sias fund performance review q2 2010 august 13, 2010

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome

Compliance & Attribution

18/13/2010Segal Graduate School of Business

SIAS Fund

SIAS Fund Performance ReviewQ2 2010August 13, 2010

Genica Gao Compliance & Performance Team [email protected] 778.859.9619

Ted Hsieh Risk Metrics Team [email protected] 604.518.1622

Jerry Su Economics and Portfolio Strategy Team [email protected] 778.989.3679

Jerry Chen Canadian & Global Equity Team [email protected] 604.506.7648

Belinda Liao Fixed Income Team [email protected] 604.767.2633

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


28/13/2010Segal Graduate School of Business

SIAS Fund

1. Compliance and Performance2. Risk Metrics3. Economics and Strategy4. Canadian Equity5. Global Equity6. Fixed Income7. Transition to Next Cohort8. Conclusion and Q&A

Agenda

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


3

Compliance/Attribution

8/13/2010 Segal Graduate School of Business SIAS Fund

IPS Guidelines and Constraints Compliance Comments

1. Asset Mix within IPS Range Yes

2.

Equities

a) Min. 25 holdings (max < 35) Yes 33 holdings for Canada vs 34 last Q

27 holdings for Global (10 ETFs) vs 29 last Q

b) Each holding < 10% of equity portfolio Yes

c) Largest 15 holdings < 70% of equity portfolio Yes

d) Min. 7 industry sectors of GICS Yes All 10 Industry Sectors of GICS

e) Small Cap < 5% Yes None

f) Venture Cap total < 5% Yes None

3.

Fixed Income 19 holdings (only Canadian issues)

a) Credit rating: < 10% BBB, and 0% below BBB Yes 1 holding = BBB (< 10%)

b) Non-Government issue < 5% of portfolio Yes

4.

Loans and Borrowing

a) No margin or short selling Yes

b) No derivatives trading Yes

Notes Out of Compliance Record No

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


4



SIAS Portfolio Q2 2010 PerformancePortfolio excess return:

Difference=Actual-benchmark

66 bp

Actual return on portfolio: weight(p)*return(p)

-392 bp

Actual return on benchmark: weight(b)*return(b)

-458 bp

Cash3%

Fixed Income

24%

Canadian Equity38%

Global Equity35%

Cash2%

Fixed Income

28%

Canadian Equity35%

Global Equity35%

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


5



Attribution AnalysisPortfolio excess return:

66 bp

Canadian Global Fixed Income Cash & Equival-ents

Asset Al-location

0.000703654088000003

0.00288507050145872

-0.000353942272

162641

0.00000872455800000001

Selection Decision

-0.01265129751 0.0172250896815102

-1.860866702160

61E-05

-0.00023354

Interaction 0.000810436020000001

-0.001649555443

83966

2.20107730041877E-06

-0.000085323839

0000002

Value Ad-ded

-0.011137207402

0.0184606047391292

-0.000370349861

883829

-0.000310139281

000001

-1.25%

-0.75%

-0.25%

0.25%

0.75%

1.25%

1.75%

2.25%

% A

ttri

buti

on

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


6



Canadian Equity Attribution by Selected Sectors (%)

Asset Allocation 0.03 0.12 - 0.05 0.00 0.12

Selection Decision - 0.23 0.02 0.10 - 1.43 0.12

Interaction 0.01 0.10 0.01 - 0.11 - 0.12

Value Added - 0.19 0.24 0.06 - 1.54 0.12

Total Excess Return:-111 bp (all sectors)

Financials Health Care Energy Materials Industrials

-0.19%

0.24%0.06%

-1.54%

0.12%

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


7



Global Equity Attribution (%)

Currency - 0.001 0.000 0.003 - 0.002 0.001Mkt Allocation 0.29 - 0.03 - 0.83 0.83 0.29Selection 0.11 - 0.16 0.83 0.94 1.72Interaction - 0.04 -0.02 0.38 - 0.48 - 0.16Value Added 0.36 - 0.21 0.38 1.31 1.85

