.0%0.2%0.4%0.6%0.8%1.0%
IT ConsumerDiscretionary
Industrials Financials Teleco
2017 Q4
1.001.051.101.151.201.251.301.351.40
9-9-2016 1-9-2017 5-9-2017 9-9-2017
Sector Allocation
Active Allocation Return Breakdown 2017 Cyclicals vs Defensives 2017
Industrial Select Sector SPDR ETF Consumer Staples Select Sector SPDR ETF
17
Selection Attribution
(0.03%)
(2.5%) (0.75%) 0.25% 2%
Financials
Energy
Materials
Industrials
Consumer Discretionary
Telecommunication Services
Consumer Staples
Information Technology
Utilities
Real Estate
Health Care
(0.5%)
0.68%
0.5%
(1.78%)
1.42%
1.75%
(1.85%)
(0.01%)
0.04%
2017 Q4 2017
0.83%
0.24%
(0.03%)
0.03%
1.14%
(0.62%)
0.76%
0.23%
0.02%
(0.06%)
0%
0%
18
(1.78%)(1.30%)
(0.63%)(0.28%) (0.16%)
2017Annual CTRUnderperformed
Outperform
0.1% 0.13% 0.14% 0.19% 0.31%
Underperform
(0.02%) (0.03%) (0.03%) (0.09%) (0.2%)
XLE
0.97% 0.84% 0.80%0.64%
0.50%
Overweight Underweight
19
5 10 15 20 25 30 35
52 Week Trading Range
Current Analyst Forecast
PE Multiple
EBITDA Multiple
DCF Valuation
$15.14
$8.12
$12.21
$14.17
$19.07
$19.51
$14.97 $20.00
$30.59$14.23
$14.94
Inde
x(v
alue
)
Shar
e Pri
ce($
)
Target price: $14.47
Current Price: $14.95
Recommendation: Sell
Case Study – General Electric
Current: $14.94 High: $30.59 Low: $14.71
§ Recent revenue growth rate decease to -1% and we expect growth rate
will maintain negative in following year
§ Oil & Gas segment operation income decrease since 2015 and profit
margin decrease to 5%
§ John Flannery succeeded Mr.Immelt as CEO
§ GE Capital need to pay 6.2 billion insurance
§ Cut 50% divided and company is being investigated by SEC.
Valuation Metrics
General Electric MMM ATU Industry**
EV/EBITDA* 11.86x / 10.896x 15.109/14.262 12.63/ 11.08x 17xEV/Sales* 1.925x / 1.723x 4.706/4.423 1.5x – 1.49x 2.9xP/E* 14.78x / 15.55x 27.24x –
22.16x26.5X/21.46
X21.4x
ROE -8.9% 44.4% 9.717 15.8Net Income Margin
-4.803% 15.34 4.67% ----
-1% -1% 1% 2% 2%
-
20
40
60
80
100
120
140
2015
2016
2017
E20
18E
2019
E20
20E
2021
E
Revenue Growth (2005 - 2021E)
GE Capital Aviation Oil & Gas Transportation Renewable Energy Power Lighting
$10
$15
$20
$25
$30
$35
2000
2200
2400
2600
2800
3000
29-Dec-16 29-Mar-17 29-Jun-17 29-Sep-17 29-Dec-17SPX Index GE US Equity
Investment Thesis
Valuation Football Field
20
U.S Market expectationS&P 500 Forward PE
Monthly EconomicData: 1mchange Last 52WLow 52WHigh NextRelease
US ISM Business NewOrders -2 65.4 57.1 67.4 2018/03/01December
US Building Permits TotalSAAR -3 1300 1168 1316 2018/02/16December
US Ports: Inbound/Outbound Containers -65,650 1,021,528 823,903 1,087,178 Around 15thDecember
US Retail SalesMoM -0.5 0.4 -0.2 2 2018/02/14
S&P 500 Estimate EPS S&P 500 Forward PE
Monthly Economic Data
21
n Bottom-up approachn Shift towards Sector-neutraln Invest high ROE companyn Value investment n Balance stock style base on benchmark (small size,
value)
SIAS MSCI(URTUH US )
Future Plan
n Increase weight in Financial sector n Decrease weight in Industrials and IT sectorn ESG studyn Sector review each month
Investment Strategy
Action plan Sell Radar
Buy RadarsmallMedi
umLarge
Value Blend Growth
22
Desmond Luo | Portfolio [email protected]
IV. Rest of the World
-0.5%
0%
0.5%
1%
1.5%
2%
2.5%
12-16 01-17 02-17 03-17 04-17 05-17 06-17 07-17 08-17 09-17 10-17 11-17 12-17 01-18
Active Return