Total Excess Return:185 bp

Asia Pacific Emerging North America Europe Total

0.36%

-0.21%

0.38%

1.31%

1.85%

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


8



Fixed Income AttributionTotal Excess Return:

-4 bp

Federal 0.00 0.25 -0.46 0.39 0.13 - 0.0020Provincial 0.00 0.45 -0.46 0.02 0.02 0.0015Municipal 0.00 1.26 -1.41 0.12 -0.15 0.0001Corporate 0.00 0.21 -0.30 0.08 -0.03 0.0000Total 0.0003 0.2763 -0.2710 0.0074 -0.0134 -0.0004

Income Shift Twist Spread Selection Total

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


9



Top performers vs. losersTop 5 Market Gainers

Name Dollar Amount %

BARRICK GOLD CORP $ 33,660.00 23.99

BIOVAIL CORP $ 24,640.00 20.72

TELUS CORP $ 4,384.50 6.27

MOLSON COORS CDA INC $ 4,090.60 6.08

REITMANS (CANADA) LTD $ 3,528.00 4.69

Top 5 Market LosersName Dollar Amount %

CANADIAN NATURAL RESOURCES $ 9,696.50 53.00FIRST QUANTUM MINERALS LTD $ 45,030.00 35.92

RESEARCH IN MOTION LTD $ 38,964.00 30.46TECK RESOURCES LTD $ 57,465.00 28.86

INMET MINING CORP $ 29,505.00 28.57

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


10



Risk Metrics & Attribution

Ted [email protected]

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


11



2003 2004 2005 2006 2007 2008 2009 2010-15.00%

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

Port. Returns Linear (Port. Returns)

2004 2005 2006 2007 2008 2009 2010-15.00%

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

Port. Returns VaR(%)

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


12



01/04/2010 01/05/2010 01/06/2010-4.00%

-3.00%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

Port. Returns VaR (%)

01/04/2010 01/05/2010 01/06/2010-3.50%

-3.00%

-2.50%

-2.00%

-1.50%

-1.00%

-0.50%

0.00%

Port. Returns VaR(%)

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


13



01/04/2010 01/05/2010 01/06/2010-4.00%

-3.00%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

Port. Returns VaR (%)

Daily portfolio losses exceed 2.5% and 3.1% on May 20 & June 29

Daily portfolio volatility rapidly increases by 35 b.p. (15.4% ) and 43 b.p. (18.4%)

Financial, Energy, and Material sectors attribute to over 75% and 83% of the losses

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


14



Quarterly Average VaR is 2.8% and the 6 individual stocks make up over 50% of portfolio risk

RBC

F. Q.

Teck

Total

-1.272%

-1.173%

-1.494%

-7.952%

Q2 Returns of Canadian Portfolio

Others49%TD

6%

C.O.S.7%

F.Q.7%

RBC8%

Suncor11% Teck

12%

Decomposition of VaR

8.68%

2.93%

4.92%

Average Holdings in Q2

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


15



Financials Health Care Utilities Cons. Disc. Cons. Stap. Energy Info. Tech. Materials Tele. Svs. Indus. Total

Allocation -0.0066% 0.0119% 0.0047% 0.0035% 0.0152% 0.0339% 0.0015% 0.0185% 0.0027% -0.0509% 0.0345%

Selection 0.0444% 0.0005% -0.0027% -0.0114% -0.0011% -0.0103% 0.0068% 0.0940% 0.0023% -0.0509% 0.0717%

Interaction -0.0012% 0.0033% -0.0016% -0.0015% -0.0017% -0.0012% 0.0004% 0.0075% 0.0004% 0.0509% 0.0552%

Risk Added 0.0366% 0.0157% 0.0005% -0.0095% 0.0124% 0.0224% 0.0088% 0.1200% 0.0053% -0.0509% 0.1614%

Financials Materials Energy-0.02%

0.00%

0.02%

0.04%

0.06%

0.08%

0.10%

Canadian Equity Portfolio Risk AttributionAllocation Selection Interaction

Relatively riskier than S&P/TSX index by 16 b.p.

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


16




Allocation -0.0066% 0.0119% 0.0047% 0.0035% 0.0152% 0.0339% 0.0015% 0.0185% 0.0027% -0.0509% 0.0345%

Selection 0.0444% 0.0005% -0.0027% -0.0114% -0.0011% -0.0103% 0.0068% 0.0940% 0.0023% -0.0509% 0.0717%

Interaction -0.0012% 0.0033% -0.0016% -0.0015% -0.0017% -0.0012% 0.0004% 0.0075% 0.0004% 0.0509% 0.0552%

Risk Added 0.0366% 0.0157% 0.0005% -0.0095% 0.0124% 0.0224% 0.0088% 0.1200% 0.0053% -0.0509% 0.1614%

Risk Adjusted Value Added -0.2264% 0.2242% 0.0442% 0.0642% 0.1312% 0.0407% -0.0960% -1.6567% 0.0254% 0.1740% -1.2751%


Allocation 0.0300% 0.1180% -0.0177% 0.0033% -0.1289% -0.0528% -0.0186% 0.0044% 0.0096% 0.1231% 0.0704%

Selection -0.2262% 0.0169% 0.0395% 0.0454% 0.1059% 0.1037% -0.0645% -1.4272% 0.0182% 0.1231% -1.2651%

Interaction 0.0063% 0.1050% 0.0228% 0.0061% 0.1667% 0.0122% -0.0041% -0.1139% 0.0030% -0.1231% 0.0810%

Value Added -0.1898% 0.2399% 0.0447% 0.0548% 0.1436% 0.0631% -0.0873% -1.5366% 0.0308% 0.1231% -1.1137%

Canadian Equity Q2 Return Attribution

Canadian Equity Q2 Risk Attribution

Canadian Equity Q2 Risk Adjusted Attribution

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


17



Allocation -0.0175% 0.0059% -0.0812% 0.1244% 0.0315%

Selection 0.0760% 0.0225% 0.1719% 0.0462% 0.3166%

Interaction -0.0291% 0.0014% -0.0882% 0.0215% -0.0945%

Risk Added 0.0294% 0.0298% 0.0024% 0.1920% 0.2537%

Asia Pacific Emerging Europe N.America Total-0.20%

-0.10%

0.00%

0.10%

0.20%

0.30%

0.40%

Global Equity Portfolio Risk Attribution

Allocation Selection Interaction

Relatively riskier than MSCI index by 25 b.p.

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


18




0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

Allocation -0.0175% 0.0059% -0.0812% 0.1244% 0.0315%

Selection 0.0760% 0.0225% 0.1719% 0.0462% 0.3166%

Interaction -0.0291% 0.0014% -0.0882% 0.0215% -0.0945%

Risk Added 0.0294% 0.0298% 0.0024% 0.1920% 0.2537%

Value Added 1.0308% -0.5975% 3.7667% 1.0905% 5.2905%

Risk Adjusted Value Added 1.0014% -0.6273% 3.7642% 0.8985% 5.0368%


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%Risk Adjusted Value Added

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


19



0.688 (Rf)

VaR (%)

Retu

rn (%

)

TSX:2.386

Portfolio: 3.095

Canadian Equity in Q2

0.813 (Rf)

VaR (%)

Retu

rn (%

) MSCI: 5.643

Portfolio: 1.589

Global Equity in Q2Sharpe (VaR) Ratio

Canadian Equity is 44% DiversifiedGlobal Equity is 32% DiversifiedCorrelation between the two is 0.98+, so the diversification is less than 1%Equity

VaR:2.48%

Canadian Equity

VaR: 2.8%

Global Equity

VaR: 2.2%

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


20

Economics & Strategy


Economics & Portfolio Strategy

Jerry [email protected]

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


21



•Recovery or Double Dip?