Annual active return is 1.37%
-5%
0%
5%
10%
15%
20%
25%
30%
12-16 01-17 02-17 03-17 04-17 05-17 06-17 07-17 08-17 09-17 10-17 11-17 12-17 01-18
ROW
Benchmark
HIGHLIGHTS———————
Beginning ValueCA$ 2.43 mm
Ending ValueCA$ 2.89 mm
—————————
ROW Return 18.68%
Benchmark Return 17.31%
—————————
Active Return1.37%
—————————Tracking Error
1.47%
Information Ratio0.93
SIAS ROW Equity Cumulative Return vs. Benchmark18 YTD17 AnnualROW Equity: 18.68% (2017)
Benchmark*: 17.31% (2017)
* Benchmark: MSCI World (URTH)
Cumulative Active Return
Cumulative Active Return: 1.37% (2017) 18 YTD17 Annual
23
Sector Return Comparison & Whole Benchmark Return (in CAD)
-6.12%
-4.28%
11.03%
-0.41%
-8% -6% -4% -2% 0% 2% 4% 6% 8% 10% 12%
Euro
Asia(Developed)
Asia-Indi(Emerging)
Other
18.25%16.72%
42.72%
17.75% 15.89%
35.63%
10%
15%
20%
25%
30%
35%
40%
45%
Euro Asia(Developed) Asia-Indi(Emerging)
Region Benchmark Portfolio Whole Benchmark
Return17.31%
§ Good region choice in Emerging
§ Poor Selection in all
Emerging Overweighed while Euro & Developed Asia Underweighted (in CAD)
Attribution Analysis (in CAD)
Allocation Contributed While Selection Dragged Down
-1.41%-0.27%
3.04%
0.01%
Euro Asia(Developed) Asia-Indi(Emerging) Other
Sector Return Comparison & Whole Benchmark Return (in CAD)
Emerging Overweight while Euro & Developed Asia Underweight (in CAD)
Attribution Analysis (in CAD)
24
0.73
-0.03 -0.03-0.3
-0.87Country Industry Style Currency Selection
Effect
Factor Based Euro Return
Europe
0.45 0.44
0.30.26
0.09
Country Industry Style Currency SelectionEffect
Euro Factor Based Risk
1.66
-
-0.33
-0.66
-2.9
Euro Factor Based Information Ratio
Selection
Currency
Style
Industry
Country
Country Factor Driver§ Germany (0.39%) & Switzerland (0.17%)Selection Draw-back Driver
Industry Factor Risk Exposure§ Underweighted Financials
Siemens BASF SAP Deutsche Telekom
-0.15 -0.09 -0.08 -0.07
§ Make positions more efficient
§ Move toward individual or industrial ETF
Active Return In Europe: -1.41%
Drivers Future Plan
25
Asia Pacific Developed
-2.71%
-2.64%
-2.02%
7.64%
-0.28%
Australia
HongKong
Japan
NewZealand
Singapore
Over/Underweight
12.50%
28.69%
16.37%
4.91%
25.47%
0%
5%
10%
15%
20%
25%
30%
35%
Australia HongKong Japan NewZealand Singapore
Country Selection in Asia Pacific Developed
PortReturn Region Benchmark
Region Benchmark 16.72%
Active Return in Asia Pacific -0.27%
Conclusion
§ New Zealand’s outweigh drawn back
§ Japan’s return dominates
§ Japan’s forecast
§ External economic environment of Hong Kong & Singapore
Future Concern
Active Return In Asia Pacific: -0.27%
Conclusion Future Concerns
26
Emerging Market - Overview
Significant Exposed to Korea
India China South Korea
11.25
0.22
Port
Benchmark
Significant Overweight
42.72%35.63%
Region Benchmark Portfolio
Beat whole benchmark but not region benchmark
§ Active return is generated from allocation
§ Korea’s bias toward information technology
§ China Technology ETF moved to momentum bet (return 38% out of 62% in Q4)
Key Fact
§ Utilize individual stocks to grasp active selection return
§ Cut total emerging market exposure
Future Concern
Active Return in Emerging 3.04%Active Return In Emerging: 3.04%
Key Facts
Future Concern
27
IPS Positions Limit§ Cut positions for utilizing individual stocks selection attributionConsistent with whole strategy§ Neutral in advanced market while activate in emerging market