•Euro-Zone

•World’s 2nd largest Economy

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


22



Slower than expected recovery

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


23



LEI for United States

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


24


Segal Graduate School of Business SIAS Fund8/13/2010

Duration of Unemployment

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


25



Sentiment back on track, US Unemployment remains high

Inflection Point

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


26



Consumer Confidence

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


27



Savings Rate

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


28



LEI for Canada

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


29



How Attractive do Equities Look?

• P/B ratio at historic lows for both US & Canada (around 2)

• Not much room to bottom-out if double dip in fact occurs

19992001

20032005

20072009

0

1

2

3

4

5

6Price to Book

SP500TSX

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


30



Spread between S&P500 Earnings Yield & 10 Year Government Bond Yield

1990 - 1994 1995-1999 2000-2004 2005-2009 2010

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


31



Euro-Zone

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


32



CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


33



CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


34



China & ROW

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


35



GDP of World’s Three Largest Economies

Trill

ion

USD

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


36



CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


37



CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


38



Most of China is still a Less Developed Country

Beijing

Jiangsu

Inner Mongolia

Guangdong

Shanghai

Tianjin

Zhejiang

Shandong

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


39



Risks Associated with our China Bet

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


40



End of Q2 2010 Target

1-3% Cash

22-26% Fixed Income

34-36% Global Equity

36-38% Canadian Equity37%

22%

13%

26%

2%

US

Other

IPS Range

0-10% Cash

20-40% Fixed Income

30-40% Global Equity

30-40% Canadian Equity

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


41

Canadian Equity


Canadian Equity


CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


42

Canadian Equity


Canadian Equity Strategy

• 37.69% of SIAS portfolio

• S&P/TSX was down about 6%

• SIAS Canadian Equity 110 b.p. worse

• Materials, Materials, Materials: -150 b.p. alpha

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


43

Canadian Equity


Problem stocks, sub-sector allocation

• Materials sector outperformed TSX in Q2; our holdings did not

• Mining: First Quantum, Teck, Inmet (-94 b.p.) • Gold: Gold stocks outperformed, but we didn’t have (-43 b.p.)

20.0% 19.9%

SIAS Bench

Market Weights

Mar Apr Apr Apr MayMayMay Jun Jun Jun Jul Jul Jul Aug70

75

80

85

90

95

100

105

110

115

120

Gold

Copper

Gold and Copper Spot Price, Indexed to 100 at 3/31/2010

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


44

Canadian Equity


First Quantum (TSE:FM)

Q2 Performance: - 35.9% Post Q2: + 14%

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


45

Canadian Equity


Teck Resources (TSE:TCK/B)

Q2 Performance: - 28.9% Post Q2: + 8.84%

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


46

Canadian Equity


Inmet Mining (TSE:IMN)

Q2 Performance: - 28.6% Post Q2: + 18.94%

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


47

Canadian Equity


Materials HoldingsCompany Weights % Change Q2 Price Current Price

BARRICK GOLD CORP 5.23% 24.0% 48.32 44.31

POTASH 4.47% -24.4% 91.69 112.90

AGRIUM INC 1.59% -27.6% 52.00 67.21

INMET MINING CORP 2.25% -28.6% 42.15 49.76

TECK RESOURCES LTD 4.38% -28.9% 31.48 34.66

FIRST QUANTUM 2.51% -35.9% 53.55 61.79

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


48

Canadian Equity


Materials Strategy

• Monitor allocations WITHIN the sector more carefully

• Continue to underweight gold, but less extreme?

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


49

Canadian Equity


Energy Strategy

27.4% 26.3%

SIAS Bench

Market Weights

• Short-term demand is in question, bullish on long-term• Overall economy, inventory level, shipping/pipeline show support • Tighter offshore drilling rules make oil sands more appealing

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


50

Canadian Equity


Major Financials Holdings• Financials down 19 b.p.