1.011.79
8.13
1.1 1.320.841.84
8.16
1.36 1.34
0
2
4
6
8
10
InformationRatio
Jesen Alpha StandardDeviation
Tracking Error Active Return
Backward Scenario Simulation Shows Performance & Higher Information Ratio
After Combining
Experiment RealPort
Backward scenario simulation shows no penalty for combining
Future Plan – Combine Europe ETFs
-5
0
5
10
15
20
25
2016
-12
2017
-01
2017
-02
2017
-03
2017
-04
2017
-05
2017
-06
2017
-07
2017
-08
2017
-09
2017
-10
2017
-11
Experimental Port Performance Overlaps Well With Real Portfolio
Real ROW After Combination
§ Substitute negative-forecasted ETFs by Europe ETF
§ Keep positive-forecasted ETFs
§ 2 Positions were Expected to be spared out
Key Reasons For Combining Combination Process
28
Future Plan – Grasp Individual Stock Selection
Overview• China is selected given growth expectation & information access• Financial & Technology sectors accounted biggestSector BackgroundFinancials• Rise of fintech• Decreasing interest margin between liabilities and asset• Non performing loan & Deleverage regulation orientationTechnology• User growth will continue to be high• Service price keep on going up• Cross-sector growth potential
• Tencent• Baidu• Alibaba• Weibo• New Oriental
Financials• Promising future after deleverage • Re-Widened cost and avenue spreadTechnology• Monopoly situations• Sub-ordinaries spin-off events
• Wuba (EXCLUDED);• Ctrip (EXCLUDED);• Sohu (EXCLUDED);• NetEase(EXCLUDED);
050100150200250300350400
0
5
10
15
20
25
30
35
2010 2011 2012 2013 2014 2015 2016 2017
Decreasing MSCI China Financials Index Margins
Operating Margin
Profit Margin
Avenue
Earnings
0
20
40
60
80
100
120
140
0
5
10
15
20
2010 2011 2012 2013 2014 2015 2016 2017
Increasing MSCI China Information Tec Index Margins
Operating Margin
Profit Margin
Earnings
Sales
Countries & Sectors Fundamental Statistics Example
Companies Under Consideration vs. Excluded
Changes We Concern
29
Team building: Management restructure & Training
Allocation Weight&
Selection Space
ETF Group Discussion
Stock Group Discussion
Whole Group Presentation &
Vote
ETF Analysis Methods Training
Function & Template Training
Individual Stock Valuation
Separate Discussion Groups Training Sessions
30
ESG
Lexian Chen| Fixed Income [email protected]
IV. Fixed Income
-1%
0%
1%
2%
3%
4%
5%
01-17 02-17 03-17 04-17 05-17 06-17 07-17 08-17 09-17 10-17 11-17 12-17 01-18 02-18
Total Return (P)
Total Return (B)
18 YTD
2017 Annual Performance
HIGHLIGHTS———————
Beginning ValueCA$ 4.12 mm
Ending ValueCA$ 4.22 mm
—————————Active Return
-0.14%—————————
Tracking Error0.37%
Information Ratio-0.38
17 Annual
-0.2%
-0.1%
0.0%
0.1%
0.2%
0.3%
01-17 02-17 03-17 04-17 05-17 06-17 07-17 08-17 09-17 10-17 11-17 12-17 01-18 02-18
Total Return (D)
SIAS Fixed Income: 2.55% (2017)Benchmark*: 2.69% (2017)
Cumulative Active Return: -0.14% (2017)
-0.14% -0.21% -0.23%
0.12% 0.18%
Total ActiveReturn
Yield Cuve Spread Time Return SelectionEffect
37% 32%18% 14%
Total ActiveRisk
Yield Curve Spread Non-Factor
6.85
7.51
Portfolio Benchmark
SIAS Fixed Income Cumulative Return vs. Benchmark
18 YTD17 Annual
Avg. Duration Active Return Breakdown 2017 Active Risk Breakdown 2017
* True benchmark is FTSE TMX, while we use XBB for approximation.