Company Weights % Change Q2 Price Current Price

TD BANK 6.26% -6.72% 68.98 71.72

RBC 8.13% -14.7% 50.70 52.06

BANK OF SCOTIA 4.78% -3.60% 49.05 49.81

MANULIFE 2.88% -22.9% 15.45 13.41

GREAT WEST LIFE 2.19% -5.09% 24.07 24.93

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


51

Canadian Equity


Stocks Are Cheap Based on Earnings, Dividend Yields

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


52

Canadian Equity


Stock Selection• Recent performance and VaR analysis suggested we may be under-diversified

• Stock picking vs. sub-sector allocation

• Fundamental Analysis + Commodity Research + Sector Strategy

34 Stocks33 Stocks

Number of Stocks in CAD Equity

Food & Beverage (1)

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


53

Canadian Equity


Q2 Transaction Summary

Company Value Trade Price Reason

MOLSON COORS CDA INC $74,884.60 45.35 Fundamentals

NEXEN INC $46,993.00 22.48 Fundamentals

SUNCOR ENERGY INC $47,427.00 34.03 Re-balancing

Sold

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


54

Canadian Equity


Q2 Transaction SummaryPurchased

Company Value Trade Price Current Price Weights

HUSKY ENERGY INC $32,543.00 26.94 25.54 0.93%

POTASH CORP OF SASK. $58,700.08 101.54 113.09 4.47%

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


55

Canadian Equity


Big-3 Weightings

MARKETWEIGHT – within 1% of benchmark

Sector SIAS weight TSX weight Currently TargetEnergy 27.35% 26.34% OVERWEIGHT OVERWEIGHT

Financials 28.11% 31.15% UNDERWEIGHT UNDERWEIGHT

Materials 19.97% 19.92% MARKETWEIGHT OVERWEIGHT

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


56

GlobalEquity


Global Equity


CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


57

GlobalEquity


Global Equity Strategy • 35% of SIAS Portfolio

• US Equities 22%

• Significant strategic shift in US Equity Buy American exporters and multi-national brands Buy sectors that are not correlated with Canadian equity • Rest of the World 13% Reduce underweight of Europe, Overweight US

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


58

GlobalEquity


US Equities Strategic Shift

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


59

GlobalEquity


Types of business that are hard to replicate in Canadian Equity portfolio

Altria Group, Inc. The Coca-Cola Company Colgate-Palmolive Company The Procter & Gamble Company Costco Wholesale Corporation McDonald's Corporation Wal-Mart Stores, Inc. Johnson & Johnson 3M Company Corning Incorporated Intel Corporation

•Word class brands

•Exposure to global consumer spending

•U.S manufacturers’ currency advantage relative to Canada

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


60

GlobalEquity


Europe

• Europe's Poor Relative Performance Presents Opportunity• Modest reduction in our underweighting EURO

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


61

GlobalEquity


Company Value Trade Price Reason

CHEVRON CORP $190,054.27 70.47 Strategy Change

FREEPORT-MCMORAN COPPER & GOLD $51,729.00 64.93 Strategy Change

GOLDMAN SACHS $54,809.04 137.56 Strategy Change

VISA INC $137,971.18 76.77 Strategy Change

Sold

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


62

GlobalEquity


Purchased

Company Value Trade Price Current Price Weights

iSHARES EUROPE 350 $52,695.00 32.80 35.13 13.58%

SPDR S&P 500 ETF $179,262.43 107.86 109.30 19.15%

SPDR SECTOR ETF HEALTH $188,974.35 29.04 29.09 5.90%

SPDR SECTOR ETF TECH $193,985.00 21.53 21.67 5.96%

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


63

Fixed Income


Fixed Income

Belinda [email protected]

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


64

Fixed Income


Review of Strategy

Q4 09 Short Duration in Anticipation of Higher Long-Term Interest Rates

Q1 10Shifting from Government to Provincial and Moving Duration Closer

to Benchmark

Q2 10

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


65

Fixed Income


Alpha

High YieldDuration Superior

Creditworthiness

Source: Bloomberg LP.

Q2 2010 Focus: Duration and Credit

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


04/20/2023 66

Fixed Income

Purchased Q2

Sold Q2Bond Mat Face Value

Province of British Columbia– Strip(AAA) 18 Jun 2012 FV $106,614

Bank of Nova Scotia– Strip (AA) 20 Dec 2012 FV $70,000

Segal Graduate School of Business SIAS FUND

Bond Mat Face Value YTM

Province of Ontario– C5.35%(AA) 2 June 2019 FV $200,000 3.86%

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


67

Fixed Income


0

2,000,000

4,000,000

6,000,000

8,000,000

10,000,000

12,000,000

2,440,142 2,324,832

9,543,634 9,705,843

Fixed Income

Fixed Income

25.6% 24.0%

2009 Q4 2010 Q1

Fixed Income

2010 Q2

2,407,571

9,197,082

25.40%

Fixed Income

Recovery Period

Hold

Weight

Fixed Income Weight in SIAS Portfolio

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


68

Fixed Income


Modified Duration (Years)

SIAS 2010 Q1

SIAS 2010 Q2

DEX 2010 Q2

5.45

5.75

6.06

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


69

Fixed Income


Source: Bloomberg LP.

SIAS DEX

Yield 3.17% 3.07%

Duration 5.75 6.06

Convexity 0.75 0.77

Higher Yield, Lower Risk

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


70

Fixed Income


Bond Selection

Alpha

Sector

Tracking Error

DurationYield

Credit Analysis

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


71

Fixed Income


Sector Selection

0 5 10 15 20 25 300.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

Muni AACorp AAProv Ont AA-Government

Time To Maturity

Yiel

d

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


72

Fixed Income


Sector AllocationEnd of Q2 Recovery Period Target

3-5% Municipal

15-20% Government

35-40% Corporate

40-45% Provincial

32%

47%

17%

4%

Benchmark

1.4% Municipal

47.3% Government

26.5% Corporate

24.8% Provincial

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Economics &Strategy

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Fixed Income


Bond Selection – Screening Process

DEX

Sector

•Government

•Provincial•Municipal•Corporate

Ranking

/Scor

e

•Duration

•Weight

•Yield

Prelimina

ry Selection

•Top 20 bonds in each sector with the highest overall score

Credit

Screenin

g

•Top 10 bonds with strong credit trustworthiness

Overall Score

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Bond Selection – MunicipalIssuer Rating Coupon Maturity Date Yield Duration

Montreal A 6.00 Jun 1, 2043 5.07 15.35

City of Toronto AA 5.20 Jun 1, 2040 4.93 15.32

Peel Ont Regl Munc AAA 5.10 Jun 29, 2040 3.98 15.40

B.C. MFA AAA 4.95 Dec 1, 2027 3.69 11.63

Winnipeg AA 5.20 Jul 17, 2036 5.06 13.97

Metropolitan Toronto AA 6.80 Jul 26, 2021 4.39 7.89

Muni Niagara Reg AA 5.20 Jun 30, 2040 5.06 15.25

City of Toronto AA 5.34 Jul 18, 2027 4.63 7.21

Winnipeg AA 5.90 Feb 2, 2029 4.89 11.41

B.C. MFA AAA 5.35 Dec 2, 2024 4.50 10.15

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Bond Selection – CorporateIssuer Rating Coupon Maturity Date Yield Duration

GE Capital Cda Funding AA 5.73 Oct 22, 2037 5.65 13.64

BNS Capital Trust A 5.65 Dec 31, 2036 5.72 13.58

Manulife Fin. Delaware LP A 5.06 Dec 15, 2036 5.90 13.69

Hydro One Inc. A 5.36 May 20, 2036 5.16 13.99

TD Capital Trust A 10.00 Jun 30, 2039 6.12 12.42

Hydro One Inc. A 4.89 Mar 13, 2037 5.17 14.63

SunLife A 5.40 May 29, 2037 5.90 13.56

Grtr Tor Air Authority A 5.63 Jun 7, 2040 5.35 14.63

Grtr Tor Air Authority A 6.47 Feb 2, 2034 5.33 12.11

TransCanada PipeLines A 8.05 Feb 17, 2039 5.50 13.07

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Maturities of Our Current Portfolio