31
Negative Active Return from Yield Curve Movement
-0.01
0.01
0.07
0.12
0.05
-0.11
0
0
-0.61
-0.8 -0.6 -0.4 -0.2 0 0.2
6 month
1 Y
2 Y
3 Y
5 Y
7 Y
10 Y
20 Y
30 Y
Active Return from Non-Parallel Curve Change
-2.5
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
2.5
-2.5
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
2.5
1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y
Act
ive
KR
D
Yie
ld %
Sovereign Yield Curve Change VS. Active KRD
Active KRD-01/03/2017 01/03/2017 12/29/2017
Total Parallel Non-Parallel
Active Return from Curve Change -0.21 0.24 -0.48
Active Return From Non-Parallel Curve Change Sovereign Yield Curve Change vs. Active KRD
32
Negative Active Return from Spread Movement
0
20
40
60
80
100
120
1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y
Provincial AA Level Bond G-Spread (bps)
12/28/17 Spread 01/03/17 Spread
0
50
100
150
200
1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y
Corporate A Level Bond G-Spread (bps)
12/28/17 Spread 01/03/17 Spread
31-Jan 28-Feb 31-Mar 30-Apr 31-May 30-Jun 31-Jul 31-Aug 30-Sep 31-Oct 30-Nov 31-Dec
-0.34 -0.49 -0.58 -0.71 -0.84 -0.79 -0.70 -0.55 -0.58 -0.68 -0.77 -0.96-0.47 -0.54 -0.43 -0.48 -0.52 -0.07 -0.06 0.11 0.08 0.06 0.01 -0.040.13 0.04 -0.15 -0.23 -0.33 -0.72 -0.65 -0.67 -0.66 -0.74 -0.79 -0.93-0.14 -0.14 -0.19 -0.20 -0.22 -0.24 -0.24 -0.23 -0.24 -0.23 -0.23 -0.280.27 0.18 0.04 -0.03 -0.11 -0.48 -0.41 -0.44 -0.42 -0.51 -0.56 -0.65Quasi
Monthly Active CTD
Total
Corporate Debt
Government Debt
Sovereign
Total Quasi Corp Error
Spread Active Return -0.23 -0.11 -0.09 -0.03
Provincial AA Level Bond G-Spread (bps) Corporate A Level Bond G-Spread (bps)
33
Positive Active Return from Time Carry & Selection Effect
31-Jan 28-Feb 31-Mar 30-Apr 31-May 30-Jun 31-Jul 31-Aug 30-Sep 31-Oct 30-Nov 31-Dec0.13 0.09 0.10 0.07 0.03 0.10 0.14 0.14 0.13 0.12 0.10 0.08
Monthly Yield Advantage
0.13%
0.07%
-0.05% -0.05% -0.05%
0.05%
-0.06%-0.04%-0.02%
0%0.02%0.04%0.06%0.08%0.1%
0.12%0.14%
Can 5.75 2033 Ont 5.85 2033 YORKDS 5.3 2025 HYDONE 3.2 2022 LCN 2036 BRCOL 5.4 35
Total Time Carry Selection
Active Return (Time & Selection) 0.3 0.12 0.18
Top 6 Active Selection Effect
34
CAN 5.75 2033 ONT5.85 2033 YORKDS 5.3 2025 HYDONE 3.2 2022 LCN 5.9 2036 BRCOL 5.4 2035
Transactions
CCOCN 5.67 09/02/2019Buy 60,000Settlement: 12/11/2017
NBRNS 2.85 06/02/2023Sell 50,000Settlement: 10/20/2017
35
Case Study—— CCOCN 5.67 09/02/2019
0.0020.00
40.00
60.00
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
E20
19E
2020
E
World Price of Uranium
2
397 315 394
790
500
2018 2019 2022 2024 2042
Maturity Schedule(mm)
5.1x 5.0x5.4x 5.9x
0.8x0.0x
5.0x
10.0x
2012 2013 2014 2015 2016
EBIT / Interest Exp.
131.5 199.4
320.3 246.2 282.7
351.8
0
200.0
400.0
Q2 2016 Q3 2016 Q4 2016 Q1 2017 Q2 2017 Q3 2017
Cash And Equivalents
§ We don’t expect further decreases of uranium price§ Although it has been declining since the Fukushima tragedy of Japan in 2011§ Company issued a plan in 2017 to shut down 45% output: dramatically shrink supply§ With 58 reactors under construction, we expect demand to recover
§ The company has low pressure to repay the debt in the coming two years§ Although EBIT/Interest Expenditure dropped in 2016 due to the weakening market, § The company starts to reserve cash in the past three quarters intentionally§ Enough amount available in revolvers (amount of credit that can borrow from bank before that
date)§ This BBB bond has 1.79% G-spread, twice as 0.78% average G-spread from peers. (as of Nov.16, 2017)§ ESG score is better than peers in the last 5 years, especially in water consumption/revenue, waste
generation/revenue and women employee ratio.
Investment Thesis
36
Portfolio CTD Composition (as of 12/29/2017)
Sector Market Value CTD
Short term Median term Long term Short term Median term Long term
(1-5 years) (6 - 10 years) (10+ years) Total (1-5 years) (6 - 10 years) (10+ years) Total
Federal -19.2458% -7.0869% 5.7797% -20.5531% -0.51 -0.48 0.35 -0.64
Quasi 1.4995% 3.7432% 5.3739% 10.6167% 0.67 0.35 -1.30 -0.29
Corporate 2.5484% 11.5582% -4.1703% 9.9364% -0.02 0.62 -0.63 -0.04
Port_to_bench -15.1979% 8.2146% 6.9833% 0.0000% 0.14 0.49 -1.59 -0.96
Active Duration
-0.51
0.67-0.02
-0.48
0.35
0.620.35
-1.30-0.63
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
Federal Quasi Corporate
Active CTD Comparison
Short term Median term Long term
* Data as of 12/29/2017
Duration Detail
Portfolio
6.67
Benchmark
7.63
Active CTD Comparison
37
Future Plan
§ Maintain lower duration strategy, but move towards duration neutral
§ Limit bets on curve change
§ Adjust duration composition (Barbell Strategy) to limit risk exposure on interest rate
§ Added long-term sovereign bonds
§ Add A-level corporate bonds (3-5 years) by identifying credit opportunities
§ Scenario analysis for situations other than flattening yield curve
38
V. Appendix
SIAS’s Investment TeamEx
ecut
ive
Boa
rd CIOCEO CCO
PM PM PM PMCanadian Equity Fixed Income US equity ROW equity
Analysts AnalystsAnalystsAnalystsAnalysts
Team Structure
Cohort Engagement & Development
Learn Interact Net-workTraining events
that help students develop skill-set such as industry research analysis company buy-sell recommendations, and Bloomberg training.
Guest speaker events that
brings in industry insights on topics that is not covered in SIAS, including commodity pricing and block chain technology.
Work with CMC and
various organizations to help students explore jobs opportunities and buildup network in Vancouver’s financial industry.
§ Crypto currency &Block Chain technology / Date: Early March 2018§ Commodity Pricing / Date: Early May 2018§ Networking Event with Canadian top 5 Banks / Date: Summer 2018
Training & Education
Event In Progress
Canadian EquityHoldings (as of Dec 29, 2017)
*210000 is the original face value of the amortizer; the true principal is 128186.17
Name Sector % Wgt Mkt Val Pos
CANADIAN NATIONAL RAILWAY CO TRANSPORTATION (CANADIAN) 6.37% 416673 4020
ROYAL BANK OF CANADA BANKS (CANADIAN) 5.96% 390070 3800
TORONTO-DOMINION BANK BANKS (CANADIAN) 5.81% 380034 5160
RESTAURANT BRANDS INTL INC HOTELS RESTAURANTS & LEISURE (CANADIAN) 5.79% 378623 4900
BANK OF NOVA SCOTIA BANKS (CANADIAN) 4.83% 316368 3900
SUN LIFE FINANCIAL INC INSURANCE (CANADIAN) 4.76% 311280 6000
MANULIFE FINANCIAL CORP INSURANCE (CANADIAN) 4.71% 308085 11750
BROOKFIELD ASSET MGMT INC REAL ESTATE (CANADIAN) 4.64% 303696 5550
ISHARES CORE S&P/TSX CAPPED EQUITY FUND TRUST ETF (CANADIAN) 4.32% 282810 11000
SUNCOR ENERGY INC ENERGY (CANADIAN) 4.03% 263978 5720
BCE INC COMMUNICATION SERVICES (CANADIAN) 3.69% 241520 4000
THOMSON REUTERS CORP MEDIA (CANADIAN) 3.35% 219160 4000
CANADIAN NATURAL RESOURCES LTD ENERGY (CANADIAN) 2.95% 193156 4300
ROGERS COMMUNICATIONS INC COMMUNICATION SERVICES (CANADIAN) 2.74% 179340 2800
TRANSCANADA CORP ENERGY (CANADIAN) 2.71% 177422 2900
ONEX CORP DIVERSIFIED FINANCIALS (CANADIAN) 2.68% 175161 1900
CGI GROUP INC SOFTWARE & SERVICES (CANADIAN) 2.61% 170750 2500
EMERA INC UTILITIES (CANADIAN) 2.58% 169128 3600
WHEATON PRECIOUS METALS CORP MATERIALS (CANADIAN) 2.57% 168129.5 6050
METRO INC FOOD & DRUG RETAILING (CANADIAN) 2.49% 163012.5 4050
ENBRIDGE INC ENERGY (CANADIAN) 2.25% 147480 3000
CCL INDUSTRIES INC MATERIALS (CANADIAN) 2.04% 133584 2300
BROOKFIELD RENEWABLE PARTNERS LIMITED PARTNERSHIP - PUBLIC EQUITY 1.72% 112591.7 2570
Canadian Equity (cont’d)Transaction in 2017
U.S. EquityHoldings (as of Dec 29, 2017)
*210000 is the original face value of the amortizer; the true principal is 128186.17
Name Sector % Wgt Mkt Val Pos
3M CO MISC MANUFACTURER 4.70% 251229 1100
FINANCIAL SELECT SECTOR SPDRUS EQUITY INDEX ETF (US REGULATED) 4.65% 248520 9500
VISA INC DIVERSIFIED FINANCIAL SERVICES 4.19% 224280 2000
JOHNSON & JOHNSON PHARMACEUTICALS 3.94% 210525 1500
HOME DEPOT INC/THE RETAIL 3.82% 204087.5 1250
CISCO SYSTEMS INC TELECOMMUNICATIONS 3.69% 197490 5800
VARIAN MEDICAL SYSTEMS INC HEALTH CARE 3.32% 177688.5 1650
ENERGY SELECT SECTOR SPDRUS EQUITY INDEX ETF (US REGULATED) 3.21% 171573.5 2450
COCA-COLA CO/THE BEVERAGES 3.11% 166428 3600
AMAZON.COM INC INTERNET 2.74% 146786.9 130
ALPHABET INC-CL A INTERNET 2.74% 146680.8 140
ALPHABET INC-CL C INTERNET 2.70% 144376.4 140
MCDONALD'S CORP RETAIL 2.65% 141950 850
AT&T INC TELECOMMUNICATIONS 2.22% 119000 3500
GENERAL ELECTRIC CO MISC MANUFACTURER 1.87% 99950 5000