0 2.6 5.2 7.8 10.4 13 15.6 18.2 20.7999999999999 23.40

1

2

3

4

Time to Maturity

Uni

t (pe

r $10

0,00

0)

Province of Ontario

• GE Capital Cda Funding

•London Ontario

0 2.6 5.2 7.8 10.4 13 15.6 18.2 20.7999999999999 23.40

1

2

3

4

Time to Maturity

Uni

t (pe

r $10

0,00

0) London OntarioYield: 3.66%

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Fixed Income

Scenario Analysis



London Ontario– C5.88%(AAA) 6 Aug 2017 FV $50,000 3.66%

Sell:

Scenario 1 - MunicipalBond Mat Face Value YTM

City of Winnipeg– C5.20%(AA) 17 Jul 2036 FV $50,000 5.06%

Purchase:

Scenario 2 - Corporate


GE Capital Cda Funding– C5.73%(AA) 22 Oct 2037 FV $50,000 5.65%

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Scenario Analysis - Result


SIAS DEX Status Quo Scenario 1 Scenario 2

Yield 3.17 3.20 3.21 3.07

Duration 5.75 5.93 5.92 6.06

Convexity 0.69 0.74 0.74 0.76

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Fixed Income


Future Strategy

• Q3 2010: no issues maturing

•Focus on credit analysis

•Reduce tracking error

•Higher yield while maintaining duration close to DEX

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


Appendix

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


Fixed Income

04/20/2023 81Segal Graduate School of Business SIAS FUND

Canadian Equity HoldingsCompany Shares Market Value Weight Company Shares Market Value WeightAGRIUM INC 1000 52000 1.59% INMET MINING CORP 1750 73763 2.25%BANK OF NOVA SCOTIA 3200 156960 4.79% MANULIFE FINANCIAL CORP 6100 94245 2.88%BARRICK GOLD CORP 3600 173952 5.31% METRO INC 2250 94073 2.87%BCE INC 1500 46590 1.42% ONEX CORP 1900 48621 1.48%BIOVAIL CORP 7000 143570 4.38% POTASH CORP OF SASKATCHEWAN 1576 144503 4.41%BROOKFIELD ASSET MGMT INC 1000 24070 0.73% REITMANS (CANADA) LTD 4200 78708 2.40%CANADIAN NATURAL RESOURCES LTD 4300 151919 4.64% RESEARCH IN MOTION LTD 1700 88961 2.71%CANADIAN OIL SANDS TR 5450 147096 4.49% ROGERS COMMUNICATIONS INC 1500 52170 1.59%CENOVUS ENERGY INC 3300 90420 2.76% ROYAL BANK OF CANADA 5200 263640 8.04%DOREL INDUSTRIES INC 800 26632 0.81% SAPUTO INC 2000 60800 1.86%EMERA INC 3600 88632 2.70% SUNCOR ENERGY INC 5720 179208 5.47%ENBRIDGE INC 1450 71891 2.19% TECK RESOURCES LTD 4500 141660 4.32%ENCANA CORP 3300 106392 3.25% TELUS CORP 1850 74315 2.27%FIRST QUANTUM MINERALS LTD 1500 80325 2.45% TIM HORTONS INC 1950 66456 2.03%GREAT WEST LIFECO INC 3000 72210 2.20% TORONTO-DOMINION BANK 2980 205560 6.27%HUSKY ENERGY INC 1200 30288 0.92% TRANSCANADA CORP 2900 103269 3.15%IGM FINANCIAL INC 1200 44544 1.36% Total 3277441 100.00%

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


Fixed Income


Global Equity Holdings (in CADs)