UTILITIES SELECT SECTOR SPDRUS EQUITY INDEX ETF (US REGULATED) 1.46% 78078 1400
AMERISOURCEBERGEN CORP PHARMACEUTICALS 1.41% 75270 1000
WAL-MART STORES INC RETAIL 1.35% 72240 800
WALT DISNEY CO/THE MEDIA 1.34% 71876 700
FACEBOOK INC INTERNET 1.34% 71720 400
CBRE GROUP INC REAL ESTATE MANAGEMENT & DEVELOPMENT 0.99% 53053 1300
EMERSON ELECTRIC CO ELECTRICAL COMPO & EQUIP 0.57% 30740 500
REAL ESTATE SELECT SECT SPDRUS EQUITY ETF (US REGISTERED) 0.54% 28670.88 848
U.S. Equity (cont’d)Transaction in 2017
Overview & Investment ThesisOverview:• The real estate sector is composed of two industries—equity real estate investment
trusts (REITs) and real estate management & development. • In the first half of 2017, FFO growth was 2.6% in the first quarter and 3.6% in the
second quarter. • It is expected that FFO will ease considerably due to reduced real estate investment,
fewer property acquisitions, and higher property dispositionsInvestment Thesis:
Relative Performance
Sector Report– Real Estate Sector
Source: Bloomberg, SIASMRQ = Most Recent Quarter
• The increase of 10-year yield• The popularity of online shopping
Headwinds Opportunity
• Technology drives demand for data centers• The new tax reform: deduction of tax rate
9095
100105110115120125
1-3-2017 4-3-2017 7-3-2017 10-3-2017 1-3-2018
S&P 500 Real Estate VS S&P 500 (1 year)
S&P 500 Real Estate (Sector) (TR) S&P 500 (TR)
Key Issues
• Corporate Profits• Disposal Income• Location
• 10 Year Treasury Yield• Rental Vacancy Rate• New Residential Construction
Positive Correlation: Inverse Correlation:
Sub Industries
Fundamental Statistics (Top 5)
REITs Mean
P/E 2018E 38.74x
P/B 7.29x
EPS 2018E 6.41
Div Yield 3.44%
Service Mean
P/E 2018E 19.07x
P/B 4.01x
EPS 2018E 2.825
Div Yield 0.45%
Owners Mean
P/E 2018E 30.27x
P/B 5.99x
EPS 2018E 2.57
Div Yield 1.85%
Residential REITs:Oversupply Slowdown in growth opportunities
Retail REITs:Long tern leases. Less fluctuationHigh quality properties of REITsHigh occupancyOnline retailers want more physical presence
Stable
Industrial REITs:Excellent performance YTDHigh FFO MultipleWarehouses & fulfillment centers for e-commerceLimited available space
Raise rental rates
Overview & Investment ThesisOverview:• The drug industry experienced a “patent cliff” from 2011 to 2015, when a
significant number of top-selling drugs lost their patent protection.• Adjusted EBIT for companies in SP1500 index was 31.5%(2016), up from
30.5%(2015) and 29.7%(2014). • CFRA expects slightly improvement in 2017 to 31.7% on higher sales growth and
improved leverage, as spending is expected to remain conservativeInvestment Thesis:
Relative Performance
Sector Report– Healthcare Sector
Source: Bloomberg, SIASMRQ = Most Recent Quarter
• Changes in government spending and reimbursement rates can have great ramifications.
Headwinds Opportunity
• Higher number of FDA approvals to continue.
• New tax reform will help bring overseas cash
Key future trends
• Consolidation within the sector.• Orphan Drugs on the rise.• Treatment of Opioid overdose with
drugs like Naloxone.
• AMZN, JPM & BRK.A entry in the sector.
• Rise of Biosimilars.
Sub Industries
Fundamental Statistics (Top 5)
Multiples Mean
P/E 2018E 16.53x
P/B 5.57x
EPS 2018E 7.76
Multiple Mean
P/E 2017 16.19x
P/B 4.01x
EPS 2017 6.16x
-0.05
0
0.05
0.1
0.15
12-1-2016 4-1-2017 8-1-2017 12-1-2017
Healthcare sector vs S&P 500 (1 year)
Healthcare Sector S&P 500
Biopharma Services:Improving fundamentals, industry tailwinds the 2018 backdropFDA approvals on pace, Biotech cash a boon for Biopharma outsourcing
Life Science Equipment:Small-cap drove the outperformanceSteady fundamentals and R&D demandForesee robust growth in China in 2018Health Care Supply Chain:Supply-chain stocks battered by Amazon threat, industry pressureHealth-care distribution stocks trail SP500
Biotech:Uncertain future salesNo solid sign of improvementEPS growth may be less volatile
Hospital:Lean further on asset sales, could broaden scopeLower wage costs, bad debt head wind is building
Overview & Investment Thesis
Overview• Financial markets in the United States are the largest and most liquid in the world. • In 2016, finance and insurance represented 7.3 percent (or $1.4 trillion) of U.S.
gross domestic product.• Financial services and products help facilitate and finance the export of U.S.
manufactured goods and agricultural products.
Investment Thesis:
Relative Performance
Sector Report– Financial Sector
Source: Bloomberg, SIAS
• The Federal Reserve Board (FRB) is signaling a new age of governance and accountability, as well as a new rating system
Headwinds Opportunity
• Tax rate cutting• Interest rate rising
Key future trends
A Consolidating and Modernizing Industry• larger banks pursuing mergers and acquisitions (M&As) will likely extend their
focus past the purchase of traditional brick-and-mortar bank branches and into the areas of online or electronic banking.
The rise of fintech• Accelerated the adoption of digital banking
Sub Industries
Fundamental Statistics (Top 5)
Banks P/E2017 P/B2017 EPS2017 Profit MarginJP Morgan Chase &Co. 15.5 1.63 6.24 26.58%Bank of America 16.27 1.26 1.58 25.58%
Wells Fargo &Co. 15.34 1.7 4.03 20.96%Citigroup 14.31 0.96 4.27 18.33%
Consumer Customers P/E2017 P/B2017 EPS2017 Profit MarginVisa Inc 33.79 8.85 3.18 44.81%
MasterCard 36.12 25.64 3.70 38.46%
American Express 18.89 4.17 5.67 14.54%
Capital One Financial 14.24 1.07 6.96 13.64%
• Banking• Insurance• Private Equity• Thrifts & Mortgage Finance• Capital Markets
0
1000
2000
3000
010203040
Sep 2007Sep 2011
Sep 2015
Financial Select Sector SPDR Fund (U.S.) vs S&P 500
XLF US Equity (R1)
• Asset Management• Venture Capital• Real Estate Investment Trust• Consumer Finance
Fixed IncomeHoldings (as of Dec 29, 2017)
Issuer Ticker Sector % Wgt Mkt Val Pos Px Close BB Comp
CAMECO CORP CCOCN 5.67 09/02/19 Basic Materials 1.50 63498.604 60000 103.95 BBB
BELL CANADA BCECN 2.9 08/12/26 Communications 2.31 97635.551 100000 96.51 BBB+
SHAW COMMUNICAT SJRCN 5 ½ 12/07/20 Communications 0.41 17403.704 16000 108.40 BBB-
LOBLAW CO LTD LCN 5.9 01/18/36 Consumer, Non-cyclical 2.21 93322.618 75000 121.73 BBB
SAPUTO INC SAPCN 2.827 11/21/23 Consumer, Non-cyclical 2.36 99921.702 100000 99.60 A-
PEMBINA PIPELINE PPLCN 3.71 08/11/26 Energy 2.41 102065.06 100000 100.61 BBB
BANK OF MONTREAL BMO 6.17 03/28/23 Financial 2.43 102662.94 100000 101.06 A-
BANK NOVA SCOTIA BNS 3.27 01/11/21 Financial 2.47 104208.55 100000 102.65 AA-
CADILLAC FAIRVIE CADF 3.64 05/09/18 Financial 2.40 101269.41 100000 100.74 AA+
GREAT-WEST LIFEC GWOCN 4.65 08/13/20 Financial 1.78 75338.06 70000 105.83 A