Company Shares Market Value Weight Company Shares Market Value Weight3M CO 1225 102825 3.11% ISHARES TR MSCI EMERGING MKTS 3615 143364 4.34%ALTRIA GROUP INC 2500 53239 1.61% ISHARES TR S&P EUROPE 350 13466 448607 13.59%COCA-COLA CO/THE 1800 95868 2.90% JOHNSON & JOHNSON 1500 94140 2.85%COLGATE PALMOLIVE CO 600 50217 1.52% KRISPY KREME DOUGHNUTS INC WT 42 4 0.00%CORNING INC 8200 140727 4.26% LOCKHEED MARTIN CORP 500 39584 1.20%COSTCO WHOLESALE CORP 800 46612 1.41% MCDONALD'S CORP 1600 111995 3.39%DOW CHEMICAL CO/THE 2100 52933 1.60% PROCTER & GAMBLE CO/THE 1600 101980 3.09%INTEL CORP 4500 93008 2.82% SECTOR SPDR TR SHS BEN INT 9000 195103 5.91%ISHARES INC MSCI BRIC INDEX FD 4289 186820 5.66% SELECT SECTOR SPDR FUND HEALTH 6500 194784 5.90%ISHARES INC MSCI SOUTH KOREA 1064 50552 1.53% SPDR TR UNIT SER 1 STANDARD & 5754 631137 19.12%ISHARES MSCI AUSTRALIA INDEX 2200 44372 1.34% TEXAS INSTRUMENTS INC 1800 44529 1.35%ISHARES MSCI HONG KONG INDEX 5608 88019 2.67% UNION PACIFIC CORP 700 51705 1.57%ISHARES MSCI JAPAN INDEX FUND 9800 95809 2.90% WAL-MART STORES INC 800 40865 1.24%ISHARES MSCI SINGAPORE INDEX 8597 102684 3.11% Total 3301483 100.00%

CanadianEquity

Economics &Strategy

GlobalEquity

FixedIncome


Fixed Income


Fixed Income HoldingsCompany Description Market Value Weight407 INTL INC 5.960% 03-DEC-2035 SER 04-A3 111772 4.64%BMO CAPITAL TRUST 6.685% 31-DEC-2011 106401 4.42%CANADA MORTGAGE & HOUSING CORP5.500% 01-JUN-2012 SER DC13 107269 4.46%CANADIAN IMPERIAL BK OF COMM 3.050% 03-JUN-2013 MTN 101573 4.22%EXPORT DEVELOPMENT CANADA 5.100% 02-JUN-2014 MTN 109718 4.56%GE CAPITAL CANADA FUNDING CO 5.530% 17-AUG-2017 106725 4.43%GOVERNMENT OF CANADA 3.750% 01-SEPT-2011 SER YC26 206181 8.56%GREATER TORONTO AIRPORTS AUTH 6.250% 30-JAN-2012 106651 4.43%INDUSTRIAL ALLIANCE CAP TR 5.714% 31-DEC-2013 21200 0.88%LONDON ONTARIO 5.875% 06-AUG-2017 56865 2.36%MUNICIPAL FINANCE AUTH OF B C 4.900% 03-DEC-2013 29135 1.21%PROV OF BRITISH COLUMBIA 5.400% 18-JUN-2035 112834 4.69%PROV OF BRITISH COLUMBIA 7.500% 09-JUN-2014 118400 4.92%PROV OF ONTARIO 4.500% 08-MAR-2015 107268 4.46%PROV OF ONTARIO 5.350% 02-JUN-2019 444659 18.47%PROV OF ONTARIO 5.850% 08-MAR-2033 234899 9.76%PROV OF QUEBEC 5.250% 01-OCT-2013 109011 4.53%SHAW COMMUNICATIONS INC 6.150% 09-MAY-2016 110145 4.57%TORONTO DOMINION BANK 5.141% 19-NOV-2012 DEP NT 106863 4.44%Total 2407571 100.00%

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04/20/2023 Segal Graduate School of Business Student Investment Advisory Service

sias fund performance review q2 2010 august 13, 2010

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