INVESTORS GROUP IGMCN 6.65 12/13/27 Financial 2.37 100345.26 80000 125.09 A
ROYAL BK CANADA RY 4.93 07/16/25 Financial 3.31 140076.53 120000 114.45 AA-
407 INTL INC ETRHWY 5.96 12/03/35 Industrial 3.22 136067.41 100000 135.59 A
GREATER TORONTO GTAAIR 5.26 04/17/18 Industrial 2.42 102157.02 100000 101.06 A+
FORTIS INC FTSCN 2.85 12/12/23 Utilities 2.13 90100.063 90000 99.96 BBB
HYDRO ONE INC HYDONE 3.2 01/13/22 Utilities 2.48 104675.36 100000 103.17 A
HYDRO ONE INC HYDONE 4.4 06/01/20 Utilities 2.25 95051.407 90000 105.24 A
TORONTO HYDRO TORHYD 3.54 11/18/21 Utilities 2.48 104991.03 100000 104.56 A
FARM CREDIT CAN FARMCR 4.6 06/01/21 Agency 2.54 107348.09 99000 108.04 AAA
YORK REGION DIST YORKDS 5.3 06/03/25 Provincial 2.59 109308.83 *210000 109.23 A+
ALBERTA PROVINCE ALTA 2.55 12/15/22 Provincial 2.40 101523.01 100000 101.40 AA-
ALBERTA PROVINCE ALTA 3.4 12/01/23 Provincial 1.40 59268.408 56000 105.55 AA-
ALBERTA PROVINCE ALTA 4 12/01/19 Provincial 2.47 104387.8 100000 104.05 AA-
BRIT COLUMBIA BRCOL 5.4 06/18/35 Provincial 3.22 136114.78 100000 135.91 AA+
BRIT COLUMBIA BRCOL 5.7 06/18/29 Provincial 5.53 233599.85 180000 129.56 AA+
MANITOBA (PROV) MP 2.45 06/02/25 Provincial 3.53 149223.14 150000 99.28 A+
MANITOBA (PROV) MP 6.3 03/05/31 Provincial 4.94 208859.14 150000 137.20 A+
NEW BRUNSWICK NBRNS 2.85 06/02/23 Provincial 1.21 51333.18 50000 102.43 A+
NOVA SCOTIA NS 5.8 06/01/33 Provincial 1.26 53153.973 39000 135.80 A+
ONTARIO PROVINCE ONT 5.35 06/02/19 Provincial 4.24 179275.1 170000 105.02 AA-
ONTARIO PROVINCE ONT 5.85 03/08/33 Provincial 6.58 278258.99 200000 137.29 AA-
SASKATCHEWAN CDA SCDA 3.2 06/03/24 Provincial 4.96 209756.92 200000 104.62 AA
CANADA-GOV'T CAN 5 ¾ 06/01/33 Sovereign 12.19 515209.76 350000 146.71 AAA
*210000 is the original face value of the amortizer; the true principal is 128186.17
Fixed Income (cont’d)Transaction in 2017
SECTOR COMPANY DATE SELL /BUY
EnergyPPLCN 3.71 08/11/26
Mar 22nd, 17&
June 29th, 17 BUY
Consumer StapleSAPCN 2.827 11/21/23
Mar 22nd, 17 BUY
Consumer StapleLCN 5.9 01/18/36 June 29th, 17 BUY
UtilityFTSCN 2.85 12/12/23
June 30th, 17 BUY
ProvincialALTA 3.4 12/01/23
June 29th, 17 SELL
CommunicationBCECN 2.9 08/12/26
Aug 21st, 17 BUY
Provincial NBRNS 2.85 06/02/23 Oct 20th, 17 SELL
Material CCOCN 5.67 09/02/19 Dec 11st, 17 BUY
Rest Of The World Holdings (as of Dec 29, 2017)
*210000 is the original face value of the amortizer; the true principal is 128186.17
Name Sector % Wgt Mkt Val Pos
ISHARES EUROPE ETF GLOBAL EQUITY INDEX ETF (US REGULATED) 12.10% 836699.71 14130
ISHARES MSCI JAPAN ETF US EQUITY ETF (US REGISTERED) 8.99% 621063.55 8271
ISHARES MSCI UNITED KINGDOM US EQUITY ETF (US REGISTERED) 3.68% 254697.8 5675
ISHARES MSCI GERMANY ETF GLOBAL EQUITY INDEX ETF (US REGULATED) 3.11% 215136.53 5200
ISHARES MSCI SOUTH KOREA ETF GLOBAL EQUITY INDEX ETF (US REGULATED) 2.53% 174998.93 1864
ISHARES MSCI FRANCE ETF GLOBAL EQUITY INDEX ETF (US REGULATED) 2.43% 168203.53 4300
ISHARES MSCI AUSTRALIA ETF GLOBAL EQUITY INDEX ETF (US REGULATED) 2.28% 157347.22 5420
ISHARES MSCI SWITZERLAND ETF GLOBAL EQUITY INDEX ETF (US REGULATED) 2.01% 138866.58 3115
ISHARES MSCI INDIA ETF GLOBAL EQUITY INDEX ETF (US REGULATED) 1.11% 76829.64 1700
GUGGENHEIM CHINA TECHNOLOGY GLOBAL EQUITY INDEX ETF (US REGULATED) 1.10% 75953.83 1000
ISHARES MSCI HONG KONG ETF GLOBAL EQUITY INDEX ETF (US REGULATED) 0.88% 60769.78 1908
ISHARES MSCI SINGAPORE ETF US EQUITY ETF (US REGISTERED) 0.47% 32488.99 1000